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I like our traditional measurment better. This is good data, but is more relevant for cash traders than term traders.
-----Original Message----- From: Hayden, Frank Sent: Thursday, June 21, 2001 11:29 AM To: Presto, Kevin M. Subject: Perf Reports - Baseball Stats Kevin, Below find your regions performance broken into "baseball stats". These numbers where generated off daily pnl's and would include reserves released, etc. ? Transactional batting average is given the number of days (103), how many times did you show a profit on your daily pnl statement. Keep in mind two things, a batting average of 300 is considered great in baseball. However, tossing a coin gives a 50/50. Given that these numbers are daily pnl's and not trading strategies (strategies, you get to pick your pitch), I think the coin toss is the better measure. With this in mind, anything above 50/50 reflects intellectual capital (research) at work. If the average is significantly below 50/50, the suggestion would be to improve fundamental analysis. ? Dollar weighted batting average is the absolute dollars made divided by absolute dollars made and lost. Differences between transactional batting average and dollar weighted batting average are attributed to trading discipline. ? Win/loss ratio is total dollars made vs. total dollars lost. This ratio says that for every dollar bet, how much paid. ? Trading efficiency reflects the ratio average wins vs. average losses. A "pos" shows that average wins exceed average loss. The important note here is that the larger the win/loss ratio, the greater the trading efficiency, i.e. letting profits run while cutting losses early. "Neg" efficiency implies that the trader holds onto his losses too long. Does this add any insight into your portfolio? Frank << File: Eastbb.xls << <Embedded Picture (Metafile)<
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