Distribution of trading profits: What is it?

daniel, point taken too. and I know mdlm was not referring to equity curve. I only mentioned the equity curve because you also want to analyse this (slope, drawdown, etc).
Here we are talking about the distribution of trade results.
I am not sure about the thick tail, because it depends on the trading style I suppose.
My trading is very mechanical and short term. The trades seldom have parabolic accelerations (in my case again), so my distribution is very tight with rather not thick tail.
What I mean is, I guess (logically) systems or style with trailing stops will have 'home runs' or at least trades with higher than average profits.
That's not my style so I don't see this in my distribution. Well, all is relative, it is skewed indeed, but tight.

tntneo
 
Originally posted by mdlm
What does the per trade dollar P/L distribution look like?
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your question prompted me to look at our (net) cents per share distribution for the last 6 months, and the results were pretty "unimaginative": a close-to-normal distribution (the peak was sharper though) with positive mean value and right tail considerably fatter.

- jaan
 
I guess that's typical. Might be more interesting to multiply the number by the value (number of exits with a given p/l by the p/l.)That would show you where most of your profit comes from.

Or you could figure out total profit per each cent of p/l for each week of trading, and do a graph of that (one line per each cent of p/l,) see how that's changed over time.

etc, etc.

Voodoo
 
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