when refer to their annual compounded return as 30% p.a, does this factor in the leverage multiple as well.
ie. if one is trading a leverage instrument, say a full contract futures that has an initial (intrday / overnight) margin component as well as a maintence margin compement, total a 3:1 debt/equity ratio. And they achieve a 30% return for the year using that trading that instrument :
- does that really mean a 90% return on equity (30% x 3)?
- or is the return on equity 30% (and on the instrument actually 10%)
I am just curious to see how people calc this?
Also, say for instance some has a 100K in their trading account but they only touched about 50K to trade with. If they say they achieved a 20% return, are they basing it on the 50K or are they referring to the 100K?
just curious, thank s
beamstas
9th-April-2009, 01:38 PM
Start year with 400,000 equity
End year with 562,000
Return on equity = (562000/400000)-1
= 40%
Sicilian Trader
9th-April-2009, 01:50 PM
Start year with 400,000 equity
End year with 562,000
Return on equity = (562000/400000)-1
= 40%
thanks beamstas
so whether its 3:1 or 40:1 leverage that was applied to the 40% trading year, then that's already factored into that 40% return?
cheers
beamstas
9th-April-2009, 01:52 PM
thanks beamstas
so whether its 3:1 or 40:1 leverage that was applied to the 40% trading year, then that's already factored into that 40% return?
cheers
I trade cfds
Not sure what leverage as i never really know the price of the total shares.. just my margin
But i disregard everything
Just calculate the money i actually recieved
Mr J
9th-April-2009, 02:20 PM
Return is the return for the capital under management.
Also, say for instance some has a 100K in their trading account but they only touched about 50K to trade with. If they say they achieved a 20% return, are they basing it on the 50K or are they referring to the 100K?
The return would be on 100k. How much they touched or risked is irrelevant; what matters is how much they were prepared to risk, and in this case it's 100k.
Trembling Hand
9th-April-2009, 02:28 PM
Don't worry about return on margin. Worry about learning how to trade. you will exceed all benchmarks you have ever dreamed of, :D:D
nomore4s
9th-April-2009, 02:29 PM
Don't worry about return on margin. Worry about learning how to trade. you will exceed all benchmarks you have ever dreamed of, :D:D
You're a freak TH
MS+Tradesim
9th-April-2009, 02:30 PM
Lol. Put 5 traders in a room, ask a simple question and get 10 different answers.
ST, calculate it in whatever way is meaningful and significant for you, but only compare apples with apples ie. compare your returns to say, some hedge fund, only if you're using the same measures.
I use a number of different ways depending on what and why I'm assessing certain stats.
But at the end of the day what's important is maintaining consistency in how and why you measure a given way so that you can track excessive drawdown/growth etc to keep an eye on appropriate risk levels, strategy outcomes and potentially detrimental variance. ie. you could be losing touch with the market and need to pull back, reassess and refocus.
Ps. Well done as usual, TH.
Cartman
9th-April-2009, 03:35 PM
Don't worry about return on margin. Worry about learning how to trade. you will exceed all benchmarks you have ever dreamed of, :D:D
looks like CMC's fees will be on the rise again soon !! :D ---
Naked shorts
9th-April-2009, 03:47 PM
How do you calculate expectancy as a percentage?
I know how to get to tick/$ expectancy per trade, but stumped when trying to turn that into a percentage. Anyone know? (lol its been a long day and brain juice has run out)
Sicilian Trader
9th-April-2009, 03:57 PM
isnt it as follows?
($Avg W trade x %w) - ($Avg L trade x %L)
= $expentancy (x)
x = $expectancy
y = risk per trade (ie. 2% of 50,000 account, $1000 would be y)
z = %expectancy (x/y)
lets plug numbers into an example (applying same %risk and same trading account as above):
($125 x 52%) - ($100 - 48%) = $17
x = $17
y = $1,000
z = 1.7% ($17/$1,000)
therefore every trade you make you can expect an average return on risk of 1.7%
can someone correct me if i am wrong?
Naked shorts
9th-April-2009, 04:06 PM
($125 x 52%) - ($100 - 48%) = $17
x = $17
y = $1,000
z = 1.7% ($17/$1,000)
therefore every trade you make you can expect an average return on risk of 1.7%
can someone correct me if i am wrong?
Isnt that 1.7% just alpha? (risk adjusted return)
Im looking for something that looks like "52%", where anything above 50% is a positive expectancy.
Sicilian Trader
9th-April-2009, 04:16 PM
Isnt that 1.7% just alpha? (risk adjusted return)
Im looking for something that looks like "52%", where anything above 50% is a positive expectancy.
$17 = expectancy expressed as dollar
1.7% = expectancy, same figure expressed as a percentage
what i think you are making reference to is %W (your percetange of winners based on the number of trades taken)
based on the figures in my example:
{($125 x 52%) - ($100 - 48%) = $17}
is this what you were after?
Nah I know what your getting at but it isnt it. I'll do some digging and post it here.
tech/a
9th-April-2009, 06:22 PM
Don't worry about return on margin. Worry about learning how to trade. you will exceed all benchmarks you have ever dreamed of, :D:D
So you started the day with $22533
and ended the day with $22536.11
Quiet day.
Cartman
9th-April-2009, 06:44 PM
So you started the day with $22533
and ended the day with $22536.11
Quiet day.
?? :D
decimals Tech ?? (stirrer)
ps my sympathies with the shingles --- have an older mate who suffered with them pretty badly for a while --- hes right now though, so just a matter of hanging in there !!
i'm most concerned about TH putting these bucket shops out of business (and im not joking) --- some of us poorer b@stards rely on them to make a few bucks !! ----- inspirational stuff though ---- (practice... review ..etc etc ... lol )
Sicilian Trader
9th-April-2009, 07:42 PM
whats a bucket shop?
tech/a
9th-April-2009, 09:21 PM
whats a bucket shop?
Bunnings
Naked shorts
9th-April-2009, 09:29 PM
Bunnings
:D:D
Sicilian Trader
9th-April-2009, 09:32 PM
ha,
tech, i dont care what they say about you on these forums. You're alright kid ...you're alright.
beamstas
9th-April-2009, 09:37 PM
Isnt that 1.7% just alpha? (risk adjusted return)
Im looking for something that looks like "52%", where anything above 50% is a positive expectancy.
Yeah
Its pretty simple maths
((Avg Win*Win%)/(Avg loss*Loss%))/2
That will show 0-50% = Negative Expectancy
50%-100% = Positive Expectancy
Not sure if thats the exact one your after -- i just made it up then (but it works)
Brad
Naked shorts
9th-April-2009, 09:37 PM
whats a bucket shop?
From Wiki
bucket shop came to apply to low-class pseudo stock brokerages that did not execute trades.
Basically you are dividing the avg win expectancy into the total expectancy
So if your win expectancy is $100 and your expectancy is $100 your total is expectancy (win+loss) is $200, it will return 100/200 = 0.5 (break even)
If your win expectancy is $200 and your loss expectancy is $50 your total will be $250. so 200/250 = 80% (positive expectancy as is > 50%)
there you go
Brad
Sicilian Trader
9th-April-2009, 09:55 PM
I am so stupid :banghead:
(bad time to ask me maths q's thursday night when friday is a day off ;) )
Here you go mate-- tried and true (just made it up 5mins ago)
Basically you are dividing the avg win expectancy into the total expectancy
So if your win expectancy is $100 and your expectancy is $100 your total is expectancy (win+loss) is $200, it will return 100/200 = 0.5 (break even)
If your win expectancy is $200 and your loss expectancy is $50 your total will be $250. so 200/250 = 80% (positive expectancy as is > 50%)
there you go
Brad
you're a smart cookie beamstas, i didnt know that one
out of interest NS, is there a reason you were after that one? Does this serve a different purpose to the profit factor, $ or % expectancy?
im still learning about this stuff so im still a little green
beamstas
9th-April-2009, 10:08 PM
you're a smart cookie beamstas, i didnt know that one
out of interest NS, is there a reason you were after that one? Does this serve a different purpose to the profit factor, $ or % expectancy?
im still learning about this stuff so im still a little green
I didn't know it either :D
Brad :o
Naked shorts
9th-April-2009, 10:27 PM
you're a smart cookie beamstas, i didnt know that one
out of interest NS, is there a reason you were after that one? Does this serve a different purpose to the profit factor, $ or % expectancy?
I have seen it used before, so I wanted to work out my % expectancy so I could compare it to the people I have seen use it. Serves no real purpose otherwise (I'm still trolling around trying to find where i've seen it)
Oh and that equation you used before that I called alpha, isnt acutally alpha because it doesn't factor in a benchmark performance index.
http://www.investopedia.com/terms/a/alpha.asp
I've had better days :o
Trembling Hand
10th-April-2009, 10:26 AM
So you started the day with $22533
and ended the day with $22536.11
Quiet day.
:confused:
LOL Tech no wonder you little retail traders always stay retail. You cannot add. $2323 (capital) + $20210 (profit) = $22533 :p:
tech/a
10th-April-2009, 11:53 AM
Educate me.
Start of day
End of day
$3 difference.
Slow day.
I can smell another $500 coming on.
Is this Realtime or a SIM
Is this a one off or a daily event?
Sim or otherwise.
pilbara
10th-April-2009, 12:49 PM
Educate me.
Start of day
End of day
B/FWD = balance from the previous period, brought forward to start the current period.
C/FWD = balance from the current period, to be carried forward to start the next.
Cartman
10th-April-2009, 12:51 PM
Educate me.
Start of day
End of day
$3 difference.
Slow day.
I can smell another $500 coming on.
Is this Realtime or a SIM
Is this a one off or a daily event?
Sim or otherwise.
arh --- now i see what u mean Tech ----- TH has accidentally put a line from the "start of day" to the end of day profit
CMC accounts --- B/forward is the daily start ---- (2 odd grand)
Mark to market is the daily profit/loss --- (20 odd grand) thats the one that matters in this exercise
beat me to it by "that much" Pil --- lol ---
tech/a
10th-April-2009, 01:11 PM
Thanks Cartman Now I see it.
That profit could have accumulated over a day/week/month.
Naked shorts
10th-April-2009, 01:21 PM
Thanks Cartman Now I see it.
That profit could have accumulated over a day/week/month.
That b/fwd is what he started the day with. So that profit was accumulated over the day, not over weeks or months.
tech/a
10th-April-2009, 03:45 PM
That b/fwd is what he started the day with. So that profit was accumulated over the day, not over weeks or months.
I dont know in this case.
But with IB your accumulated profit appears on a daily basis and can start as $20 and finish at $20K over X period before liquidating the position/s.
So it could appear exactly as this but only on the DAY I close out.
Hence the comment.
