Thursday, June 30, 2011

S/R for 7/1

/ES
1328
1320
1306.50

Tuesday, June 14, 2011

Daily S/R for 6/14

/ES
1297
1290
1285
1276
1270

EUR/USD

1.4556
1.4436
1.4376
1.4316

Friday, June 10, 2011

Weekend Post: Crunching The Numbers...

Over the past year I’ve focused more and more on trading the odds and stats, rather than pure discretionary trades and emotional gut plays. I wonder how many retail traders keep a daily log of things like the maximum heat they took on a trade (MAE), maximum profit they did/ could have reached on a trade (MAE) and other such stats? I firmly believe my trading has improved by leaps and bounds after tracking these stats over a large real-time sample size. Here are a few things I’ve found to be important:

MAE: Maximum Adverse Excursion: This is vital information for me to be aware of for my trading setups. If I have a long setup to take when a certain trigger happens, what is the average MAE across a sample size of 100 trades? What are the outliers? Taking context and size into consideration, If a certain long setup averages a MAE of 2 pts, then on a day with negative internals I might want to take a half size position at the signal trigger and add to it if price drops to my average MAE of 2 pts.

MFE Maximum Favorable Excursion: How much profit do I average per trade? If my system target is 5 points, and I average a MFE of 8 points, then I might scale out at the original target of 5 pts while leaving a percentage of the trade on to reach the upper average MFE while moving my stop to either just in the money or break-even on the remaining percentage.

I also like to track and keep logs of variants on MAE/ MFE that I named “Max Run” and “Max Loss,” both of which are somewhat subjective. With MAE I only keep track of the range between my entry point and the set system stop loss, but I’d also like to know how much further price goes after it hits my stop. 10 pts, 20 pts? Same idea with “Max Run” – even if I hit the system target and price comes back down to my original entry and below (while not passing the original stop loss) I want to know how far it runs on average. These metrics help me realize high deviations of average trades when framing the day in its own context.

Here’s an example of a log I’ve been keeping for one system. Sample size is 84 trades.

So are you tracking these statistics in your trading? Is there anything questionable about incorporating these into your trading plan? In the next weekend post I will try and detail how tracking intraday VIX levels against your average system stats make a huge difference in realizing the deviations of trade averages.

Have a great weekend.

Wednesday, June 8, 2011

Daily S/R for 6/9

/ES
1291
1284.5
1280.5
1264.5
1259

EUR/USD
1.4754
1.4633
1.4573
1.4512

Tuesday, June 7, 2011

Daily S/R for 6/8

/ES
1298-1299
1292-1293
1278
1272

Monday, June 6, 2011

Daily S/R for 6/7

/ES
1302
1296.5
1282
1275

Daily S/R for 6/6

/ES
1315
1309
1303
1289
1282

EUR/USD
1.4763
1.4702
1.4581
1.4521

We're pretty close to some previous monthly lows on both SPX/ ES (Feb/ Apr). /NQ, also.