I would like to share my approach in how I think about optimizing my day-to-day activities.
I trade 99% as a mechanical/system trader these days. Like most of you I trade only the Futures markets. I am currently trading 9 different markets. I also try very hard not to touch my setup for 3 months. I work 1 quarter ahead. (Right now it is December, so I am working on my strategies for Jan-Mar.)
Question: how do I know what to focus my priorities on for next quarter?
Answer: I am using the Kelly Criterion number in conjunction with stats pulled from Wave59's system report.
The Kelly Criterion number (https://en.wikipedia.org/wiki/Kelly_criterion)
I then take said number and multiply this by the Total Profit from the Wave59 system report and divide by the Max Drawdown. The result of all of this gives me a nice number that I can compare with potential changes. (I like to have my result be greater than 1, btw.)In probability theory, the Kelly criterion, is a formula that determines the optimal theoretical size for a bet. It is valid when the expected returns are known. The Kelly bet size is found by maximizing the expected value of the logarithm of wealth, which is equivalent to maximizing the expected geometric growth rate.
Here is a screenshot of a simple spreadsheet:
My Gold strategy (GC back in FY22Q3) has a resultant number of 0.91 (column M). I want to see if I can improve this number to be greater than 1. I am working on some tweaks and additions to my code (rows 15 and 16). Clearly my changes were detrimental as the number in column M is worse.
Like system trading, doing things in these methodical ways helps me to take some emotion out of trading. I hope this discussion helps you with your trading decisions!