After seeing how some other traders track their performance, I redid my spreadsheets. I put all the data into one spreadsheet so I can see the performance over any time period, starting October 29 which is when I went back to real money trading after making the changes detailed in the A look back on my journey series (mainly dropping eminiwatch method in favor of FT71 method). I also dropped crude, dax, & euro as I only traded them live for a few days and that was skewing the results. For now I focus on Bund & ES and track them separately.
The way I was calculating $/contract was weighing all contracts equal and that wasn’t good. If I scratched a trade with 4 contracts that would penalize a nice gain on another trade with only one. It’d take the total gain and divide by 5. That’s not really what I want, I want to track expectancy per trade on a per contract basis. If anyone finds that confusing I can make a video on it.
Expectancy is win % * avg win/contract – loss % * avg loss / contract. When I compute this for ES it’s 0.54 minus 0.10 for commissions so it’s 0.44 net. That’s $22 or roughly 2 ticks. I really need to get that higher. I used to focus on profit factor but I think expectancy is much more important. My ES profit factor is 5.04 which sounds great but a high PF is not going to pay the bills, expectancy will.
When I compute it for the Bund it’s 0.02 which is 20 euros. I find it interesting that it’s about the same as ES. This tells me I’m trading more for ticks than for the bigger moves. And this is one reason why my average is so low.
The other reason why the expectancy is so low is because rather than stop out I’ve been scaling in on the next setup and then scratching the trade. I mentioned that a bit on Friday. I’m convinced this isn’t optimal and exposes me to additional risk. I need to have a tighter stop, and when I stop out I can look for a second setup at a better price and then hopefully have a bigger winner than my first loser. I need to test that this week.
I debate how I want to test this. On one hand sim would be a good candidate but it’s hard to go to sim with a positive expectancy. I’m averaging $250/day and I kind of like having an income, especially at Christmas time. I could also continue trading 1-2 contracts as I am now and that’s what I plan to do. Tightening the stop more will be a learning experience and as long as I can keep a positive expectancy then I’m good. If my expectancy goes negative then I’d want to work things out on simulator. So I’ll play it by ear. This is a holiday week so I will be extra careful.
So here are two charts for ES. The left axis is points and the right is each trade. The bund charts look surprisingly similar:
The equity curve is interesting. The first steep part up was when I got a nice mini-swing trades on ES. I think I was motivated to do this to make up for some losses trading crude oil that day. A bit of “revenge trading”? I don’t know but I’m not trading crude with real money any more so I just focus on ES.
The flat spot (before the drop) was the Vetern’s day long weekend trip. Then the steep drop was a loss I took on a long on Tuesday, the day the market dropped down. Other than those incidents, the curve is pretty smooth. Remember the graph is per trade not per day. It would be interesting to track performance per day as well.
The expectancy graph shows the big trade as well (5 pts/contract). I don’t include swing trades in these stats, just day trades. I have a lot of 1 pt wins which makes sense as I usually go for +4 ticks & +6 to +8 ticks. There are a lot of trades that make between 0 & 1. Why? One reason is if I get +4 on T1 and then T2 I get out +2 or 0. That would make 6/3 = 2 ticks = 0.50 pts. And the ones near zero were scratched trades. So everything seems consistent with my trading.
Once I get the excel spreadsheets worked out I plan to share them here and hopefully get input from others. I highly recommend keeping statistics on your trading. I used to just use Ninjatrader but now I’m trading with X_Trader so I have to do it myself. And I prefer it that way because I’m not limited by what Ninjatrader can do. The only thing I miss is MAE and I’ll be tracking that (by hand) going forward.
So in conclusion, my focus this week:
- Tight stops, minimize scaling in
- Go for bigger setups.
I hope you found all this interesting. The new journey to 100 contracts is underway. So far it has taken a bit longer to get started than I thought. I seem to be “stuck” at 2 contracts. But I want my trading to be great before I start increasing size.