Compare my ES performance to a futures benchmark or cash?

Discussion in 'Index Futures' started by leapfrog, Nov 14, 2003.

  1. What would you suggest is the "right" way to go here?

    Let's say I want to compare my trading performance over a given period of time in the ES to a benchmark.

    Should that be the S&P Futures index for the same period (percentage change in equity starting with a base of 100)?

    Or should it be against the "S&P 500" cash index, such as the index itself (or the SPY as a surrogate)?

    One is a leveraged benchmark, the other is not.

    I would like to use some sort of relevant performance measure and one of the above two methods is the best I can come up with. Thoughts or suggestions?


  2. cvds16


    imo benchmarks are only usefull to compare investments, you are trading, which is something totaly different. The best thing to do is watch your equity curve and pay attention to drawdowns and make your own conclusions from that if you are doing alright. If you really want to compare you might have a look at hedgefunds that are more or less doing the same thing, but i doubt if this will add any value or that this is really possible.
  3. Why even bother with comparing your performance to an index? As a trader, I think you should definitely be doing much better than any index since you're pulling out profits more often than a buy-and-hold index investor.

    Better benchmark would be the actual income you're generating from trading.

  4. acrary


    I use two measures to track my trading.

    To see how effectively I'm trading, I compare my total pts per-contract vs daily range. If the total daily ranges for a week were 80 pts and I made 30 then my performance would be 30/80 = 37.5% for that week.

    To see how well I'm using MMGT I compare total profits versus max drawdown on a yearly basis. My minimum goal is 10:1. So over a year if I have a 10k drawdown I better make 100k in total profits.

    If you want to compare yourself to market professionals you can measure against a CTA index. Unless you're managing 10 mill. or more I think it's pretty meaningless because the small trader has many more opportunities than larger size accounts.

    Good trading
  5. Thanks - very helpful! - RCM
  6. Hawker


    Due all respect , but IMO this is not a good way to measure a trading performance, (unless we buy on the open and sell at the close) because the daily range is not a straight line from Low to High.

    We gonna have ups and downs inside that range so in a daily range of 10 points we could have probably a total lineal movement of 20 or 30 pts or more, therefore daily range is not appropriate to qualify a trading performance since we're not taking 3 or 4 points out of the daily range but out of the total lineal movement of price in a specific day.

    I think that a better way to measure the quality of your trading is to compare the profits /losses you got against the total value of the movement where you enter the trade. for example , if you go long and price moves up 3 points in that move and you got 1 point we're talking about 33,3 % performance .
  7. monee


    I look at the daily range as the High of day minus Low of day.

    Don't use that range to judge my performance though.

    Similar to Hawker, I look at range for setups which fit my criteria and how well I played them.

    Maybe down the road I would look at the daily range ,but for now trying to capture every swing even if it didn't follow my system would be looking for trouble.
  8. I guess I was looking for a simple benchmark that most people would understand. I am sure everyone would agree that as a minimum, we should be beating the S&P 500 over a 1, 2, 3 and 5 year period. (But in 2000 - 2002 does that mean it is OK to have lost less than the S&P - probably not by any normal definition of a successful business.)

    Other threads on this board have mentioned such minimum criteria as "average of 2 ES points/day" (as measured over a one year period or more), or a 100% gain on beginning period equity (where the period is at least a year).

    I am still in the camp of just maintaining a positive equity curve on any basis. Just my 2 cents on a Friday afternoon. - RCM.