Sunday, July 1, 2007

Q2 2007 Discretionary Trading System Results

I apologize for the size of the table below. I couldn't get things to cooperate tonight. Clicking on it should give you a bigger view.
  • The data is generated from 102 closed trades, which were fully executed between April 1st and June 29th, 2007. There are a variety of types of trades represented (breakout, bottom-feeder, volatility squeeze, etc.) represented within.
  • To calculate R (risk), I used an initial risk of $500.00 per trade. I used this figure as that is typically my max pain level. The results show that most of the time I'm risking much less.
  • The statistics show that my average loss was much smaller than my initial risk of $500.00. I used Tharp's suggestion of taking the average profit per trade ($140.00) and dividing it by the average loss ($157.44) to develop my Expectancy of 0.89R. If I would have used my average loss of -$157.44 for my R calculations, they would be roughly 3x larger than represented in the table.

Some thoughts on the performance:

  • I really like that the standard deviation of my losses is smaller than my average loss. This shows that I kept my losers within a tight range in terms of how much I loss before I sold.
  • The standard deviation of my winners show that the results vary widely, meaning I could have very small winners and very big winners. I would like to increase the size of the average winner and decrease the standard deviation of win size. I have a feeling to do that will require a better system for exiting.
  • My average win was almost twice the size of my average loss.
  • This system was underwater from April 11th to May 17.

If you want to peruse the spreadsheet with all the trades and statistics, you can check it out here: Q2 2007 Discretionary Trading System Results

As always, comments, questions, and suggestions are encouraged.

7 comments:

Johannes said...

Hello my friend,

grats to your performance!
One problem though - I don't have access to your Spreadsheet, maybe you have to enanle anonymous access.
Ok.. gotta keep on working, have a nice day :)

Broker A said...

As you know, this is gay.

With 100k in the account, you should light your favorite shirt on fire for doing 100 trades in one quarter.

Although, you have been a steady holder of Ducati's favorite value play, MVIS.

Jog on
Fuckernutter.

Johannes said...

Hi,

thanks for the change, now I can read your Sheet.

One question and one recommendation though:
1) What's your total ROI over the quarter? It's hard to see this with the sheet (nope, I'm no Excel wizard)
2) Maybe you can also optimize your winning rate. Winning less than 50% really puts a strain on your nerves, at least it does on mine ;)

Woodshedder said...

Johannes, I'm not sure how to figure ROI. Maybe somebody else can help with that.

I'm not so concerned about the win rate. However, I think if I actually honored a 500.00 stop, and did not sell before that level, it would probably increase my win rate as I often sell just before a reversal in the direction I had hoped for.

Johannes said...

Hi,

to calculate the ROI just sum up all P/L values - or multiply the average P/L by the number of trades. Doing this with your results I get 85.39% . So if I had given you 1000€ you would have made 859€ profit for me. Not bad :)

About the winning rate: 42% is definitly optimizable, so I would be concerned about that value. The exit of a trade is just as important as the entry, so you should look into optimizing your exit. Seeing how many trades would have been successful if you'd adhered to a different exit strategy is interesting too.

Btw - are broker fees already in your calculation?

I'm doing some experiments with automated trade systems. Some of them show really promising results. Some even have winning rates way about 50%. Are you interested in exchanging some thoughts about this matter?

Broker A said...

johannes is Ducati.

Woodshedder said...

Broker A- I doubt it, Johannes writes in complete sentences and uses appropriate grammar and syntax.

Johannes, those figures do include commissions.

I would be happy to work more on systems. Right now I use stockfetcher, with some success. Stay in touch.