Market Measures

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Enhancing Trade Performance

Market Measures

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When we enter into a trade we are given a credit and probability of profit for that trade. With these metrics, we are able to calculate theoretical metrics for the trade outcome.

What we find when we compare theoretical to actual when holding to expiration is that the actual P/L per day does not come close to outperforming theoretical.

So what can we do to improve our results?

One thing is to add a management technique. When managed at 50%, the P/L improves dramatically but stills comes up short. To see if the results improve to a greater extent, volatility environments are considered.

What we find is that when the management is combined with high volatility the resulting P/L comes very close to theoretical.

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