Help Analyzing Trade Data

[Muffhands]

Hey ETs

I just started exported my trade data to excel to do some analysis and see how my system is going so far. My question for you guys is what are some key metrics that would be helpful in analyzing the data and determining whether or not my system has an edge.

So far I have covered the following

Average win size $
Average lose size $
% win rate
% lose rate

Using these 4 values I was able to calculate expectancy over many trades by :
(average win amount x % win rate) - (average loss amount x % lose rate) = -0.7.

So even though I have made money so far with my system, it seems to actually have a negative expectancy so far with my current data. I only have about 66 trades in this data set so I am going to collect more.

My question for you guys: what other key metrics and values should I be looking at that would help me analyze the data from my trades?

Thanks!

 

[They]

Average win/loss size and % win/loss rate are based on your risk:reward criteria which you might be curve fitting to the small data sample you are using.

Before you look at those metrics why not look at MFE and MAE from the entrance signal itself based on time and contracts/shares traded. I.e., from the entrance signal what is the MFE/MAE after 5m, 60m, 1d or 10k, 50k 500k contracts/shares? (you did not state the market or time frame you are trading)

You can also check the MFE and MAE from the two bars immediately before and after your signal bar using the same time and shares/contracts traded parameters. Doing this is a quick way to tell if your entrance has an edge over random.

And ultimately, max drawdown as a percentage of profits and how quickly your system recovers from the drawdowns.

 

[murray t turtle]

Hey ETs

I just started exported my trade data to excel to do some analysis and see how my system is going so far. My question for you guys is what are some key metrics that would be helpful in analyzing the data and determining whether or not my system has an edge.

So far I have covered the following

Average win size $
Average lose size $
% win rate
% lose rate

Using these 4 values I was able to calculate expectancy over many trades by :
(average win amount x % win rate) - (average loss amount x % lose rate) = -0.7.

So even though I have made money so far with my system, it seems to actually have a negative expectancy so far with my current data. I only have about 66 trades in this data set so I am going to collect more.

My question for you guys: what other key metrics and values should I be looking at that would help me analyze the data from my trades?

Thanks!

%%
You are right to want much more than 66 trades; make sure it includes bull+ bear markets........
And while plenty of things get better with age; but watch out for it going the other way, also, overtime.

 

[Muffhands]

%%
You are right to want much more than 66 trades; make sure it includes bull+ bear markets........
And while plenty of things get better with age; but watch out for it going the other way, also, overtime.

Yes of course as I stated my data is limited and I am still in the process of collecting, hence why I mentioned there was only 66 data points. I was more so looking for different metrics and data analysis that would be useful to look at while analyzing data sets . This is just one of many strategies I have been testing. This particular strategy is an intra day stratategy and positions are generally held for 5-20 minutes. So the over all trend of the market is not as influential on the outcome of the system.

 

[murray t turtle]

Yes of course as I stated my data is limited and I am still in the process of collecting, hence why I mentioned there was only 66 data points. I was more so looking for different metrics and data analysis that would be useful to look at while analyzing data sets . This is just one of many strategies I have been testing. This particular strategy is an intra day stratategy and positions are generally held for 5-20 minutes. So the over all trend of the market is not as influential on the outcome of the system.

%%
M hands;
The few[two] intraday systems i did as study on, that made a profit long term; the one that traded notable less --made[averaged 20 % more/ per year, than the other].

(If you favor the short side { bear move]like many day traders do-cant assume it will keep doing that well like -as short side bias has done in FEB, OCT, NOV, 2018 .}Of course those are bear trend months+ it could do better, in multiyear bear like 2000, 2001, 2002.......
As far as your original question; look at everything. But, my medium term plan pays real close attention to ''consecutive losses''- usually when i lose money its a 200 day moving average. change.
I wonder how it would have done in 2017, which was an unusual smooth uptrend, mostly?? If it did well, 2017, you may have a good system?? Good question.