Statistical Analysis of Trading History | Forex Factory

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Statistical Analysis of Trading History

  • #1
  • First Post: Edited 1:34pm Oct 1, 2011 1:14pm | Edited 1:34pm
I'm interested in using statistical analysis to improve my trading and I'm looking for ideas to help me achieve that. In terms of schooling I've had one course in introductory statistics, but I'm very much willing to learn more if it helps me improve my results. However, I do have to emphasize that I'm only interested in the kind of analysis that tells me where I could improve my results. Fancy-schmanzy formulas that don't tell me anything useful are....well, useless!

I'm currently keeping tabs of my average pip gain per trade and the number of trades I took over a week. This tells me several things:
(1) how well I followed my rules --> I have a rule that states how many pips I want to make per trade, for example
(2) how confident/nervous I was (ie. the psychological side) --> usually less trades = more patient/confident
(3) how I handled different market conditions (it allows to identify if I'm better at trading trending/ranging/volatile/quiet markets and then build on it)
(4) etc.

The aim of this is to identify the weak spots and hopefully correct them. For example, analysing this week's trading, I discovered I became more and more nervous over the week, my pip count per trade dropped. I know for a fact that I wasn't very good at following my own rules on the last two days of the week, but the 'average pips per trade' puts a concrete figure on it. Compared to the beginning of the week, I was much worse off. I have an objective number and I know what to do next - try following my rules better next week. Without a number, trying to tell how good one was at following one's own rules is kind of tricky. I will run the same analysis next week and I will know exactly how well it went and whether I need to work more on the psychological side or whether I can put that to rest and use that time to improve my strategy.

I just started taking this seriously and I'm interested to find out what kind of analysis you would do if you were me. Let me know!

EDIT. I should also mention that although I couldn't find any threads on FF on this very topic, I welcome any and all links to previous discussions here and elsewhere on the same topic.
If you don't risk, you don't ever have to lose.
  • #2
  • Oct 1, 2011 1:20pm Oct 1, 2011 1:20pm
do you do growth projection?

i think with growth projection, if you constantly have your hit rate(%win) right, like the only thing you need to really focus on, your projection on where your account is going is very clear and you wont be as nervous as you are cause everything is planned out, if you win, if you lose, everything is in your calculation every SL and TP can be adjusted as long as it is positive expectancy on your projection/plan.
  • #3
  • Oct 1, 2011 1:30pm Oct 1, 2011 1:30pm
Quoting EdgarNg
do you do growth projection?

i think with growth projection, if you constantly have your hit rate(%win) right, like the only thing you need to really focus on, your projection on where your account is going is very clear and you wont be as nervous as you are cause everything is planned out, if you win, if you lose, everything is in your calculation every SL and TP can be adjusted as long as it is positive expectancy on your projection/plan.
Yes, I do. But I do it in my head and I find myself doing it less often as time goes by. The thing is that I can't handle seeing the numbers - I get all hyped up and when it's time to trade I mess up. I wasn't surprised when I one day read that dreaming of financial success the way I did (extrapolating figures into infinity) leads to the same kind of euphoric brain activity normally seen in people under the influence of cocaine. Currently I'm only planning one week ahead and I do it all in my head, so you could say that I still do growth projections. But once I see a chart I still get all euphoric and shit and I would like to avoid that.

Also, measuring how well I did versus how I planned on doing doesn't tell me much aside from the dollar or % figure (miss or hit). I want to have something that tells me where I went wrong (did I take on too much risk, did I overtrade etc.). Any ideas in that department?
If you don't risk, you don't ever have to lose.
  • #4
  • Oct 1, 2011 1:35pm Oct 1, 2011 1:35pm
Quoting bug
Yes, I do. But I do it in my head and I find myself doing it less often as time goes by. The thing is that I can't handle seeing the numbers - I get all hyped up and when it's time to trade I mess up. I wasn't surprised when I one day read that dreaming of financial success the way I did (extrapolating figures into infinity) leads to the same kind of euphoric brain activity normally seen in people under the influence of cocaine. Currently I'm only planning one week ahead and I do it all in my head, so you could say that I still do growth projections....

i used to be in your shoes i can only tell you this comes with experience and price watching as you learn various technique to see the market from different perspective you'll grasp how price move . You go euphoric because you dont understand how price move. Do more study on technical analysis all this sort of things help in reducing that emotion of instability because of not having a Solid trading system, your system is still very immature and that is why you still get messed up and nervous when trading.

Edit: also having a written projection in excel not only lets you adjust your parameters in managing your risk about Lot size, tp and SL all can be gauged so when you enter you have a maximum risk that u can take and a minimum profit to be taken this lets you gauge whether to enter the trade or not to always have a positive expectancy, i hope you seriously consider projecting it out on a sheet.

Edit2: You need to find out what are the factors that cause you go into that kind of unstable emotion, is it over trading? is it the profit number being too huge? is it growing your account too fast? or losing too much? Dont overtrade. try to reduce all your emotions to the point of stable first. if not you wont last long. Either by account balance or your health
  • #5
  • Oct 2, 2011 3:50am Oct 2, 2011 3:50am
Quoting EdgarNg
Do more study on technical analysis all this sort of things help in reducing that emotion of instability because of not having a Solid trading system, your system is still very immature and that is why you still get messed up and nervous when trading.
Whatever, dude. I have a very good working knowledge of technicals, fundamentals and market structure. I also have a solid trading system. Don't project your own problems on me. I'm sorry if this sounds rude, but it had to be said.

Quote
this lets you gauge whether to enter the trade or not to always have a positive expectancy, i hope you seriously consider projecting it out on a sheet.
This is something that I will definitely not do. Why? I haven't seen any proof that it's useful. It does produce a solid number which I can compare to other traders/hedge funds etc. but that's it. The main issue I see is the 'probability of winning/losing' - during any given week, the probabilities change and the way I see it there's not much I can do to change that. Given my trading strategy, the probability of winning/losing any given trade depends more on the market condition than anything else (no, I'm not going to share my strategy). If you think otherwise, I would love to hear your thoughts.

Quote
Edit2: You need to find out what are the factors that cause you go into that kind of unstable emotion
It's human nature. I couldn't find the 'cocaine' article, but here are two articles from my bookmarks folder on the very same topic:
The Dark Side of Goal-Setting
Why positive fantasies make your dreams less likely to come true

The point I'm trying to make is that the brain is more powerful than usually perceived. There are predictable behaviour patterns that kick in whenever a person starts visualizing success. That's the reason I'm not spending very much time on setting $ or % goals. Instead, I focus on setting goals such as 'pips per trade' and 'risk per trade'. I feel I have much more control over them and I know these goals don't drive me mad.
If you don't risk, you don't ever have to lose.
  • #6
  • Oct 2, 2011 4:38am Oct 2, 2011 4:38am
Almost the same as you, only I do the day to day not weekly profits. Also I take a screenshot at the end of each day with trades on it so I can look back and analyze if it is good or bad.

Actually I analyze also:

monthly loss distribution
monthly win distribution
BE monthly calculation
trade duration distribution
daily profit/daily range ratio

and some other more fancy formulas
  • #7
  • Oct 2, 2011 5:23am Oct 2, 2011 5:23am
You say you are looking for ideas but not if you are willing to spend any money?

I use a program and not posting any links, but if you Google for Forex Smart Tools, I'm sure you can find it.

Also, they have videos on Youtube so plenty of information there, so many different ways to analysis your trades.
Attached Image (click to enlarge)
Click to Enlarge Name: last_month.jpg Size: 117 KB
It takes a lot for me to IGNORE you, but you can try.
  • #8
  • Oct 2, 2011 6:25am Oct 2, 2011 6:25am
Quoting bug
Whatever, dude. I have a very good working knowledge of technicals, fundamentals and market structure. I also have a solid trading system. Don't project your own problems on me. I'm sorry if this sounds rude, but it had to be said.


This is something that I will definitely not do. Why? I haven't seen any proof that it's useful. It does produce a solid number which I can compare to other traders/hedge funds etc. but that's it. The main issue I see is the 'probability of winning/losing' - during any given week, the probabilities change and...
My own problems? sorry if i sounded harsh, too bad im just trying to help. good luck. like i said i've been there and done that. U can almost find article on anything and everything, goal setting works for me. so i guess you need a different approach.
  • #9
  • Oct 3, 2011 11:32am Oct 3, 2011 11:32am
Edgar:
What a great signature. Just ran across it. How true!
"Success is like being pregnant, everybody congratulates you, but no one knows how many times you've been fucked"
  • #10
  • Last Post: Oct 3, 2011 12:13pm Oct 3, 2011 12:13pm
Quoting Rikers
Almost the same as you, only I do the day to day not weekly profits. Also I take a screenshot at the end of each day with trades on it so I can look back and analyze if it is good or bad.

Actually I analyze also:

monthly loss distribution
monthly win distribution
BE monthly calculation
trade duration distribution
daily profit/daily range ratio

and some other more fancy formulas
Thanks for the suggestions, Rikers. I'll try them out and see if I can use them in a meaningful way. I'm pretty sure I understand everything fine except the BE calculation. Could you explain what it means and how it's calculated?

----( )----

Quoting Erebus
You say you are looking for ideas but not if you are willing to spend any money?
I haven't said that. Nonetheless, why would I spend money on software if I already have Excel?

Quote
I use a program and not posting any links, but if you Google for Forex Smart Tools, I'm sure you can find it.
I use MT4's own 'Detailed Statement' to get those numbers (as highlighted on the image). What I'm looking for is the extra stuff not available on MT4's statement.

----( )----

Quoting EdgarNg
My own problems? sorry if i sounded harsh, too bad im just trying to help. good luck. like i said i've been there and done that. U can almost find article on anything and everything, goal setting works for me. so i guess you need a different approach.
You didn't sound harsh at all, but I detest your suggestion that I should lower my goals or read more about TA. That's why I thought you were projecting. I'm here to discuss statistics, not how big or small my goals should be or whether I have sufficient working knowledge of the markets. I don't want to pick a fight with you and I'm sorry if I left the impression I was. We good?
If you don't risk, you don't ever have to lose.
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