February 2010 Trading Performance Review

I barely traded this month. The total number of trades in February for my forex demo account is ten. That's far from my regular 150 - 250 trades a month. Ever since my trading system was broken because of technical difficulties, I've changed my priorities in trading. I spent most of my time in February learning a new programming language to ramp up my quant and automated trading projects. I also tried a few longer term trades this month. The results haven't been uplifting. I am about breakeven by the end of the month with a net gain of .... \$2 in a \$5550 demo account. As you can see, there's really not much point in me continuing paper trading at this stage. It is taking valuable time away from me to fix what's broken so that I can use my previously profitable trading system again. As such, I'm going to put near 100% of my effort to program a semi-automated trading system for the coming weeks, or probably months. On another note. Seeing that it is tax season here in Canada. I thought about my tax situation and considered opening a Questrade TFSA trading account (affiliate link) to legitimately avoid income taxes from trading. But after considering the cost and benefit of such a move, I concluded that a TFSA trading account isn't cost effective for me at the moment. As I've spent most of the month doing backend work, there isn't very much to review for my trading this month. So let's just dive right into my statistics for the record.

Performance Statistics

Monthly Metric February (January) Sarting Fund \$5,550.02 End of Month Fund \$5,551.99 Total Net Profit \$1.97 (-\$67.42) Gross Profit \$37 (\$375) Gross Loss -\$35 (-\$442) Profit Factor 1.06 (0.85) Net Profit % 0.04% (-1.20%) Max. Drawdown % 0.50% (3.95%) Sterling Ratio 0.00 (-0.15) Excess Return -0.02% (-1.26%) SDev Return per Trade 0.15% (0.11%) Kurtosis -1.36 (1.85) Skewness 0.79 (1.01) With only ten trades this month, I don't have enough samples to make meaningful calculations for the above statistics. 95th Percentile P&L \$12.55 (\$12.23) 5th Percentile P&L -\$6.60 (-\$8.43) Net Profit Mid 90% Only -\$4.75 (-\$117.84) Interestingly, I noticed that my typical top and bottom 5th percentile profit/loss are quite consistent. Total # of Trades 10 (186) Percent Profitable 40.00% (41.45%) # of Winning Trades 4 (63) # of Losing Trades 6 (89) # of Break-even Trades 0 (34) My percent profitable trades seem to be near 40% month to month. That's good to know as it's useful to calculate my statistical return expectancy as I've done in my TFSA trading cost-benefit analysis. Average Trade Profit % 0.00% (-0.01%) Average Winning % 0.17% (0.11%) Average Losing % -0.11% (-0.09%) Ratio Win% / Loss% 1.59 (1.20) By being more discriminating in my trades, I've effectively increased my win/loss ratio. That's good. Max. Conseq. Winners 3 (8) Max. Conseq. Losers 5 (20) Largest Winning Trade \$13.81 (\$22.66) Largest Losing Trade -\$7.08 (-\$14.30) Avg. Time Held [hrs] 1.67 (0.73) Avg. max. unrealized profit/ Realized profit (11.59)

Goal for March

My goal from January is to learn MQL4. I changed my plan since then due my lack of faith with using a proprietary scripting language. I learned Python programming this month and is now learning to use specialized libraries to serve my trading needs. My goal for March is to write a rudimentary data analysis and visualization program for historical forex data.