How do you measure your performance?

Discussion in 'Professional Trading' started by leapfrog, Apr 28, 2003.

  1. "measuring trading performance" is simple: just follow substract and divide :)

    Now what do you mean by "really" ?

    You could mean:
    - why is there such difference in performance claims so that their measure is questionable

    or
    - is this performance a pure chance or is it reproducible (with some attached probability) ?

    About the difference in performance claims it has to do with trading scale. The lower the trading scale the higher the expected performance. So 25% / annum for long term trading is good whereas it is not good for intraday.

    About consistency, the question of reproducibility implies that the question has some sense. If you have a performance about a hedge fund that has invested for 50 years during the bullish market it is a non-sense to ask for reproducibility since a stock market won't last long enough for that for the context to be the same. So it has only sense for lower scales. Judging consistency rigourously is not a trivial task and this is in fact the domain of quality control. I have post an introduction to Deming's SOPK and about Shewart (Deming's master in fact). For a rapid procedure classify between different win and loss especially if you have a fixed stop loss strategy mixing the two will give an asymetric curve and you can't refer to a known law for probability. If you have to judge consistency you have to retire EXCEPTIONAL winners. Once you have homogeneous distribution you can make a chart and judge consistency with a shewart control which have two types: one for judging consistency of mean, the other for consistency of variance.

     
    #11     Apr 29, 2003
  2. One trade at a time
     
    #12     Apr 29, 2003
  3. The real question is how do you measure yourself against other traders?
     
    #13     Apr 29, 2003
  4. I just tell them I am outperforming the major indices and beating the risk-free rate.
     
    #14     Apr 29, 2003
  5. I tell my partners what my accountant tells me I made.

    We use time waited- rate of return.

    You can also use NAV.
     
    #15     Apr 29, 2003
  6. Beautiful....so true! :)
     
    #16     Apr 29, 2003
  7. $5000 to $10,000 a day
     
    #17     Apr 29, 2003
  8. but will take 3 dollars.
     
    #18     May 7, 2003
  9. Who in their right mind wants to compute their own NAV everyday..?:confused:
     
    #19     May 8, 2003
  10. At cocktail parties I tell people I'm a drug dealer. This way I get much more respect that admitting I'm a trader.

    Runningbear
     
    #20     May 8, 2003