Quick and easy calculation for profit loss of your trades over time using Python. Track your performance in trading with these simple distributions and probabilities of your trades.
Some basic mean reversion problability calculations to get you started using the $SPY ETF.
pip3 install pandas
pip3 install matplotlib
pip3 install yfinance
pip3 install numpy
pip3 install pandas
pip3 install scipy
pip3 install seaborn
For we use the trader's data the input report.csv format is as follows of all the trades made:
CloseTime,Instrument,Profit/Loss
DD/MM/YYYY,USA 500, 00000.00
DD/MM/YYYY,USA 500, -00000.00
Results for profit_loss.py shows all the trades over time.
profit_loss_distributions.py shows a normal bell curve of all the trader's trades. Most of my trades are immediately stopped out just below $0.
trader_prob_of_profit.py shows the odds of a trader being profitable on a trade. I am a profitable trader with 143% yoy and yet in stark contrast my odds of profit on a single trade are 30:70. More importantly, I split these odds into six categories. While I am doing significantly better on larger trades, I am significantly underperforming on smaller trades, and that is where I need to improve. This could best be remedied by moving my stop-loss orders just above breakeven, rather than just below.
Prob of profit: 29.411764705882355
Prob of loss: 70.27863777089783
Net of profit/loss: *******
Results for prob_down_day.py
Key Insights: Probability P(n) gives the odds of observing a "down day" after n consecutive "up days". This is crucial for traders and analysts to understand potential bearish reversals after bullish runs.
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Open High Low Close Adj Close Volume daily_return state
Date
2009-03-02 72.519997 73.919998 70.370003 70.599998 53.453293 426452600 NaN down
2009-03-03 71.610001 71.699997 69.639999 70.070000 53.052017 443761000 -0.007507 down
2009-03-04 71.230003 72.870003 70.070000 71.730003 54.308846 462753100 0.023690 up
2009-03-05 70.099998 71.730003 68.169998 68.800003 52.090443 485549400 -0.040848 down
2009-03-06 69.400002 70.449997 67.099998 68.919998 52.181305 490470000 0.001744 up
... ... ... ... ... ... ... ... ...
2022-04-14 443.549988 444.730011 437.679993 437.790009 428.903107 97869500 -0.012452 down
2022-04-18 436.809998 439.750000 435.609985 437.970001 429.079468 66002500 0.000411 up
2022-04-19 437.859985 445.799988 437.679993 445.040009 436.005951 77821000 0.016143 up
2022-04-20 446.920013 447.570007 443.480011 444.709991 435.682617 65224400 -0.000742 down
2022-04-21 448.540009 450.010010 437.100006 438.059998 429.167633 85417300 -0.014954 down
[3310 rows x 8 columns]
Odds for at least one down day after 1 up days: 0.43489
Number of occurrences of 1 consecutive up days followed by at least one down day: 364
Odds for at least one down day after 2 up days: 0.43137
Number of occurrences of 2 consecutive up days followed by at least one down day: 198
Odds for at least one down day after 3 up days: 0.43173
Number of occurrences of 3 consecutive up days followed by at least one down day: 117
Odds for at least one down day after 4 up days: 0.43750
Number of occurrences of 4 consecutive up days followed by at least one down day: 63
Odds for at least one down day after 5 up days: 0.45070
Number of occurrences of 5 consecutive up days followed by at least one down day: 32
Odds for at least one down day after 6 up days: 0.39474
Number of occurrences of 6 consecutive up days followed by at least one down day: 15
Odds for at least one down day after 7 up days: 0.33333
Number of occurrences of 7 consecutive up days followed by at least one down day: 6
Odds for at least one down day after 8 up days: 0.55556
Number of occurrences of 8 consecutive up days followed by at least one down day: 5
Odds for at least one down day after 9 up days: 0.00000
Number of occurrences of 9 consecutive up days followed by at least one down day: 0
Odds for at least one down day after 10 up days: 0.50000
Number of occurrences of 10 consecutive up days followed by at least one down day: 1
Odds for at least one down day after 11 up days: 0.00000
Number of occurrences of 11 consecutive up days followed by at least one down day: 0
Odds for at least one down day after 12 up days: 1.00000
Number of occurrences of 12 consecutive up days followed by at least one down day: 1
Results for prob_up_day.py
Key Insights: Probability P(n) provides the odds of witnessing an "up day" after n consecutive "down days". Essential knowledge for those looking to capitalize on potential bullish reversals after bearish sequences.
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Open High Low Close Adj Close Volume daily_return state
Date
2009-03-02 72.519997 73.919998 70.370003 70.599998 53.453278 426452600 NaN down
2009-03-03 71.610001 71.699997 69.639999 70.070000 53.051991 443761000 -0.007507 down
2009-03-04 71.230003 72.870003 70.070000 71.730003 54.308830 462753100 0.023691 up
2009-03-05 70.099998 71.730003 68.169998 68.800003 52.090446 485549400 -0.040848 down
2009-03-06 69.400002 70.449997 67.099998 68.919998 52.181293 490470000 0.001744 up
... ... ... ... ... ... ... ... ...
2022-04-14 443.549988 444.730011 437.679993 437.790009 428.903076 97869500 -0.012452 down
2022-04-18 436.809998 439.750000 435.609985 437.970001 429.079498 66002500 0.000411 up
2022-04-19 437.859985 445.799988 437.679993 445.040009 436.005951 77821000 0.016143 up
2022-04-20 446.920013 447.570007 443.480011 444.709991 435.682648 65224400 -0.000742 down
2022-04-21 448.540009 450.010010 437.100006 438.059998 429.167664 85417300 -0.014954 down
[3310 rows x 8 columns]
Odds for at least one up day after 1 down days: 0.58662
Number of occurrences of 1 consecutive down days followed by at least one up day: 491
Odds for at least one up day after 2 down days: 0.53521
Number of occurrences of 2 consecutive down days followed by at least one up day: 190
Odds for at least one up day after 3 down days: 0.57792
Number of occurrences of 3 consecutive down days followed by at least one up day: 89
Odds for at least one up day after 4 down days: 0.50746
Number of occurrences of 4 consecutive down days followed by at least one up day: 34
Odds for at least one up day after 5 down days: 0.53846
Number of occurrences of 5 consecutive down days followed by at least one up day: 14
Odds for at least one up day after 6 down days: 0.62500
Number of occurrences of 6 consecutive down days followed by at least one up day: 5
Odds for at least one up day after 7 down days: 0.50000
Number of occurrences of 7 consecutive down days followed by at least one up day: 2
Odds for at least one up day after 8 down days: 1.00000
Number of occurrences of 8 consecutive down days followed by at least one up day: 1
Note: The aforementioned probabilities are calculated based on historical data and patterns, and while useful, they should be interpreted with caution. Always consider other factors and perform further analysis before making any investment decisions.