Just to satisfy my curiosity, I’ve decided to work with one lucky person to analyse his/her trade statements (subject to some conditions of course). Interested? Read on below.
On my previous entry “Trade Statement Analysis”, I showed how we can analyse our trading statements to find:
- Number of Trades, per month per currency
- Percentage of winning trades, per month per currency
- Nett P&L, per month per currency
I’ve since taken it further to also look at trade statistics by
- Day of Week (Mon, Tue…)
- Day of Month (1st, 2nd…)
- Time of Day
- Trade Duration
- Percentage of Winning Trades (by currency, by month, overall, you name it)
- Expectancy
- Van Tharp’s System Quality Number (SQN)
And being the analysis junkie that I am, I’ve decided to take it even further by playing around with Monte Carlo Simulations. I’ve taken my R-Multiple Distributions, and ran it through an Excel Monte Carlo Simulation of 300 trades.
And the Monte Carlo is really interesting because while the earlier statistics shows the expectancy, it doesn’t capture the possibility of drawdowns based on my trading system. So I do not know how it might go wrong. E.g. If your system has a 1% probability of a 100R loss, and a 99% of 1.2R win (i.e. a system with really large stops and really small take-profit levels). It only takes 1 wrong trade to wipe your account out, although your expectancy is 0.19R. (i.e. avg profit of 0.19 per dollar risk)
Here are what the variables mean:
a) Starting Capital – How much money you start with in your account
b) Risk – How many percent is risked per trade based on current trade balance
c) Target – What’s your target trade balance at the end of 300 trades
d) Ruin Threshold – The threshold of your account where you decide that you will decide that your trades are not working and you will stop entirely to re-strategize. 80% would mean that your trade balance falls to below 80% of your starting capital.
So there you are, the table below shows the probabilities by Risk amount, so that I can identify what percentage of risk (position sizing) I am willing to take per trade.
Now, I’ve just about taken apart my trading behaviour by all ways possible based on my trade statements. Naturally, there are much more ways to analyse trading behaviour if I had kept a consistent trade journal of all my trades, reasons for entry, market conditions etc. But for now, I’m just going to use my trade statements as my reference.
And there’s only so much I can do…. next is to eliminate currency pairs that don’t seem to respond well to my trading approach, moderate my risk level to my comfort level and come back perhaps 6 months time to see if this has improved.
FREE TRADING STATEMENT ANALYSIS
I’m interested to know how this analysis can help one of you (yeah, if you are reading this blog, I’m referring to you). The first person comment on this post will get the opportunity to have his trade statements analysed for FREE. This is to satisfy my personal curiosity and I can only limit it to ONE person due to the amount of time I have to work on this.
Naturally, there are some conditions and disclaimer that I have to state upfront
- I am not trading coach or professional trader. I’m a trader just like you, learning how to improve my income stream with trading.
- I will not be responsible for any losses (or wins) as a result of any tweaking made to your trading strategy as a result of this analysis. Trading is extremely personal, and the only person responsible for how it turns out is YOU.
- You are willing to share the results (good or bad) of any tweaking as a result of this analysis.
- The analysis will be completed on my timeline. I will spend as much time as I can on the analysis, but I cannot promise to complete it within any specific timeline. I will also probably need to write a macro to extract your trade information from your statement. A good guideline would be that I can complete it in 2 weeks.
- Preferably, your broker is GFT. This is because that’s what I built this analysis upon, and will greatly reduce the amount of time I can work on this
- You have been trading using a consistent approach for about 1 year. You need to give your trading approach some time to test out how it works and have sufficient trades for it to be statistically significant.
- You are willing for me to post parts of the analysis on this blog. Sensitive information such as trading capital, Profit and Loss can be omitted. Other non-sensitive figures like winning percentage, number of trades, profit percentage, will be used. I will discuss with you what information is used before posting.
- You use Skype… This is the best way I can think which I can communicate with anyone in the world.
- You will get your analysis results back in Excel format (without the macros and formulas).
That’s it! So if you are comfortable, comment away with your email address and skype id, and I’ll be contacting you soon. Meanwhile…. Happy Thanks Giving!
