Sunday, April 1, 2012

Deep dive trading journal analysis - March 2012

As I was wallowing in my rogue trading day hangover earlier this weekend wondering what I'm going to do next, I realized a big gap in my overall trading process.  I wasn't doing my homework of reviewing and analyzing my trades via my trading journal.

I got somewhat lazy and didn't even realize it.  I have been diligently adding tags and notes to each one of my trading entries in my Tradervue online trading journal, but I wasn't going back and analyzing which setups were working and which were not.  I had yet another one of those "no duhhhh" moments.

Over the past year, I have updated over 2,000 records in my Tradervue trading journal.  The majority of the trades have been evaluated and updated with specific tags which provide the ability for me to use Tradervue to quickly slice and dice various types of reports and analysis on my trading performance. 

I started performing this type of analysis using Tradervue for my equity trades last year to discovery my strengths, but since switching over to trading futures in October, my transition to update the tags on my trading record was a little slow.  I wasn't sure how to tag the records since the trading methodology between stocks and futures were so different. 

But now that I have stabilized around a certain trading style over the past several months, I'm finally able to update my trading records effectively in a way that can generate meaningful reports and metrics.  So this weekend, I started to crank out the preliminary numbers, starting with March 2012.

I am taking the first big step in doing some meaningful homework, so that I can begin trading based on probabilities and gain confidence.  Big credit goes to FT71 on hammering home that concept based on his great webinars and his Vankar Trading brokerage service, as well as to Chris, Matt, and Cindy for constant feedback and reinforcement.  I think I'm finally starting to "get it" through my thick skill, although I know I still have a long journey ahead.

High level trading statistics
All of the output below was generated with Tradervue with the results output to Excel.  The setups that begin with "30m..." are setups based on Renato's Diamond Setups system.  It's clear to see that he has taught me a system capable of generated solid performance, assuming I have the discipline to "simply" follow the plan. 

To see the Legend, please see the report under the "Additional Details" section below.
And here's the summary of the "P&L killer" (NOTE: The Revenge/Rogue tags are not mutually exclusive so there IS some overlap.  Therefore, aggregating the results is not valid.)

Summary - the DENSE version
  • DISCLAIMER:  My trades have a lot of selection bias -- there are many trades that I do NOT take because I'm either not around, or I see some sort of conflict with another timeframe, or...  Therefore, these results are a reflection of my particular style and tendencies, and other traders using the same methodology may or may not experience the same outcomes.
  • My sample size for March is relatively small (n=113); I know there are some data entry errors; and there is overlap of certain tags/setups/metric; so take with some grain of salt!  Consider this "relative" comparisons and analysis.
  • I could have had a somewhat profitable month with gains of about $700 gross / +14.00 ES points over 66 trades, if I followed my trading plan (Followed plan = YES and YES/NO). 
  • However, the 30mDS7 setup was one particular setup that just didn't work well.  It lost -$637.50 / -12.75 ES points over 11 trades.  I had no idea.  Renato has always said he doesn't like the DS7 setups to enter trades except on higher timeframes -- I should have listened!  (Thick skull syndrome)
  • Excluding the 30mDS7 setup, it would have been a respectable month following the plan with profits of $1,587.50 / +31.75 ES points over 50 trades.
  • The new setups I took (TL, C2E, and SCALP) had a negative impact on my execution score since they are not a part of my trading plan.  But they generally did pretty well and generated $+1212.50 / +24.25 ES points over 31 trades (note that some of these also overlapped with the 30m setups). 
  • The new setups group was also included in the Followed Plan = NO. Therefore, that category would have been much worse without these profitable trades (see Revenge and Rogue trades for a better figure on what happens with the plan is not followed...$-1912.50 / -38.25 ES points over 43 trades!).
  • Renato started to teach scalp trades in his Diamond Setups room last week and they did surprisingly well.  However, note that I didn't exit with a profit at +1.00 for every trade as per his rules, so my average profits might be slightly higher.  But the 88.9% accuracy was surprisingly high.
  • Revenge and Rogue trades KILLED my performance.  Sure, there were a few good winners in there that tricked my mind to keep taking them.  But overall, as a group, they stank REALLY BAD.  Same issue I had last summer.
Summary - the SIMPLE version 
  • YMMV (your millage may vary) 
  • Don't take setups in red font, they are not good for me 
  • Take setups in green font, they reflect my strengths and are good for me Remember that these setups can easily scale up to 50-100 ES contracts or more 
  • When I get the urge to go rogue/revenge, run a report on Tradervue of all those yuck trades, and take deep breaths.  Or just take a few shots of J├Ągermeister and call it a day. 
  • Keep doing this homework on my stats for constant reinforcement, at least once every 2 weeks
Additional Details
This report also breaks down summary results earlier by the particular type of setup that took place (first touch, retouch, reverse play).

One observation I'll closely watch is how well the "Reverse Play" setup worked in comparison to others.  I've always had a feeling they worked well, and now I have some limited stats to prove it.

There is also a legend in the report below.

1 comment:

Anonymous said...

Brilliant post. Thanks.