Calculating your performance from how much you bagged in % of the range...

Discussion in 'Trading' started by ElectricSavant, Dec 25, 2006.

  1. Verses...traditional ROI calculations.

    Would this be a better measure of your performance?...

    The would be called "Performance Management" and have nothing to do with "Money Management".

    Michael B.

    P.S. If you only traded 2 hours...then the beginning of your trading session (open) to when you stopped (close) would be the possible range to bag....Now if you can double or triple that...well I would say your good!
     
  2. I think to accurately measure skill aka timing ability, you could only make accurate comparisons if everyone traded a certain amount of contracts per dollar -- give several traders a single contract maximum over a certain period of time and it will probably be easy to see the differences quickly. Yet this totally bypasses one's ability to judge use of leverage, so it's pretty unrealistic as well.

    I really don't know how investors in hedge funds judge quality of returns, it's pretty much a crapshoot if you don't know exactly how the returns are being made, you'd need a very long track record to be comfortable. I mean, who knows if they are well-timed positions with prudent stops always in place, or if they are using martingale positioning and have just hit a lucky streak?
     
  3. I am looking for a way to see if I am improving. It would be misleading to just increase leverage...

    I want a way to see if I can get more of what the market is offering...not picking tops and bottoms mind you...but I guess that would end up to be perfection...

    I am experimenting with ranking trades...which would be a companion leverage performance....

    All of this assumes an edge and within personal tolerance levels...
     
  4. Benchmarks...are twisty little passages...I am not really looking for traditional views...
     
  5. I've always thought that you can build tremendous wealth by just capturing a fraction of what the markets offer each day, most of the time I have no clue what the hell is going on (and to be fair, perhaps a good part of the time there really is nothing to do) but I just want to get that certain portion where I do have a handle.

    Imo, to increase one's "capture" of day's or week's range will likely require additional "market views" or angles so to speak, rather than trying to extend upon one particular strategy. A range-bound market will only offer good trades for range traders, an extended breakout/trending market will require a different hat, etc. This goes along with trying to measure one's own performance, as you can't pull water out of a stone, all you can do is take as much as the market can offer that fits your vision of what makes sense.

    I agree leverage really just comes down to personal risk appetite and can often only mask or deceive when it comes to assessing performance.
     
  6. Totally agree here. This is one thing that got me into this, not only looking ath the opportunity for wealth, but the possibilities thereafter...

    more to the thread, I've found that I can develop 'smoother' risk/reward equity curves with higher frequency trading systems. These are always limited in position size. When dealing with larger positions - aka, longer time frames, I think that there are two limits to greater risk/reward equity curves. 1) The time in each trade is usually longer and the equity curve is not as smooth and there are larger draw downs. You therefore need much greater diversification. 2) Data - A long term trading system that traded 25 times in the last 10 years is very close to being curve fit and any statistical anomaly that you've discovered, for it to be profitable, needs to remain for years to come in the future. It is much easier to 'notice' this change in HF systems than in longer term systems.