Trading Stats - What do you measure?

Discussion in 'Trading' started by insight, Dec 7, 2005.

  1. insight

    insight

    Hi traders, I'm interested in anything you measure about your trading that I don't. I'm a stats and metrics fan (I love Excel!) and would like to know some fields I can add to help my trading improve.

    Currently I have CFD, Margin and Futures trading accounts, they are largely similar in what they measure. With my trend system I measure the % of the trend captured (using my swing points) but otherwise the stats are mostly the same over all different trading vehicles.

    My Stats:

    Profit
    Trades
    Trades per day
    Num Wins
    Num Losses
    %Wins
    %Losses
    Average Profit
    Average Win
    Average Loss
    Win/Loss Ratio
    Maximum Win
    Maximum Loss
    Expectancy
    Max DD
    Profit Factor
    Total risk (each trades $ risk totalled)
    Brokerage (this is scary when you total it!)
    System days (total days trading)
    Yearly gross
    Monthly gross
    Daily gross
    Yearly tax
    Yearly net
    Interest costs
    Account size
    FX vary + interest (interest payments + and -)

    And the stats I keep from my calculators, Position sizing and risk calcs and the like. I run different position sizing calcs such as Kelly, FF, FR and FV.

    Risk 1%
    Risk 2%
    Risk 3%
    Risk 3%
    2004 Kelly stats
    92-04 Kelly stats

    Account Size
    Winning Probability
    Losing Probability
    Position Size Risk
    Money units
    Risk of Ruin

    Account Size
    Margin per contract
    Delta
    Current contracts
    Next contract level

    I also run simulated equity curves based on different filters applied to my trading and things like different entries and exits for trades. E-Curves are another subject though!

    Cheers,
    Andrew.
     
  2. The only one that matters...

    Total profits withdrawn from your account
     
  3. i thought sharpe's was the only thing that mattered....

    - The New Guy
     
  4. patch227

    patch227

    Do you measure mistakes made and what you have to improve on?
     
  5. A. % of profitable days
    B. % of profitable weeks
    C. % of profitable months
    D. Length of longest drawdown in months
    E. % of days making new all-time equity highs
    F. % of weeks whose return exceeded S&P 500's return that week
    G. Jack Schwager's RRR (returns retracement ratio, in Managed Trading, Truths and Myths)
    H. 95th and 99th percentile of the distribution of Drawdown Depth
    I. (Net Profits) / ((Total Commission) + (Total Slippage))
    J. Average length (days) of winning trades
    K. Average length (days) of losing trades
    L. Round turns per year per million dollars of equity
     
  6. :D :cool: :) BINGO :) :D :cool:

    (didn't dear to bring up the above for fear of being scolded at)
    For 95pct this "Trading Stat" figure is negative and hence is not that popular.
    That's why they keep inventing so many other ones.

    nononsense
    :cool:
     
  7. M. 50th, 75th, and 90th percentile of distribution of (Margin to Equity) ratio
     
  8. insight

    insight

    Wow, excellent replies, thanks for the help :)

    Horribilicus I really like some of your ideas and will be implementing them, I have to find out more about RRR though. This was a very helpful post for me.

    Thenewguy I know some fund managers rate Sharpe as very important, I have read varying reports about it though, and I would have to learn how to calculate it as well, will look into it further though.

    Barney I will have to think about your stat some more as I can't quite work it out at the moment, and my girlfriend is telling me to turn off the computer.

    Patch, I do a weekly printed trading report of all my open and completed trades, I whack in weekly and daily graphs with notes and write down the details plus a written summary of how I performed on that trade and notes for more homework I need to do and areas I might improve, it comes out at about 30 pages usually, this is a very valuable little excersize for me.

    Lescor and Nononsense I measure everything I think is important. And I think it's very true that there are 2 types of traders - profitable and not profitable. I'm profitable :)

    I record my 'lifestyle draw downs' from my account and to make this simple I don't use dollar figures but unit figures, this makes additions and withdrawals from my account much easier to manage.

    I believe it might be possible to be profitable as a trader and keep no records or to not closely monitor your performance. I don't think I could do that personally however. Agree about most traders not being profitable, and by extension most inhabitants of a BB as well. The many feed the few in trading I think.

    One of my personal observations is that great traders state that simple ideas do work with trading, but the work that goes into making trading appear so simple and to know what simple ideas have a chance of working... Thats tougher.
     
  9. wdscott

    wdscott

  10. patch227

    patch227

    "Patch, I do a weekly printed trading report of all my open and completed trades, I whack in weekly and daily graphs with notes and write down the details plus a written summary of how I performed on that trade and notes for more homework I need to do and areas I might improve, it comes out at about 30 pages usually, this is a very valuable little exercise for me."

    This is a lot of info to plow through.

    One philosophy that I like is to find the one issue which, if you improved it, would make a measurable difference to your trading results and then concentrate on fixing this one issue. (Something like anticipating an entry too much or a specific time of day when you are making less profitable trades) When this is resolved, then move on to the next issue.

    Also consider that too much analysis can also be a bad thing.

    Are you also a VBA expert?
     
    #10     Dec 9, 2005