Quantitative Trading Journal and Trade Analysis

[Drapoli 2]

As they say “you cannot improve what you cannot measure”, so I thought that is would be useful to use a trading journal where you can log quantitative information about your trading habits, strategies, performance, etc. I looked online and found a few decent options, most of which are paid services and/or do not include all of the info I would like to track and analyze. So, I thought it would be easier/fun to create my own trading journal which includes as many quantitative information as possible so that I can run some statistics and see which aspects of my trading can be improved. Below is information about my first attempt at creating such a journal.

-Platform used for logging data: Excel (easy to work with)

-Platform used for data analysis: Excel for now but if things progress there are more powerful tools that can be used for a more “serious” statistical analysis (R, SPSS, many others)….not the main focus of this post for now

-Fields included in my trading journal: see below

-Note: I mostly trade during the 1^st hour from the market open, so the field/info I included in the Table above (e.g., strategies used) reflect that

I started using this excel spreadsheet this Monday and have logged 4 full days of trading. Below are some examples of what transpired from this week (Note: I am still trading in SIM and, especially after 30 min of trading I tend to “experiment” with my trading strategies).

-I trade much better during the first period of trading (between 0 and 15 min from the market open). This is a combination of feeling more comfortable with ORB strategies and trading along with Andrew and Brian

-An additional breakdown of how different strategies worked during different trading periods is below (please do not judge me by my VWAP reversal trade on period 4…still learning :)

There are many more questions that can be explored/answered using this type of quantitative trading journal, and with an appropriate sample size one can probably identify important trading habits, strategies that can be improved, and particular factors that impact (positively or negatively) trading results.  

This type of journaling is a bit time consuming (~ 25-30 min per day) but, again, “you cannot improve what you cannot measure”.

I would appreciate if you could provide some feedback and input on what you would add, improve, delete from the fields I listed above. Also, it would be interesting (eventually) to create a database from multiple BBT members to find out how this community is trading and which are the strategies / factors that work the best for all of us collectively. Let me know what you think.

Thanks.

[Stockoperator 18]

Very good approach. This game is all about statistics. From what I see I think your strength is ORB and and VWAP reversal. You need like 100 samples on each to get a better picture. You can do more stats instead of collecting only one. I f I would be you I would focus only on those two ideas and explore those two topics to know what ORB (1-2-5.10min) are better for you, do they line up with premarket breakout, what was ATR at the moment of a break, which one are stronger who does RED TO GREEN or the ones that gap and go....  Same with reversal on data. Also I would have stats for other factors like your partials, stops, does your entry at close to POC point from volume profile, your mental state, and more. But you are on a right track!!!! 

[Stockoperator 18]

Also I am not a scalper and my approach is different, I am momentum/trend trader with potential swing opportunity. For a scalper I think it is important to track volume, level 2 signals, tape signals, candle over candle on 1 minute.... something like this. 

[Kevin K 1]

This is cool! How do you get the data into Excel - manually type it all in?

[Drapoli 2]

Hi,

Export relevant info from DAS and Copy/Paste to an excel spreadsheet. Importing can probably automated but I find it useful to do it manually as this forces me to go over the trades I have made and think about what I have done better. This process takes about 20 min....time well invested so far.

Cheers,