Trade Stats

Discussion in 'Trading' started by 3dog, Feb 20, 2002.

  1. 3dog


    Beyond the usual record keeeping of number of wins/losses, win points/loss points (I trade futures), this year I've started keeping a daily number called MAE.

    MAE stands for Maximum Adverse Excursion, a concept I believe originated from John Sweeney, of Tech Analysis of Stocks and Commodities magazine. It's basically how far a given trade goes against you before it gets closed out. I note the MAE for each trade, then at the end of the day record what my largest MAE was for the day, and include that with my other daily numbers.

    I've found that by focusing on keeping each day's MAE under control, and minimizing the avg loss per trade, it's greatly improved my trading. It helps quantify the concept of 'cutting your losses.'

    What other trade stats or record keeping to others find useful?
  2. 3dog-
    yeah, risk/reward ratio...

    so if i see money lying in the corner, i go to pick it up...i set my stop(MAE) and have a multiplier to estimate my target...some people keep that set in stone...I give it a little more target that is...not my stop.
  3. ddefina


    I keep track of average win to average loss and try to maintain a 2:1 ratio. Short term or long term this is a good target. Win/Loss is less important to me for my style.
  4. 3dog,

    MAE is a useful concept, but I think a better way to use it is to record the MAE for each trade, no matter where you get out. Then construct a distribution of MAE's and you will quickly see where you should be placing your stops. For example, if your normal stop is $.15 and you find a high percentage of MAE's that went to $.30 then reversed and went profitable, you may want to widen your stop.
  5. 3dog


    uptik and ddefina,
    Thanks for the feedback.

    I've added today's MAE's for each trade to my daily spreadsheet.
    Thanks for the idea!
  6. bozwood



    Try keeping track of MFE as well. I have found that with some types of trading it can help to take profits at a certain level and MFE can help with that. Goes against "letting your profits run" but it may help to smooth your equity curve, which allows more risk to be taken with each trade, and, therefore, better results.
  7. 3dog



    Almost all my trades are taken out at targets. Short term, intraday.

    I agree, exiting at targets helps smooth the equity, but mostly it helps mentally, because I have a hard time giving anything back.

    But what I found hard to try and track was after a trade was taken out and kept going, trying to determine where I *honestly* would have held it to if I hadn't had the target.

    It's always easy in hindsight to say, 'I would have held it to here...'