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Bill,
I would add the following ideas to your note. These are some
other questions I have asked myself in re-working my strategies
for 1999. The are more general in nature, but I think they are
just as important:
1. What is the right number of systems to trade? Too few
means not diversified enough, too many means I might not
execute them as well.
2. How was my execution percentage in 1998? Did I take 100%
of my signals? How did I feel when I overrode a signal (either
intentionally or inadvertently)? (I needed to review my daily
trading notes for this) Did the % I did NOT follow a system
add value or not?
3. How did multiple systems on the same market smooth out my
equity curve on that market? How did multiple systems on
separate markets smooth out my overall return? (This is
one of the most important factors for me, since I personally
have a bias to give up some total return for a smoother equity
curve across my total P&L, since it keeps me more emotionally
stable...)
4. How did the total return on my trading compare to the same
strategies for the five individual years from 1993-1997? What
changed in the markets in 1998 to make last year's return
vary from the previous 5-year trend? What does that mean
for 1999 - what should I consider changing?
5. How did my monthly returns correlate to the S&P500? Did I
outperform more on months when the S&P was down or up?
Good trading,
Ken Low
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Date: Sun, 03 Jan 1999 15:23:29 -0800
From: Bill Vedder <bved01@xxxxxxx>
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To: omega-list@xxxxxxxxxx, code-list@xxxxxxxxxxxxx
Subject: Year End Performance Evaluation
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I've been reviewing my trades for 1998 in the hopes of learning some
things that I can use to improve my trading in 1999. Below are some of
the questions that I'm asking myself and by doing the review, I'm hoping
to get answers to. (Some of these would be irrelevent for strictly
system traders.) There are two references I've used to formulate some
of these questions: Futures Magazine, Aug 1998, pg 74 and a paper
authored by Weigend titled "Uncovering Hidden Structure in Bond
Trading", Working paper IS-98-01.
I'd be interested in what types of reviews are being done by the more
experienced traders on the lists; what questions they ask, how the
reviews are done (software used??), any surprises? Has anyone made
significant changes based on a review? What was learned...the questions
are endless.
For my review, I want to know:
* How does my performance correlate to std benchmarks eg SP500,
COMPQX, etc? Do individual trades
correlate to these benchmarks?
* Do I tend to go long at tops/short at bottoms? or conversely, if
my overall market timing is good, how much
of my performance is due to being onthe right side of the overall
market?
* How does portfolio and individual trade performance correlate to
criteria such as:
- Trade size
- Holding period (analyze exit strategies)
- Trade Type (long/short)
- Position adding (I do too little of this)
- Number of open positions
- Market exposure
* Examine trading ratios (wins/losses, $winners/$losers). Need more
patience? less?
* Profitability should be positively correlated to measures of
aggressiveness (size, number). Is this true?
* How are prices moving at the opening and closing of the trade with
respect to recent historical
highs/lows, daily range (volatility), ADX, etc. Also look at
volume.
Regards,
Bill Vedder
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