Wednesday, January 31, 2007

Monthly Trade Analysis - January 2007

One of the things that every trader should do is analyze their trading periodically. For me analysis once per month seems to be beneficial and provides enough data to be relevant.

Many traders feel it isn't worth the hassle to go to the extreme of collecting this level of detailed information. Because every successful trader I know collects and utilizes much of the same of information, I encourage you to do put together something similar for your own trading whether your system is fully mechanical, partially mechanical or totally discretionary.


Please note that this analysis is provided for the Russell momentum scalping method that I discuss extensively on this blog and does not include my Forex swing trades.

Also note that all results are displayed in ticks (not points) unless otherwise noted. All totals include slippage but not commissions.

The "System" is the methodology described under The Key To Trading verbatim.

The "System open PT (or Profit Target)" means that I exited based on when RSX began to roll over (although the market must move 15 ticks in my direction first - otherwise it will just go to the stop). So if I was long and RSX was originally oversold (assuming a regular trade) then I would wait until RSX began to roll back towards being oversold.

Lastly, my trades are simply that - the trades (both good and bad) that I took this month. Also please note that I missed 4 trading days this month.


Totals

1 con/mo

Win Ratio

System

146

$1,460

59%

System open PT

355

$3,550

59%

My Trades

216

$2,160

65%


Gross Win

Gross Loss

Profit Ratio

722

-445

1.62

1161

-469

2.48

561

-275

2.04



So as you can see in summary, the "System" made 145 ticks or 14.5 points the entire month which translates into approximately $1,460 per contract. The "System open PT" made 355 ticks or 35.5 points the entire month, and "My trades" made 216 ticks or 21.6 points.


Best day

Worst day

Avg per day

Avg $ 1 con/day

System

45

-21

7

$73

System open PT

71

-16

18

$178

My Trades

45

-21

11

$108


The above table summarizes best and worst days, average days and average dollars per day for 1 contract.


Best week

Worst week

Avg per week

Avg $ 1 con/week

System

36

12

37

$365

System open PT

104

10

89

$888

My Trades

102

20

54

$540


The above table summarizes best week, and worst week, average ticks per week and average dollars per week per contract. I find it interesting that although I underperformed the "System open PT" in terms of overall per week points, my worst week was half as bad.

1/3/2007

Direction

Type

System

Syst. Open PT

My Trades

Trade Comments

6:30

Long

Regular

15

24


I didn't trade this day

6:41

Long

BreakOut

-11

-11



6:50

Short

Regular

15

12



7:02

Long

Regular

15

23



7:39

Short

Regular

15

17










1/4/2007







6:31

Short

Regular

15

47


I didn't trade this day

6:47

Long

Regular

-18

-18



7:04

Short

BreakOut

-2

-2



7:14

Long

Regular

15

21










1/5/2007







6:42

Short

BreakOut

-15

-15


I didn't trade this day

6:53

Long

Regular

-18

-18



7:04

Long

Regular

15

-18



8:05

Short

BreakOut

15

35












Weekly

56

97

0









1/8/2007







6:42

Long

Regular

-18

-18

15

I entered trade 1 candle late

7:04

Long

Regular

-18

-18

-15


7:13

Short

BreakOut

15

13

0

I skipped trade

7:25

Long

Regular

15

34

15


7:58

Short

Regular

-18

-18


I skipped trade








1/9/2007







6:33

Long

Regular

-7

-7

0

I skipped trade

6:37

Short

BreakOut

-17

-17

0

I skipped trade

6:40

Long

Regular

-18

-18

0

I skipped trade

6:47

Short

BreakOut

15

18

0

I skipped trade

7:06

Long

Regular

15

12

15


7:51

Short

Regular

15

31

15









1/10/2007







6:45

Long

Regular

15

23

15


7:28

Short

Regular

-18

-18

2

Exited early

7:39

Long

Regular

15

14

15


8:01

Short

Regular

15

12

0

I skipped trade








1/11/2007







6:31

Long

BreakOut

15

46

20


7:04

Short

Regular

-18

-18

-17


7:09

Long

BreakOut

15

1

15


7:23

Short

Regular

-3

-3

10

I exited trade early








1/12/2007







6:39

Short

Regular

-18

-18

0

I skipped trade

7:08

Short

Regular

15

23

15


7:59

Long

Regular

15

30

-18

This was a different trade







and was an invalid setup



Weekly

27

104

102









1/16/2007







6:52

Short

Regular

15

25

15


7:24

Long

Regular

-11

-11

-18

I got out early

7:42

Short

Regular

-5

-5

-1


8:03

Long

Regular

-11

-11

0

I skipped trade








1/17/2007







6:43

Long

Regular

15

-6

15


7:02

Short

Regular

15

3

15









1/18/2007







6:57

Long

Regular

-18

-18

-18


7:01

Short

Regular

15

27

15


7:21

Long

Regular

-18

-18

-18









1/19/2007







7:00

Long

Regular

15

24

15











Weekly

12

10

20









1/22/2007







6:31

Short

BreakOut

15

21

30


7:03

Short

BreakOut

15

17

15


7:01

Long

Regular

-18

-18

0

I skipped trade

7:22

Long

Regular

-18

-18

0

I skipped trade








1/23/2007







6:48

Long

Regular

15

24

15


7:13

Short

Regular

-18

-18

-15


7:44

Long

BreakOut

15

33

0

I skipped trade








1/24/2007







6:56

Short

Regular

-5

-5

15

I entered early








1/25/2007







6:39

Short

Regular

15

18

15


7:13

Short

BreakOut

15

14

0

I skipped trade

7:33

Long

Regular

15

15

-15

I exited early








1/26/2007







6:41

Short

Regular

15

28

0

I took this trading day off

7:00

Long

Regular

-18

-18

0


7:04

Short

BreakOut

-18

-18

0


7:09

Long

Regular

15

20

0


7:59

Short

Regular

-4

-4

0











Weekly

36

91

60









1/29/2007







6:33

Long

Regular

15

39

32


7:19

Short

Regular

-18

-18

-17


8:06

Short

Regular

-12

-12

0

I skipped trade








1/30/2007







6:38

Short

Regular

15

3

15


7:04

Long

Regular

-18

-18

0

I skipped trade

7:45

Short

Regular

-18

-18

0

I skipped trade

8:12

Long

BreakOut

6

6

0

I skipped trade








1/31/2007






I actually ended up taking

6:32

Short

BreakOut

15

16

-8

a fake BreakOut at 7:45

7:02

Long

Regular

15

45

15


7:56

Short

Regular

15

10

0

I skipped trade










Weekly

15

53

37











Monthly

146

355

219



Analysis:

Based on this information it looks like I am outperforming the basic "System", but I am making about 60% as much as the "System that utilizes an open profit target" (219 ticks vs. 355). Additionally, although my discretion often keeps me out of strings of losers (thus my worst week is about half as bad as the other two systems), I am not maximizing the winners I do have in many cases, and I miss out on some 2 and 3 R trades (which are very important to me psychologically). Lastly, it appears that although I did very well in week 2 by catching trending moves and avoiding counter trend moves (this was a strong trend week), I am significantly under performing the "System with an open PT" in the more choppy (but still volatile) weeks 3 and 4.

Conclusion:

Based on this analysis, I would be better served to trade my methodology utilizing the principles of the "System with an open Profit Target" unless I can positively identify that we are indeed in a trending market and that filtering out entries will have a positive effect on my trading results.

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