I wonder if I could get some input from others who are willing to share their trade stats/metrics. I decided to run some numbers of trade outcomes for actual trades taken over the past two weeks after returning from a trip. My exits were different (and these trades aren't even the best thought out trades, but I wanted to just see what would happen if I let each trade hit either a -3 stop, or a +5 target of +10 target. (as a side note, I skip many trades that do even better, so these trades here that are were actually taken aren't even in the best of the best group, but that is a whole different issue) This is for the NQ. With a -3/+5 risk:reward ratio, I appear to be quite profitable (based of course on a very small sample). If each trade was allowed to go to only +5 or -3, I would be over 50 points ahead after these 27 trades. If going for +10, clearly the win rate is smaller but profits bigger, but I didn't analyze what happens to those trades that hit +5 but never do hit +10. Anyway, my issues are with holding winners and its a struggle. These stats, if they were representative of most weeks would be fabulous, and more than good enough to scale up by adding contracts, well, at least that is what the math suggests, based once again on this very small sample size. If on these 27 trades I hit either -3 or +5, I would be 50 points ahead on only 9 trading days, which although is quite small given that some days offer even 50 points moves, to average 10 points per day on multiple contracts is more than enough. What I am asking is if others out there wouldn't mind sharing their stats. I realize that numbers can be all over the place depending on the type of trader (swing vs. day traders, etc.), and of course if you're gunning for a few points or home runs, but it would still be interesting and beneficial to me none the less. What is interesting is that with a 67% win rate (for hitting +5), I would have 6 wins in a row. This could just as easily be 6 losses perhaps, which would no doubt affect my psychological state, but what is certain is how important it is to focus on a series of trades in this business. I'm sure some traders have perhaps an 80% win rate or more on at least 5 ES or 10 NQ points with a small stop, and perhaps others have only a 30% win rate on a bigger spread between target and stop, but all in all, I think a discussion about this would be nice. I would love to see some data about the distribution of wins and losses and the associated parameters of targets and stops. Even the non-TA crowd can participate since I'm not talking trading technique. (and lord knows we don't need another TA/PA fight here)
Your sample-size is way too small for any meaningful statistical analysis (I appreciate that you know this already: I'm "just saying"!). I strongly suspect that among your difficulties is the fact that (I assume from what you've said) you're trading single lots/contracts? My feeling is that this is really stacking the deck against yourself, because it's effectively depriving you of the occasional runner which can constitute a fair proportion of your takings, over a period of time. But you don't yet have the "period of time", to be analyzing this? This is surely encouraging? Well, you need to do this, clearly (I'd be monitoring +7.5 points too, I think.) This is where trading three contracts would help you so much, I think: you can close the first two even more quickly than you do now (and with a high win-rate, on your current figures), covering the third one and dealing-costs and then let the third one run, moving its SL up a fraction, knowing that (a) the trade is already net-profitable and (b) sometimes there'll be a big further upside. With apologies, I don't share stats in forums (previous experiences of doing so have been unpleasant and resulted in trolling), but I'll tell you what I'm doing and how. I think this is very unlikely. Perhaps 60-65%. Surely not 80% on NQ for 5-10 points with a small stop? Win-rates don't really matter, anyway: expectancy matters. I've been trading NQ for most of three days per week, for just over a couple of months. At the moment, this is on demo only (I'm a trader, though: I've been making a living trading forex for 3 years now). It's among the things I'm looking at, because for various reasons I'm considering the possibility of a full-time switch to index futures (NQ and/or ES) in 2016. I'm scaling out, but not scaling in. (I know what Van K. Tharp and Tushar S. Chande have to say about this method, and I don't agree with it.) I enter three contracts with a 2.5-point SL. At 1.5 points profit, I close two lots and move the SL of the third lot up 1 point. At this point, I've already banked 3 points and can lose only a maximum of 1.5 points, whatever happens, so I'm a minimum of $30 in profit, even if it all suddenly goes pear-shaped (which, of course, is mercifully rare, after finding a decent entry and the trade already having moved in my favor). I now trail the stop-loss on the third contract (in one of two different ways, according to the original entry-parameters, volatility and so on: the details of this don't matter). I'm wondering whether you'd be more profitable (and much more comfortable holding winners!) by doing something similar, perhaps by using your original 3-point stop for three contracts and closing the first two as low as +2/+3 points? It sounds like you'd be very safe, doing this? At $5 per tick, NQ isn't going to break the bank, anyway, and clearly you'd have a big win-rate (albeit of very small wins) "to play with" and establish your comfort-zone for letting winning positions run. I appreciate that there's also a whole other school of thought to the effect that this type of procedure is effectively reducing winning positions rather than adding to them as so many authors recommend; all I can say about that is that it's working well for me, and that I do something similar with the forex-trading from which I make my living with a strong emphasis on risk-management rather than profit-maximization. But as you mentioned in a few places, you're a long way from having a significant sample-size, at the moment. Good luck and good wishes.
Well the problem is that you are trying to sell something more expensive than what you pay for. Imagine Im your seller, and then you try to sell me more expensive to me. Its not likely Im going to buy you. And people know you are trying to resell something that have not been revaluated yet. But you can use your buys to move the market if you want.. to take orders from a customer... to make an inventory and sell later.. But if you try to resell your orders to the market.. that not likely to happen.
Without a thorough understanding of, and total acceptance of, this concept, a trader is doomed to either failure or an eternal quest for a Holy Grail.
Totally agree. I've seen great systems with a 55-60% win rate and lousy systems with an 80% win rate. The problem with high win rate systems is that you have many trades with tiny profits and then you get clobbered by one big losing trade.
Thanks for the reply. The reason for this is also that these trades do not follow one type of "set-up". I don't want to get into it too much or try and defend what some may call random trading, but I just wanted to explain why what I presented cannot exactly be looked at from the point of view of stats per one trade type. As an aside, all I am trying to do is buy support, whether it be a swing point that should hold, or a stronger level, and likewise, sell resistance. If I get in close to the level, and the 3 point stop would fall beyond the level where price shouldn't go if what I am expecting to happen does happen, then I consider this a well placed trade. Its just that too often I hesitate and now a tight stop isn't possible. Although I've thought about this very very much as well and completely agree, there is another side. (first lets put aside the fact that I have trouble holding onto winners but take my full stops, which would of course be extra damaging with multiple contracts) The problem with this strategy is that you are always taking a full stop on all contracts, but never a full profit on all contracts. If you are so good at hunting entries that a 1.5 stop in NQ is enough, then I can see how this would work well. But for me at this level, my thinking is that if I could average a 5 point win each day (maybe 10 on some, and -5 on others... but 5 overall), then the best way to increase profits would be to simply increase contracts and do nothing else. Sure going for bigger targets and all that jazz is great, but this is now a whole new strategy. This is basically why I wanted to look at these past few weeks, to show myself that perhaps I don't need to be doing anything else anymore but just letting the trade hit either -3 or +5 once entered. This to me would appear very risky if you're hitting a full stop on 3 contracts with any regularity. You'd instantly take a 7.5 point loss. So your win rate must be fairly high, at least on the first 2 contracts to reach 1.5 points. Sometimes I actually catch the highest or lowest tick without ever seeing any profit, so at the moment, 3 contracts wouldn't be good for me.
Hi KP - I wrote up my stats from the 100 range exercise db suggested a few months ago now in my journal. Same as with 40D I found roughly the same win rate as you did. This was with 5pt targets, and discretionary stops - over the course of the exercise my MAE was roughly 2-3pts. I've since captured about 500+ trades and the stats still ring true. Live trading stats are captured separately. I wouldn't say I have near enough stats to speak with authority, but the stats I have to this point give ME confidence.. As per @NoDoji and @Xela's posts. Win rate is good for the ego but means nothing; like putting playing cards in the spokes of your bike as a kid. What I found that might interest you is that throughout early batches of backtesting I was really having trouble with profit targets. I eliminated the stress of that by switching over to a fixed 5pt profit target and it made all the difference for me. There isn't much mystery to me as to why this works so well, if you start capturing data about swing/wave lengths in the NQ, you get a better picture... As Mark Douglas says - pay yourself as the market makes it available. - Also - Fundamental truth #3: "There is a random distribution between Wins and Losses for any given set of variables that define an edge." MEANING: If you have a proven edge, and you accept that the distribution is indeed random, then over the course of a series of trades you'll be profitable. You get to be the casino. You don't know which trade will win or lose, nor do you need to. Take each instance of your edge and let the probabilities play out. Which is one hell of a lot easier to say than do! Anyway - somewhere between those two MD quotes might be what you're looking for. Finally @Xela - thanks for giving me some interesting ideas re: multiple contracts!
I still struggle with the acceptance part. When entering the trade, I'm not fully accepting the risk and hence why I get out right away for a tick or two if it goes against me. I know that by not letting profits be hit, but letting the stop loss hit, I am dealing with negative expectancy, and so this is why I just wanted to run these numbers here. Not to see stats for a certain setup, but to show myself that after a series of trades, taking the full stop will still have me profitable if I at least let it go to +5.
Sounds to me like a great trade rule. If price doesn't move from your entry - dump the trade. I have looked at my stats and those trades that have an MFE below 2 ticks mostly hit the stop. So I get out of the trade if it hits my entry, gets triggered and doesn't go my way. yes I miss out on some but my stats back me up on this.
My own trading: Holding period: intra week (i.e. not day trades) 1000+ trades 37% win rate 2.35 : 1 average win/ average loss This is over 3 years.