What Performance Metrics do you like to Track?

zghorner

zghorner

Putting together a spread sheet to track performance and curious as to what ETs are tracking. I have slacked in this area in the past and would like to be fairly thorough. Have you found any certain metric(s) to be beneficial in seeing performance flaws, outside of the typical time/entry/exit/P&L? Anything you felt your records were lacking at first and you wished were included all along?

thanks everyone.
 
MarkBrown said:
only 1 matters and that's profit factor.
More...
I get that results re the name of the game but I'm also wanting to use this as a tool of discovery. If I'm losing money then yes there is obviously a problem...but where? They say the devil is in the details...
 
Trading performance datapoints to track -
https://www.dogpile.com/serp?q=Trading+performance+datapoints+to+track

Trading spreadsheet to track performance - https://www.dogpile.com/serp?q=Trading+spreadsheet+to+track+performance

Along with the usual crap, maybe consider Setup Name, Trigger Time, Exit Name
and Keep a screenshot of the chart marked up at least a little, organized by the most valuable attribute that you track. For my 2 cents, Set up a Folder dedicated to Trading Chart Screenshots, the filename starts with Setup Name, a 4 digit number that started high and for each new addition the number was one less, eg 9999, 9998, 9997...
That way the most recent one always ends up at the top of the list when you add the next "Hammer@Sup 9996..." to the list. You don't have to reenter all that crap over and over, just edit starting with the last digit and add ...After that I put the product and the timefreame chart it came from. If there's more I want to be able to sort on with the windows search function I can just plug those terms in and 'let the computer do the work' on those files for me.

delete.jpg


https://elitetrader.com/et/threads/...solid-trading-plan.340340/page-4#post-5031706
 
This first metric is somewhat controversial, and its usefulness is nearly 100% IMO, based on the style of the trade(r) (scalp, intraday-swing, swing, position, etc.). It's value is meaningful only for scalp and other very short-term operations... Win/Loss ratio.

Actually It was @volpri that changed my mind on the WL ratio, but again, only if the style of trade(r) is very short-term.

My favorite metric is % of available HL range... For instance, if NQ closed the day with a linear HL range of 100 points (400 ticks), what % of that have I captured. Yes, it can be negative!

You already mentioned entry/exit times, but don't forget to use the trade duration, day of week, and even hour of the day for your performance metric analysis.
 
zghorner said:
Putting together a spread sheet to track performance and curious as to what ETs are tracking. I have slacked in this area in the past and would like to be fairly thorough. Have you found any certain metric(s) to be beneficial in seeing performance flaws, outside of the typical time/entry/exit/P&L? Anything you felt your records were lacking at first and you wished were included all along?

thanks everyone.
More...

i think recovery factor is pretty important. how quickly you rebound from a drawdown based on system's r:r and opportunities
 
I find these metrics to be the most useful to me, it measures risk adjusted performance.

ROR % week, month, quarter, annual
pain-to-gain day, week, month, quarter, annual. (divide the sum of gains by the the sum of losses).
MAE (max adverse excursion). This is an early warning for going on tilt.
 
Last edited:
Sharpe like metric. ie. Average Return/Stdev Returns, I ignore the risk free part.

Sharpe of 2.5 (or more) is amazing, Rentec Medallion like performance. How they do that with 10 Billion under management is mind blowing.
Sharpe of around 2 is pretty good.
Sharpe of around 1 is tradeable.

The higher the Sharpe the easier it is to compound profits!
 
In the beginning nada, as years goes by constantly adding more questions and stats are built. Now in my 4th decade, over 150 stats kept via automation. Much of it has to do regarding counter trend, how much time or bars expect...

I get more data of equity curve, after so much drawdown...increase size. Have to think outside the box.
 
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