Statistics and the Equity Curve - PowerPoint PPT Presentation

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Statistics and the Equity Curve

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  1. Statistics and the Equity Curve An analysis of our trading methodology

  2. Statistics is a mathematical sciencepertaining to the collection, analysis, interpretation or explanation, and presentation of data.

  3. Statistics • Statistical methods can be used to summarize or describe a collection of data. • There are numerous methods of collecting stats. I will be looking at what methods work for me. • Gathering data for stats can be a chore but is well worth the effort. • Statistic refers to calculated from a set of data

  4. How I gather my statistics • I use a notebook to write down all trades in the TF, NQ and GC • I use an excel spreadsheet to help me collect and analyze the data. Woodies CCI Stats Workbook is available in the forum. I setup a different workbook for each market. • Throughout the day I am entering the trades in the workbook.

  5. Data needed for workbook • Time of entry • Pattern taken and direction of the trade • Entry price • MFE(maximum favorable excursion) or peak of trade • MAE(maximum adverse excursion) or drawdown of trade • Exits

  6. Woodies CCI Stats Workbook • Allows one to track up to 30 trades per day • Calculates four different exit strategies • For or against trigger bar analysis • Ability to add two additional patterns to Woodie’s basic cci patterns • Moving average equity chart with real time switcher indicating whether to take the next trade live or sim • Monthly summary analyzing your trades for the different exit strategies • During active months the equity curve may get maxed out, I just start a new workbook

  7. Equity Curve • The value of a trading account graphed over a period of time. • Woodies CCI Stats Workbook graphs your trades vs a 10 trade moving average of your trades to help you to determine if you should be trading live or not • Others use the equity curve from their live trades….like the equity curve included in the Woodie’s Trade Navigator. The TN equity curve can be adjusted to whatever MvgAvg you desire

  8. Equity Curve continued • Create your own equity curve with Excel • Some equity curves switch you from live to sim based on the direction of the curve • Woodie’s CCI Stats Workbook goes from sim to live based on whether actual equity curve is above or below the average equity curve • Personally I saw a lot of chop around the curve and decided to go live as long as actual equity is no more than $100 below avg

  9. Equity Curve continued • Although some dismiss the equity curve as an impossible attempt to avoid drawdown, I believe it can be used to one’s advantage • Certainly one does miss winning trades but my experience shows I miss alot more losers than winners(especially in times of major drawdown) • Some markets may be better suited than others for using the equity curve or switcher