indextrader7
Registered: Apr 2012
Posts: 75 |
04-23-12 07:08 PM
Here's some stats I keep up with to measure efficiency of my trading. It's a slightly different take on the old MAE/MFE concept combined with the trade efficiency concept. I've never seen them charted like this elsewhere.
TOP LEFT CHART - TOTAL EFFICIENCY
Tells me, from the time I entered the trade until the time I exited the trade, how many ticks I took from the market vs how many total ticks were available. Total available ticks would include ticks against my position, as well as ticks the market went in my favor beyond where I took profits.
TOP RIGHT CHART - ENTRY & EXIT EFFICIENCY
This breaks down the top left chart from total efficiency into it's component parts:
1) Entry efficiency = The difference in (entry price) and (max adverse excursion price). So it gives a representation (in ticks) how efficient my entry was. How much better could it have been?
2) Exit efficiency = The difference in (exit price) and (max favorable excursion price). So this tells me, ok you exited here, but how much better could your exit have been?
BOTTOM LEFT CHART - MAE, MFE, & AVG P/L OVER TIME
Each point plotted shows - ok for the last 10 trades you took, what was the farthest the market went in your favor (in ticks), what was the farthest it went against you (in ticks), and how many ticks did you average P/L for those 10 trades.
BOTTOM RIGHT CHART - MAE, MFE, P/L FOR LAST 10 TRADES
Each line represents a single trade. At the far left it shows how far that trade went against me (MAE), follow that line up to see how far it went in my favor (MFE), and then follow that same line to see where I closed out that trade within that range of MAE, AND MFE.
 efficiency metrics.gif
This has been downloaded 62 time(s).
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