DLADLER

I just posted the following entry to my blog and thought it might be of some value here on this forum and additionally we might open the topic for discussion here... How Do You Trade During Different Times of Day? How do you trade during different hours of the day, and how does your P/L differ as the day progresses? Do you know? Have you identified certain hours or parts of the day when you are generally profitable, and others when you are not? Finding out such information can be a very powerful discovery, and successfully modifying your approach based on what you find can have immediate results on your bottom line. If I look back at one week of my trading during which I traded everyday from 8am to 3 pm, I'll have 5 days of data to look at for some pattern. Let's just assume that my Hour of Day P/L analysis of the past 5 trading days shows that in every one of the 5 days, my losses were greatest from 8-10am. Well, that's intriguing, but may not bear much significance, statistically speaking. Generally in small data sets (sample sizes), even very large relations cannot be considered reliable (significant), whereas in relatively large samples, much smaller relations between variables will be significant. Point being, the more data we have to measure (or trading days, in this example), the more significant our findings will be. I'd be very happy if I were able to find out that out of the last 2 months (40 trading days), on 34 of the 40 days, I've lost money from 8-9am. Of course I wouldn't be happy about consistently losing money during that time of day, but rather I'd be pleased to have discovered this. Why? Because I can now do one of two things, both of which will likely improve my P/L: I could stop trading during this time altogether, or I could look into this hour in more detail and compare it to other hours to see exactly what I am doing differently and what is causing the losses from 8-9am. The first choice above has its limitations. For example, if I stop trading altogether from 8-9am who's to say 9-10am wouldn't now become the new losing hour? Maybe it's more an issue of momentum, rather than how my system is interacting with the market during that specific hour. I want to find out. (SEE ATTACHED DOCUMENT FOR IMAGES) In this example I've created a bar graph showing average P/L per trade, per the hour of day, shown in the top graph for only losing days, and the bottom graph for only winning days. The charts show data from 54 trading days (33 winning days and 21 losing days). Creating one graph for each type of day allows me to sort the data depending on the outcome of the day, and in turn makes the analysis more specific. I'm able to see what generally happens during winning days, and what generally happens during losing days. -The first thing I notice here is that on my winning days I am getting a good start to the day and generally trading well in the first 3 hours. As the winning day continues, each hour I’m able to keep my losses smaller than they are in the corresponding time frames in the losing days. -I see that losing days generally get off to a poor start and tend to get worse as the day progresses, with the exception of the 2:00 hour. -The 2:00 pm hour has been a good hour for me consistently. I might look into this in more detail and look at different measures in this hour compared to all other hours grouped together so I can understand why I am generally profitable at this time of day. -What’s interesting is that in looking at the bar charts, my P/L trend looks very similar in both my winning days and my losing days: I get progressively worse (in terms of P/L) as the afternoon approaches and continue to suffer losses, despite my averagely good performance during 2:00-3:00pm. - The main difference seems to be that I start the day well in my winning days and generally keep my losses smaller throughout the day. © Copyright 2007 David Adler All rights reserved All analysis generated with the TraderDNA Analyzer. ex1.bmp

I generally put more weight on how the week takes shape starting from the first couple of hours on Monday morning. In other words, I'm far more interested in finding patterns in how the week evolves in terms of performance and P/L than I am in making broad assumptions that certain days are simply "not good to trade". IMO being conscious of what "tends" to happen (statistically speaking) with respect to your personal performance when for instance you get a bad start to the day (or week) is much more significant. What if you could discover for instance that out of the past 3 months, 10 of the 12 weeks that you had bad mondays, your tuesdays were also bad? That to me would be a powerful discovery.

Interesting thread here, I'll ad my .02 "Think to yourself, if you had twice or three times your normal size, I bet you would be darn well sure that the setup you take is the highest probability in your arsenal. You may find yourself not over trading and being alot more disciplined. (Of course you must have a solid trading plan and good setups first.)" From my experience I have found that it completely depends on the trader. Typically, a trader has some range of contract sizes in which he/she is comfortable trading, ie one guy might trade between 1 and 5 contracts, and another guy might trade between 5 and 50 contracts. An even more interesting question to pose is, what does your P/L look like when you trade x number of contracts in relation to what it looks like when you trade y number of contracts? Why do you trade the size you trade when you trade it? What makes you want to trade a 10 lot instead of a 5. What is the difference in times when you trade 6 lots and 8 lots, etc... Is it tied to confidence, and are you taking the exact same signals for each size incrememt, or are you rather assigning different lot sizes to different types of trades or market situations? Have a look at the attached document. I've included examples of 3 different traders. Each trader is a unique story and each shows varying results with different-sized trades. The left column represents the number of trades he did at that contract size and the right column represents his P/L per contract traded in the designated increment. The last example shows in addition, the average shape of his trade in each contract size. This graphic shows a view values: profit opportunity (in $), risk taken in the trade (in $), avg. P/L, avg. time in trade. If I am these traders, I want to find out as much about the instances in which I trade different sized contracts so that I can avoid trading sizes that have traditionally caused losses. For instance, if I have poor performance trading 5-lots, I want to find out as much as possible about my 5-lot trades (why i trade 5's, when i trade 5's, etc...) Quantity Examples.doc

Sure, thanks for your questions. A moderator recently got in touch with me about TraderDNA and that's why I posted here. I haven't spoken to anyone on this site about advertisement and I must be carefull in what I discuss publicly here because my intention is'nt to promote, advertise, or sell our product, but rather to edutate those interested about what we do because the information currently available to the public is ambiguous and limited. A. How does your software "hook" into my trading software to get accurate P/L? How does it "know" what actions I'm taking and have taken when I took them? We don't "hook" into any trading software. Our users provide us with the data we require, and that comes either from the front-end provider, the firm's data processing, or directly from the trading software. Data elements such as price, market, quantity, timestamps, etc... are loaded into our program via files created by the export facility in the user's trading software. Most softwares have this functionality. In terms of how we know what actions you are taking, our architecture takes into account your data AND the data from the market you trade. I'd be happy to explain this to you in more detail privately. The result is that we can measure various things other than primitive measures like P/L and quantity (risk taken, profit opportunity, lost opportunity, times in and out of the market and between diffferent types of trades, number of times you added to losing trades/winning trades, quantity added to losing trades/winning trades, etc...) B. There are clear privacy implications to the breadth and scope of your product. What assurances are there that my proprietary and confidential information wouldn't make it into the "wrong" hands? I'm not sure what you mean by the "wrong" hands, so I'll address what I think you mean. In terms of the data being hacked into, our data is resident on our internal servers located on-site in Chicago and is not accessible via the web or to anyone other than ourselves. Your execution information is property of your clearing firm, you must trust them that they will not take the information and reverse-engineer your trading system or method, and go trade it themselves. This trust also exists in all of our partnerships, and is at the core of our business relationships with particularly larger entities whose strategies could be jeopardized should such information become public. Good question. C. Thirdly, and lastly.... What is the cost? Is there a free trial? Have you at least ask talked to James, who runs this site, about advertising it here? Do you have a discount available for site users. I have not talked to James about advertising here, but there seems to be lots of interest, so maybe in the future. I'd prefer to discuss all cost-related issues either via PM or by email, as I must be careful what I post publicly here. Thanks for your responses. Thank you

Hello everyone, I'm a Director at TraderDNA LLC and co-creator of our trade analyzer. In response to this recent thread and the curiosity about TraderDNA, I'll post here and provide some basic information about what our stuff does. We are in the process of developing a new web site and so there is limited information there. The idea behind TraderDNA is to look back analytically at a designated period of trading , whether it is the last week, the last month or the last 6 months, with the intention of discovering when and under which circumstances you trade best, and when you trade worst. The ultimate goal is identifying when, where, under which circumstances, and what causes your negative P/L (losses) so that you can get to know your performance better and hopefully proactively avoid losses or situations that have historically been losses in the past. Our philosophy hinges upon pure statistics. Our analysis seeks to show the trader what statistically happens (with respect to his own trading) in various circumstances. At what times of the day, in whcih market, which side of the market, which day of week, which trade size, do you trade best, take the most risk, have the most consecutive losers, fail to capture unrealized profit (leave money on the table), trade most frequently, add additional size to winners/losers, etc... What EXACTLY is the difference between winning and losing trades? What is different about winning and losing DAYS? What exactly causes a losing day for you? What has statistically happened after a large losing/winning day? When you get off to a poor start on the day? A good start on the day? In short, traders that use our analysis know themselves (as traders) extremely well. That is the intention. This post is quite long now and rather than go on and on I'd refer anyone wanting to learn more to my blog which discusses some of the analysis and I will continue to post to the blog. Performance Enhancement for Electronic Traders Hopefully this helps, and I'm happy to answer any questions or speak to anyone in more depth via private message. Thanks, David