Overview
Some portfolios are built as the sum of a set of individual trades, that is, each asset in a portfolio is considered separately and bought if the trader receives a buy signal from the asset. This is contrast to quantitative portfolio construction, where an asset is included only in consideration to its effect on the overall portfolio, and not necessarily because it represents a buy.
When the traders portfolio is constructed as the result of a set of independent buy and sell signals, it then makes sense to run a set of statistics on each trade individually. For the purposes of compiling trade statistics, a trade is considered an entry and an exit. That is once you buy the asset, you have entered the trade. When you sell out the position, you have exited. In general, adding or subtracting to a position may be considered a new trade.
Statistics
The following represent a common set of statistics run on individual trades.
- Average Trade Duration
- Average Pnl
- the average dollar amount of the profit or loss of each trade, which is sometimes segmented as the following.
- Average Winner - average pnl of winning trades
- Average Loser - average pnl of losing trades
- Win Ratio - the number of winning trades to losing trades
- Biggest Winner and Loser - the pnl from the best trade and the pnl from the worst trade