Friday, March 30, 2007

Monthly Trade Analysis - March 2007


Well this has been a difficult month because of the volatility (both high and low). My net for the month was +7.7 points out of a total possible of +31.1 which is considerably less than my monthly goal of 20 points. I feel I could have traded the system better this month, particularly I feel that I should have been less concerned about the win ratio and more interested in the average winner vs. average loser.

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

March 2007 Trading Summary for Russell Futures (Actual)







Date

Trade 1

Trade 2

Trade 3

Trade 4

Net

3/1/2007

-1.8

8.6

-1.8

-0.7

+2.5

3/2/2007

-1.8

-1.0

-1.8


-4.6

3/5/2007

No Trades





3/6/2007

No Trades





3/7/2007

-1.8

-0.4

0.4


-1.8

3/8/2007

0.2

-1.2

-0.6


-1.6

3/9/2007

3.8

1.5



5.3

3/12/2007

1.7

1.0



2.7

3/13/2007

-1.8




-1.8

3/14/2007

4.9

4.0



8.9

3/15/2007

-1.8

-1.8

0.2


-3.3

3/16/2007

3.1




3.1

3/19/2007

-1.1




-1.1

3/20/2007

-1.8

-1.8

-1.8


-5.4

3/21/2007

-0.1

0.0



-0.1

3/22/2007

2.0

-1.2



0.8

3/23/2007

-1.8

0.0



-1.8

3/26/2007

3.8

-1.8



2.0

3/27/2007

-1.3




-1.3

3/28/2007

-0.1

3.6



3.5

3/29/2007

0.0

-0.2

1.8


1.6

3/30/2007

1.7

0.2

-1.8


0.1






7.7









Largest

Largest

Average

Average


Win Ratio

Winner

Loser

Winner

Loser


44%

8.6

-1.8

2.12

-1.32

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

March 2007 Trading Summary for Russell Futures (System)







Date

Trade 1

Trade 2

Trade 3

Trade 4

Net

3/1/2007

-1.8

10.1

-1.8

-1.8

4.7

3/2/2007

-1.8

-1.0

-1.8

0.5

-4.1

3/5/2007

2.1

-1.2

3.2

4.9

9.0

3/6/2007

3.5

0.5

-0.1

2.4

5.3

3/7/2007

-1.8

-0.4

0.9

1.5

0.2

3/8/2007

-0.3

-0.4

1.5

-0.4

0.4

3/9/2007

3.6

1.6



5.2

3/12/2007

0.1

0.6

0.3


1.0

3/13/2007

-1.0

0.2

-0.3


-1.1

3/14/2007

5.4

4.1



9.5

3/15/2007

-1.8

-1.8

-0.9

-0.5

-5.0

3/16/2007

1.5

3.2



4.7

3/19/2007

0.2

2.6



2.8

3/20/2007

-1.8

-1.8

-1.8

1.4

-4.0

3/21/2007

-0.4

-0.3

-0.7


-1.4

3/22/2007

1.0

-0.8

0.6


0.8

3/23/2007

-1.5

0.2

-0.5


-1.8

3/26/2007

3.8

-1.8

-1.8


0.2

3/27/2007

-0.2

1.3



1.1

3/28/2007

-0.2

-1.0

3.6


2.4

3/29/2007

0.0

-0.6

1.8


1.2

3/30/2007

-0.2

-1.8









31.1









Largest

Largest

Average

Average


Win Ratio

Winner

Loser

Winner

Loser


45%

10.1

-1.8

2.13

-0.97


Even excluding the 5th and 6th (which I did not trade) and which consisted of 14.3 points that still leaves a gap of 9.1 points between my actual trades and the system trades. Additionally, my trading of the system had a slightly lower win ratio (1%) and a higher average loser amount (-1.32 vs. -0.97).

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

Week 1 Week 2 Week 3 Week 4 Week 5

-2.1, +1.9, +9.6, -7.6, +5.9

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


Week 1 Week 2 Week 3 Week 4 Week 5

+0.6, +20.1, +9.1, -3.6, +4.9

It appears that my best trading weeks were the third and fifth and that my worst trading weeks were the first and fourth. I obviously had difficulty recovering from my losses in the fourth week. It’s also obvious that missing two trading days this month (during the second week) was absolutely crucial 14.3 points worth. I’m going to strive to be more mechanical next month as I would like to capture at least 75% of the total profits possible.


Save to del.icio.us

No comments: