Do you analyze your data?

Discussion in 'Data Sets and Feeds' started by vlst, Oct 27, 2006.

  1. vlst

    vlst

    I know a lot of people are using charts to analyze when they will trade and how they will trade. But, do any of you analyze your own results? I do, and it helped in a few ways.

    I make all my money in the first 15min, then make ok money the next 15, then make my commission rate the next 15, and lose money after that. It's an end effect from having to go to work and I'm making desperate trades in the last 15 min to make my day.

    I also found that I don't make money on Island, period.

    I saw that I do very well on arca, so I shouldn't change to account for the rate increase on removing liquidity.

    Some examples

    -rating your returns from each market maker you use
    -scatter plots of gross/date, gross/timeofday, sigma/timeofday
    -using a risk factor to see if you're risking quarters to make nickels, like your exposure versus yield by day

    I could do more, but I don't designate each roundtrip "trade." That would take too long in the raw data. It would be useful to see, for example, if you remove to get out, or add, or use dot. Do you make money on trades where you get in by adding, or removing.

    Because I trade the same two symbols and do it in a consistent way, every day, no news, one trade at a time, same tier size, my data comes out normally distributed. I'm the random independent process.
     
  2. vlst

    vlst

    Here's an example of the ECN return rates.