Something very simplistic
- Thread starter Quah
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Pretty choppy today - too many B/E's and a few DW's.
For ES:
+2.50 points, 17 trades, 10 winners, 7 losers
For NQ:
-7.50 points, 18 trades, 8 winners, 10 losers
http://home.carolina.rr.com/quah/quah1web.htm
For ES:
+2.50 points, 17 trades, 10 winners, 7 losers
For NQ:
-7.50 points, 18 trades, 8 winners, 10 losers
http://home.carolina.rr.com/quah/quah1web.htm
Well, it's been 1 calendar month since I started posting the results of SVS.
Part of me feels a bit disappointed mainly over the result of the past week or so. But the rest of me feels like things actually went well, and that I accomplished (so far) what I set out to do - have a purely mechanical system that is profitable.
But how profitable is profitable "enough"? That is a question that I didn't think about before now. Here are the daily averages over the past 20 trading days:
For ES:
Avg. Daily Trades: 14 (avg. daily gross +3.25 points)
Avg. Winning Trades: 9 (avg. amt +1.06 points)
Avg. Losing Trades: 5 (avg. amt -1.19 points)
For NQ:
Avg. Daily Trades: 14 (avg. daily gross +10.50 points)
Avg. Winning Trades: 9 (avg amt +3.10 points)
Avg. Losing Trades: 5 (avg. amt -3.20 points)
As for dollar amounts:
For ES:
Avg Daily Gross: $162.50
Avg Commish: $67
Avg Daily Net: $95.50
For NQ:
Avg Daily Gross: $210.00
Avg Commish: $67
Avg Daily Net: $143.00
(The following makes the assumption that the above figures are "per contract". There have been times where the system would have required the trader to hold more than one open position at once - so "per contract" may not have been applicable at all times - so there would technically need to be some sort of small adjustment - but for purposes of this review, I don't think that is critical.)
Using the full margin requirement of $3563 for ES, $95.50 net profit per day gives us a 2.68%/day average "return" on the ES trades.
Using the full margin requirement of $2250 for NQ, $143.00 net profit per day gives us a 6.35%/day average "return" on the NQ trades.
I'm sure there could be argument about how I figure this "return" - I'm not relly sure if that is proper or not, but it seems fair using full margin for these purposes. Of course, using the "true" margin required would show the percentages to be much higher.
So, when I look at it this way, I feel a little better about "how much" profit has been made on a percentage basis. Am I looking at this the wrong way? Should I be calculating this differently? I realize this is only over 20 trading days - and could get far worse just as easy as it could get far better.
Part of me feels a bit disappointed mainly over the result of the past week or so. But the rest of me feels like things actually went well, and that I accomplished (so far) what I set out to do - have a purely mechanical system that is profitable.
But how profitable is profitable "enough"? That is a question that I didn't think about before now. Here are the daily averages over the past 20 trading days:
For ES:
Avg. Daily Trades: 14 (avg. daily gross +3.25 points)
Avg. Winning Trades: 9 (avg. amt +1.06 points)
Avg. Losing Trades: 5 (avg. amt -1.19 points)
For NQ:
Avg. Daily Trades: 14 (avg. daily gross +10.50 points)
Avg. Winning Trades: 9 (avg amt +3.10 points)
Avg. Losing Trades: 5 (avg. amt -3.20 points)
As for dollar amounts:
For ES:
Avg Daily Gross: $162.50
Avg Commish: $67
Avg Daily Net: $95.50
For NQ:
Avg Daily Gross: $210.00
Avg Commish: $67
Avg Daily Net: $143.00
(The following makes the assumption that the above figures are "per contract". There have been times where the system would have required the trader to hold more than one open position at once - so "per contract" may not have been applicable at all times - so there would technically need to be some sort of small adjustment - but for purposes of this review, I don't think that is critical.)
Using the full margin requirement of $3563 for ES, $95.50 net profit per day gives us a 2.68%/day average "return" on the ES trades.
Using the full margin requirement of $2250 for NQ, $143.00 net profit per day gives us a 6.35%/day average "return" on the NQ trades.
I'm sure there could be argument about how I figure this "return" - I'm not relly sure if that is proper or not, but it seems fair using full margin for these purposes. Of course, using the "true" margin required would show the percentages to be much higher.
So, when I look at it this way, I feel a little better about "how much" profit has been made on a percentage basis. Am I looking at this the wrong way? Should I be calculating this differently? I realize this is only over 20 trading days - and could get far worse just as easy as it could get far better.
I think one way to consider the returns would be based on the risk per trade and ones individual risk tolerance based on a percentage of risk they want to take per trade.
For example, with ES, the risk per trade would be $62.50 (stop) + $5 IB commissions, for a total of $67.50 per trade. With a risk tolerance of 1/2% of capital per trade you would require capital of $13500 per contract traded. This would equate to a return of 0.7% per contract, per day. Risk tolerance of 1% would give a return of 1.4% and so on.
For example, with ES, the risk per trade would be $62.50 (stop) + $5 IB commissions, for a total of $67.50 per trade. With a risk tolerance of 1/2% of capital per trade you would require capital of $13500 per contract traded. This would equate to a return of 0.7% per contract, per day. Risk tolerance of 1% would give a return of 1.4% and so on.
Am I interpreting your data correctly that the average trade is <$7 for ES and $10 for NQ? My experience is that those are not numbers for a tradeable system, but perhaps the extremely short duration of the trades and the globex execution system allow it to work.
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