Weekly Trading Review 12-16th September

Weekly Trading Review 12-16th September

Another okay week. Just not feeling it for the last couple of weeks. Don’t feel that I am doing anything wrong, just do not feel 100% in sync with my system or plan and the markets.

As to my goals, I am taking the opportunities that my system is providing me with and keeping my average trade grade for the week above A.

What did I do best this week and how I did I do it?

On Thursday, took a loss, which was a good trade, then took an okay trade and then followed it immediately with a poor trade. Realised that this could be the start of tilt, took a small time out and then traded the rest of the day with Grade A trades recovering the loss, and ended up down small (up a couple of ticks but down a bit once taking commission into account)

What did I do badly this week and what lead me to do it?

I have just not been feeling it the past the couple of weeks, I have good days followed by mediocre days. No big down days but just small down or under performance days.

I could not put my finger on it, just not in the flow.

What is the problem?

On Friday afternoon, I called it quits and decided I was going to apply the (DADA) decision making process to the problem.

As a reminder DADA, stands for Data, Analysis, Decision and Act.

So the focus is, what can be the underlying cause to my general feeling of the under performance?

Data

From examining my trading journal that I can see that the problem started about just over 3 weeks ago.

In that period, there has been increase in trades that either I have not followed my hypo or missed managed trades that I did not take in accordance to my plan.

Also in that period there has been a decrease in the frequency of my mini plans.

And finally, I have noticed am increase in hesitation when I take trades. This is recorded as an entry in grading system.

Analysis

So what has changed in the past three weeks

a) I have changed my desk around. So that my cheat sheets are directly in front of me. I did this as the bloody things are in plastic pockets and kept sticking to my arm in the warm weather, and getting completely on my tits. So now my main trade plan is off to the left instead of directly in front of me.

b) I added an indicator and rules to my trading system to help with the timing of traders. These where not random additions, I had researched and back tested them.

So no major changes. But and there is always a but.

By not having my trade plan in front of me, it became less of a focus during the day. I can tell this, as the last 2 weeks of trade plans, have a lot less notes and comments scribbled on it then my average trade plan does.

I think that detachment from my overall plan has translated into me being out of sync in what the market is doing, and the increase in number of mistakes in the trades that fit my hypo.

And I think that my increase in hesitation, has been down to the increase in complexity of my system.

I went back over the charts and the past 40 trades that were run under the revised system. Basically I looked at whether it actually helped and the answer is that the majority of the trades, I would have taken anyway with the new rules and the rest were of marginally profitability.

The added value of these new rule where limited and the downside was more decision making and a feeling of stress and confusion.

One of my routines, is that I am feeling confused about what I should be doing in a situation, is to take a break and read my system process from my cheat sheets.

This normally helps but I found that the last 2 times I did it, that it did not really clarify in my mind the process.

I am not sure why I have a reduction of in the frequency of my mini plans. Possibly because I did not feel in sync that I have avoided doing them. I am not sure.

What I am going to do?

It got me thinking about racing, the current boat I am sailing did not a process for discussing the competitors and their positioning around us.

During the race, what the competitors are doing helps decides the tactics but whenever it was discussed, it would result in a rambling conversation for each competitor.

I changed that to a one sentence for each boat, which was sail number (identifying the competitor), whether it was pointing higher, lower or same compared to us, whether it was going faster, slower, same speed compared to us and only if it had changed since last call, the distance in boat lengths using the clock system for direction.

So instead of a rambling conversation, the result was a sentence “Z72, lower, same, six lengths at 5.”

I thought I would apply this sort of thinking to my system. I wanted to strip out the superfluous language, and re write the process so that it was clearer and more defined and focused, and highlighting the highest probability versions of the setup.

My cheat sheets covered 4 sides, including entries and exits, bias and general rules covering trend days etc. Now they are just 2 sides.

The less decisions or less discretionary I can make my system then there is less chance of me fucking it up.

It is important to note that the setups all have a good edge but there are certain times when context and structure line up and these are higher probability. As sometimes, I am fucking around in a good scalp trade and not focusing on the high probability structure intraday swing trade that is forming.

The second thing I am doing is changing the layout of my desk so that the trade plan is once more front and centre. And if the plastic pockets start sticking to my arm then I will just move them. I only check them at certain points during the day and transfer that knowledge to my trade plan or mini plan.

The question is whether moving a trade plan 30 cm to the left can have such a knock on effect. The answer is I do not know but I will make this change and see what happens.

As to the frequency of the mini plans, the simple answer is just get on do them. I know that they have a positive effect on my trading, so I should stop being such a fucking waster and get on with it. Now is not a time to be slacking in my focus.

A walk though of my Trade Journal

A walk though of my Trade Journal

I got these tweets during the past week regarding my trade journal.

This post, is going to take a look at what data I collect and how I organise it.

The purpose of a trade journal is to provide data to answer questions, therefore the data collected will depend on what the questions are.

My trade journal does vary depending on what questions I am trying to answer but I will focus on the main areas.

Obviously some of the data I am tracking may not be relative to questions other traders are asking of their own performance.

If a trader is just starting on the process of keeping a journal then this is very likely over the top for their needs.

But I will write an article on how to start a journal and what I would consider the very basics to get started with.

This journal was made in excel and started very simply and has morphed over many versions and a period of 2 years. Google has been a great resource in learning how to make this journal.

I am not going to cover how to generate the formulas and the pivot tables etc which make up the engine to this journal.

If people are interested then I will produce an article on how to approach this with links to good resources for learning how to write an Excel trade journal.

Main Trade Sheet

I have had to split this into 2 sections as the image will not fit neatly in the post.

Trade Journal

1. Trade number. Starts at 1. Enables me to easier see how many trades that are making up the sample size.

2. Date of trade. As I am a day trader and keep no positions over night, I have no need to have a date of exit. But if you hold overnight then you will need an exit date.

3 and 4. Time in and out. This allows me to monitor my performance at certain periods in the day and how long each trade is.

5. I trade 2 markets. So I have a column to indicate which markets this trade is.

6. Com. How much the commission / cost for this trade is.

7. Setup. I have 4 primary setups so I split them up plus a bonus setup which is an error trade. I have this so that I can monitor what errors I make and how much error trades are costing me.

8. Entry. I have 2 types of entry, blind limit order off the level and a trigger setup. Again I enter this so I can monitor which is performing well or badly.

9. L/S. Long or short. I use 1 for long and -1 for short. If you are writing your own excel journal, is a lot easier to use binary choices when it comes to composing logical statements.

10. #. No of contracts.

11. Price in. Entry price

12. Initial stop. Stop price

13. SCO. The number of contracts out at first exit which I call the scale out.

14. SCO.price. The exit price of the scale out.

15. P1. The number of contracts at second exit which I call Target 1.

16. Price Out 1. The price at the second exit.

17. MFE. The most favourable price the trade reached without hitting my stop. I define this as the next pivot high (for longs) or pivot low (for shorts) on the relative timeframe. Trading the 15min then the next 15min high or low, trading the 5min then the next 5min high or low. It does not matter whether I am in still in the trade or not. I track this as it enables to analyse my exits stats against the potential in the trade. Which in turn allows me to make decision whether I should go for bigger or small target.

18. MFE.T The time when price reached it MFE. This allows me to look at how long these set ups play out.

19. MAE. For winners this tracks how far price went against me, so I can analyse my stop size. For example my scalp trade used to have a stop of 7 ticks, but by analysing my MAE, I found that on my scalp that if price rarely went more than 2 ticks against me and that the SD of my winning MAE was 4 ticks. So now my average stop size is 5 ticks. So on every losing trade I now save 2 ticks.

20. SCO. Did the trade hit the scale out target. A binary choice of 1 yes and 0 no.

21. T.15. 15min trend.

22. T.60 60min trend.

Trade Journal

1 to 8 is a Trade Grading System. I have implement this after reading this excellent post from BreakingOutBad.

9. Log.Stat. This is a binary choice of 1 or 0 to indicate whether I have read my logical statements after each type of trade. This helps keep me focused.

10. Primary/ Secondary. Sometimes I get secondary setups after I have already got a winner off a level, and I have noticed that these tend to run longer and give bigger winners. So I have added a column so that I can collect data to see if this proves my assumption right or wrong.

11. SC/IDS Whether the trade is a scalp or intraday swing. I have clear rules defining which is which.

I also have a copy of this trade journal in a separate sheet which I enter trades I missed. As one of the questions I am trying to answer at the moment is “What effect does no fill or missed trades, have on my win rate and performance?”

Reading and making use of all this data.

Sorting the data into a readable and useful format is the next step and the key to this is pivot tables and slicers.

Below is my main stat page, which is a pivot table and a bunch of slicers.

Trade journal

A. All these are slicers, which enables me to filter the data in the main table by time, day, week, month and all of the columns in my journal.

My main pivot table covers

1. The various setups

2. The number of trades this setup produces.

3. Win rate.

4. Loss rate.

5. Break even rate.

6. Total gain compared to amount risked.

7. Total gain in money for this setup

8. Expectancy in Risk terms

9. Expectancy in Ticks.

10. Expectancy in ticks expressed over a 100 trades. This is something fairly recent I added. To help me relate this to actual trading decisions.

11. Average win size in ticks

12. Average Loss in ticks.

13. Total commissions for this setup.

14. The average size in ticks of the scale out position.

15. The number of times this setup hits the scale out exit.

16. The average size of the stop in ticks.

17. The average size of the second exit in ticks.

I also have a second pivot table covering the same information for the missed trades on a different tab.

On separate tab I have an expectancy calculator so that I can play around with new targets and stops of step ups, so I can see what the potential return is compared to my current return of these setups.

Maximum Favourable Excursion Data

This is an important data sheet for me. This is constructed using pivot tables and slicers. On an important note, MFE is always reduced by 1 tick to ensure that the MFE is recording a price that it is possible to exit at.

It takes each trade and plots the MFA (B) and MAE(C) in an histogram, which then can be filtered by the slicers (A) to show the types of trade that I am interested in.

It allows me to look at where price clusters for a setup and then I can compare this to my actual targets, to see whether they are too ambitious or am I leaving potential too much money on the table.

I also have a sheet where I compare my actual exits to the MFE on a histogram.

Again this is a pivot table with slicers.

My maths skills are pretty poor, which I have worked on to improve but there is a nagging in question I cannot answer. Maybe someone reading this can give me some help in the comments or twitter.

For example, If my scalp win rate is 68% with an average win of 6 ticks. If I increase the average target to 7 ticks, as the sheet above shows that 20% of my winning scalp trades go 1 tick further. The question is would this reduce the win rate by 20% and increase my average win to 7 ticks. Therefore the new win rate be 54.4% and average win 7 ticks.

Trade matrix

This is also a pivot table with slicers.

It records the number of trades, the win rate, loss rate, expectancy, the average length of time it takes to hit the MFE (A.SW) and the average time in trade (A.TIT).

This data is grouped into hourly slots and into days.

These allows me to see if there was any particular part of the day or a particular day where I underperformed, which then can be filter to show what I want.

One downside to this chart is that as it grouped into many different sections is getting a big enough sample size for the questions to become relevant.

Grading

Another stat I keep track off is the average Grade for the trades per day and per week.

Again this is created by a pivot table.

I will add slicers to this to see if the grading is effected by time of day, day, type of setup etc. But I have not got around to adding this to the sheet.

I also have a couple of graphs showing the equity curve and the expectancy curve, but I find these are my least most useful tabs.

Summary

My trading journal has taken a couple of years over numerous versions to get to this stage.

To get this sort of information from your trading, you do not need to make your own spreadsheet.

Check out my review of Edgewonk here.

And the new version Edgewonk 2 is coming soon.

I personally think it is a great piece of software. There are a couple of main reasons why I do not use it.

I can enter my trades a lot quicker in my journal as each trade is one line. In Edgewonk each exit has to be a separate entry.

Edgewonk does not cover the MFE/MAE stats in as much depth as I do. Which is crucial in my opinion in optimising targets and stops for each setup.

As far as I know these are being addressed in Edgewonk 2.0

If they are I will probably switch from my own journal to theirs.