The R-value is the nominal amount of trading capital at stake on a per trade basis; this is based on a percentage of portfolio equity (see risk management).
For the purpose of this site, I will state my Risk and Return as an R-multiple, as opposed to a nominal dollar amount. I don't see the value in defining dollar amounts as it is differs for everyone depending on account size.
My objective is to generate 2-3R for every trade. Expectancy is created on the basis of my rules and the setups that are generated within trading time structures.
2011 Trade Performance
The data above reflects trades taken YTD 2011. There have been a total of 19 'Core' signals generated. This reflects the primary system and these trades are discussed and rationalized under the 'Home' tab since June. Secondary to the 'Core' system is the Day-Trade set that functions to support the Core holding. In of itself, there are very specific rules around day trades and day trade set ups. I include the day trades as part of the data set as it is component of the overall system, but the intention of this system is not to day trade.
I have highlighted the Core data results on a risk adjusted basis as per the core R-value summary above. The R-Value is expressed as a multiple of the initial risk taken on a per trade basis. This shows that winning trades generate a much higher nominal gain on the basis of risk than do losses. The losses on core trades represent a fraction of the initial risk as a result of the nature of my 'rolling pivot' stop.
Monthly performance shows the Rate-of-Return (ROR) on equity capital and shows the total R-value/month or the amount of total capital expressed as a unit of the amount of risk taken. I show this as opposed to stating the outright dollar value as I am more concerned with Risk-Adjusted Performance of the system.
The system is also supported by a 4.5 year back test that begins in March of 2007. I plan to publish the results of the back test, which are identical to the trades that have been taken in 2011 and published above.
