What Performance Metrics do you like to Track?

[zghorner]

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.

What units do you use for MAE? $, Ticks, Etc...? Currently trading futures only. Average hold time less than a day with the occasional multi day hold.

Looks like Pain-to-Gain is same as Profit Ratio Mentioned by others. Thanks for the info.

EDIT: damn MAE looks crazy useful...MFE and ETD potentially too.

 

[Businessman]

Now in my 4th decade.. after so much drawdown...increase size. Have to think outside the box.

So it took you 40 years to came up with the plan to increase size after losses?

I was doing that within 40 days of starting in this business

 

[comagnum]

What units do you use for MAE? $, Ticks, Etc...? Currently trading futures only. Average hold time less than a day with the occasional multi day hold.

I measure the MAE in basis points and plot in on a spreadsheet.

 

[zghorner]

So it took you 40 years to came up with the plan to increase size after losses?

I was doing that within 40 days of starting in this business

why would you increase your size after losing? Makes more sense to me to decrease size if losing until you become profitable again.

 

[guest_trader_1]

Entry and exit levels of your major draw-downs. As well as the avg holding time of those fuck-ups.
Then you can analyse why you made that mistake. The rest of the metrics are useless.

 

[SimpleMeLike]

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.

Good Morning zghorner,

Most important metrics for me:

Discretionary/Manual/Best-Educated-Guessing Trader:
1. How fast can I recover from drawdown within 1 hour.

100% Automated Trading System Trader:
1. Profit Factor > 2

 

[SimpleMeLike]

i think recovery factor is pretty important. how quickly you rebound from a drawdown based on system's r:r and opportunities

Good Morning hilmy83,

Agree

 

[SimpleMeLike]

only 1 matters and that's profit factor.

Good Morning MarkBrown,

Agree

 

[GoldDigger]

I track the last several days of the stock's daily
spread, and its extended hours performance to
ensure it meets my criteria.

 

[Sprout]

why would you increase your size after losing? Makes more sense to me to decrease size if losing until you become profitable again.

He has confidence in his method with data to back up his strategy.