Wednesday, February 28, 2007

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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2 comments:

LifePost said...

Interesting stats, I'm hoping I can become as detailed in my trading stats as you. However I have no hard system yet. Eventually I will refine my methodology to where it is a solid system that can be tracked.

Lord Tedders said...

I'm glad they were educational. I've learned over time that compiling these statistics helps define what we're doing well and what we need to improve on. Good luck with your process.