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I often think of trade ideas, but seldom have time to perform analysis on them. I have even thought of hiring an "intern" type of person that could crunch numbers all day, but I thought I would try this thread first.
Ben makes a good point. It was a mistake for me to put average into the equation, because in actuality I am measuring against each days individual range, just like he is.
This sounds very reasonable. Used as a measure of performance by itself, I think this is a great metric. Thanks for reminding me of this which I currently do not measure but now I will be!
This metric sounds somewhat familiar but I can't seem to recall where I read it. Not as a profit objective, well maybe, but as I recall a method to "grade" a trader's efficiency. The idea was to give yourself a grade like A,B,C or D at the end of the trading day. Simply, if the days range was 100 ticks and I closed out the day with only 25 (25% of the day's range) I earned a "D" grade for the day. If I closed out the day with 75 ticks or more (75% of the day's range) I earned an "A" grade for the day. These averages rolled over into a weekly grade, and then a monthly.
Funny thing about trading, there are as many opinions as there are traders. I wish I could remember where I read about this "grade" thing. I remember the author classified "you the reader" as an A, B or C trader and made suggestions for improvements based on your "grade" level. Maybe I'm losing my mind, maybe it was something I came up with myself. I doubt it, I'm not that smart, and the more I think about it it seems like a pretty good idea.
Even a small taste of successful trading can haze the view of the past and it's easy to forget how damn hard it is to make money trading. I'll never allow myself to forget the days when I couldn't "buy a profitable trade." I say, try any/every thing, if I had to stand on my head and trade I'd do it.
With regards to measuring PNL vs volatility a good tool can be found with @gomi 's Framework. I like to track not only peaks (MFE) and valleys(MAE) of my Pnl trades but the real time evolution of it, in simple words like having a realtime equity curve of single(blue line) and cumulated trades(orange line).
This is an indicator not a strategy, it works with any account, be aware it is not persistent if you refresh the chart or close NT it will not save data. You need to have gomi's framework installed
Hi guys, time for a YAGOF (Yet another Gom framework ;-) )
I had a problem not being able to access Trades and Trade history from Indicators.
In Ninja's mind, Indicators do the drawing , Strategies run the trades, but what if you want to draw stuff …
Very cool @redratsal. Although I am not sure how you have a negative MAE, seems like a bug?
I use similar measurements for my strategies so I can plot the cumulative PnL and the daily PnL. But for my discretionary trading I have nothing so fancy, although I think Sierra Chart actually has it built-in, I've never tried to use it. Since I use multiple copies of Sierra Chart - one for charts, and others for DOM's, I think it is too much of a pain in the ass to link them together to get things like chart trader to work (never tried, really have no need for it).