Hi Cadig,
Sounds like you are moving from system development to implementing tactics. So now you will have trade data that, that can provide feedback to the the system, AND will be optimizable at the trade level
This thread will be interesting for you to read.
Scalping and Analysing your trades | Page 2 | Elite Trader
About 1/2 through there is a "line-out" report (PDF) for the scalper. Look at what they are tracking and why. After that, you can learn about trade tracking software and system (https://www.trademetria.com) etc. Check those out too. Now consider which of those "metrics" are actionable, i.e. why you care. and which apply to your system. Focus on one or two items that can help the most.
You can roll your own tracking using Excel. Some are harder to track auto-magically in Excel, e.g., time in trade, unless you hook it up to the broker. I did not because I can do it semi manually, if I want it, and I did not want to do too much with Excel, due to its upkeep.
So much is really dependent upon the system. Which instrument, trade assumptions, risk parameters, etc. Perhaps just sit back and take a broader look at what you are doing, jot down the key pillars of the system, and drill down to the representative trade execution tactics and optimize.
Never forget the goals. P/L, risk management, time optimization, robustness-resilience. I believe a lot of advanced traders do things that are pretty scrappy. Systems are not intended to be Ivory towers that shower you with money, contrary to advertising. They are more like shop stalls in an outdoor marketplace, taking care of mundane business, making money, doing whatever it takes within reason.
Here are 5 things that might help get you started with the above:
1) Check your top ten best & worst trades. Remove some of them to see how your P/L changes, AS A PERCENT of P/L. It might be large. Massaging these will tell you which situations (trades) need to be optimized or limited-eliminated.
2) What is the MODE range of your trades? What are your P/L bread and butter trades. Now increase those by 15%. Maybe create a way to help replace those top ten ones above with more MODE trades.
3) Maximum excursions. Look at those. Figure out how to eliminate or enhance, or just mange better.
4) Add the element of TIME, through out the trades. Some system benefit from shorter trades and more of them, some system the opposite. Optimize your time in trade to fit your system. Apply this analysis to the two above.
5) Create a snapshot interval for evaluation. If your system does 100 trades a month, then a 25-30 trade snapshot might be a good interval to do the analysis. Enough to get data, but small enough to see optimization opportunities. Some trades matter more than others.
Happy New Year and good trading to you
PS: Yes, I have a lot of experience and a formal education ( in verification theory), but you can do many things with a sharp focus on a specific goal. Certainly you can do enough to get some low hanging fruit.
Sounds like you are moving from system development to implementing tactics. So now you will have trade data that, that can provide feedback to the the system, AND will be optimizable at the trade level
This thread will be interesting for you to read.
Scalping and Analysing your trades | Page 2 | Elite Trader
About 1/2 through there is a "line-out" report (PDF) for the scalper. Look at what they are tracking and why. After that, you can learn about trade tracking software and system (https://www.trademetria.com) etc. Check those out too. Now consider which of those "metrics" are actionable, i.e. why you care. and which apply to your system. Focus on one or two items that can help the most.
You can roll your own tracking using Excel. Some are harder to track auto-magically in Excel, e.g., time in trade, unless you hook it up to the broker. I did not because I can do it semi manually, if I want it, and I did not want to do too much with Excel, due to its upkeep.
So much is really dependent upon the system. Which instrument, trade assumptions, risk parameters, etc. Perhaps just sit back and take a broader look at what you are doing, jot down the key pillars of the system, and drill down to the representative trade execution tactics and optimize.
Never forget the goals. P/L, risk management, time optimization, robustness-resilience. I believe a lot of advanced traders do things that are pretty scrappy. Systems are not intended to be Ivory towers that shower you with money, contrary to advertising. They are more like shop stalls in an outdoor marketplace, taking care of mundane business, making money, doing whatever it takes within reason.
Here are 5 things that might help get you started with the above:
1) Check your top ten best & worst trades. Remove some of them to see how your P/L changes, AS A PERCENT of P/L. It might be large. Massaging these will tell you which situations (trades) need to be optimized or limited-eliminated.
2) What is the MODE range of your trades? What are your P/L bread and butter trades. Now increase those by 15%. Maybe create a way to help replace those top ten ones above with more MODE trades.
3) Maximum excursions. Look at those. Figure out how to eliminate or enhance, or just mange better.
4) Add the element of TIME, through out the trades. Some system benefit from shorter trades and more of them, some system the opposite. Optimize your time in trade to fit your system. Apply this analysis to the two above.
5) Create a snapshot interval for evaluation. If your system does 100 trades a month, then a 25-30 trade snapshot might be a good interval to do the analysis. Enough to get data, but small enough to see optimization opportunities. Some trades matter more than others.
Happy New Year and good trading to you
PS: Yes, I have a lot of experience and a formal education ( in verification theory), but you can do many things with a sharp focus on a specific goal. Certainly you can do enough to get some low hanging fruit.
