Monthly Trade Analysis - February 2007

Well this has been an interesting month. My net for the month was +15.4 points which is a little less than 5 points short of my monthly goal of 20 points. I feel I traded the system well during the hardest parts of the month but failed to really capitalize on a few large moves.

The following table shows my trades and analysis for the month:

February 2007 Trading Summary for Russell Futures (Actual)
Date	Trade 1	Trade 2	Trade 3	Trade 4	Net
2/1/2007	2.8	-1.7	-1.8		-0.7
2/2/2007	-1.8	-1.8	0.6	0.7	-2.3
2/5/2007	1.5	2.3			3.8
2/6/2007	-0.7	-1.8			-2.5
2/7/2007	0	4.2			4.2
2/8/2007	1.8	-0.7			1.1
2/9/2007	-1.8				-1.8
2/12/2007	2.5	1.2	0.1		3.8
2/13/2007	-0.6	-1.5	2.9		0.8
2/14/2007	-0.8	1.9			1.1
2/15/2007	-0.5	0.4	0.1		0
2/16/2007	-1.6	-1.1	-0.8		-3.5
2/20/2007	Simulated trades				0
2/21/2007	-1.8	0.3	1		-0.5
2/22/2007	-1.8	2.2			0.4
2/23/2007	0.8	0.8			1.6
2/26/2007	-1.6	2.8			1.2
2/27/2007	1.7	2.2	0.1		4
2/28/2007	-1.8	4.6	1.9		4.7
					15.4
		Largest	Largest	Average	Average
	Win Ratio	Winner	Loser	Winner	Loser
	57%	4.6	-1.8	1.59	-1.37

And the next table shows the system's trades for the month:

February 2007 Trading Summary for Russell Futures (System)
Date	Trade 1	Trade 2	Trade 3	Trade 4	Net
2/1/2007	2.3	1	0.3		3.6
2/2/2007	-1.7	-1.1	-0.1	0.7	-2.2
2/5/2007	-0.9	2.5	1.5	0.2	3.3
2/6/2007	-0.2	0.5	-1.2	1.6	0.7
2/7/2007	-0.9	3.6			2.7
2/8/2007	1.1	0.1	-0.8	0.5	0.9
2/9/2007	0.1	0	1.3		1.4
2/12/2007	2.2	-0.2	-0.6		1.4
2/13/2007	-1.8	1.4			-0.4
2/14/2007	-0.3	4.6	0.4		4.7
2/15/2007	-0.1	0			-0.1
2/16/2007	2.8				2.8
2/20/2007	2.2	11.3			13.5
2/21/2007	-1.5	0.2	1		-0.3
2/22/2007	-1.8	1.5	-0.9	2.1	0.9
2/23/2007	2.3	-0.3	1.1		3.1
2/26/2007	-1.8	3.4	-0.1		1.5
2/27/2007	3	2	-0.7	1.9	6.2
2/28/2007	-0.7	3.1	-0.2	7.5	9.7
					53.4
		Largest	Largest	Average	Average
	Win Ratio	Winner	Loser	Winner	Loser
	60%	11.3	-1.8	1.92	-0.66

Even excluding the 20th which consisted of 13.5 points that still leaves a gap of 24.5 points between my actual trades and the system trades. I suspect that most of significant difference of this is due to missing a few large moves such as missing that 7.5 point move this morning.

For a week by week analysis, the actual trades are as follows:

Week 1 Week 2 Week 3 Week 4 Week 5

-3.0 +4.8 +2.2 +1.5 +9.9

And for a week by week analysis, the system trades are as follows:

Week 1 Week 2 Week 3 Week 4 Week 5

+1.4 +6.8 +8.4 +3.7 +17.4

Thus in terms of following the system I captured approximately 70% of the total profit in Week 2 (the best week in terms of trading the system) and -200% in Week 1 (the worst week in terms of trading the system). The remaining weeks average between 40%-50% of the total profits available. As I mentioned before it appears that the weeks where I failed to capture the percentage of profit available, I either missed or bailed out early of large winning trades. I tended to trade better during more choppy and difficult conditions. This will be something to consider and that I intend to work on next month.
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