SUMIF(AE11:AE128,">0"))/(SUMIF(K11:K128,"<0")SUMIF(U11:U12
8,"<0")
SUMIF(AE11:AE128,"<0"))
Before we can calculate the evaluation variables in Figure 26.5, we need
to know what a specific fwill mean for each trade in the spreadsheet. Figure
26.6 shows what an fof 2 percent will do for the trades recorded in Figure 26.3.
In this case, a starting balance of $100,000 and an fof 2 percent means that we
should buy 1,000 shares for a total value of $32,000, and that the actual amount
we’re risking to lose is $750. As the trade develops over the next several days,
we go from an open profit of $1,980 to a closed-out profit of $7,980, with the
costs for the trade also taken into consideration, as specified in cell C4 in
Figure 26.4.
Note that the total risk for this trade is $750, which corresponds to only 0.75
percent of the total amount going into the trade. This is because the stop loss is
closer to the entry price than the money management point, which is a necessity
for a short-term system to be able to trade as many markets as possible.
The formulas for this specific spreadsheet and Figure 26.6 read as follows:
To calculate the number of shares, in cell Q11 type:
IF(AND(L11<>L10,L11>0), MIN(INT($AG10*$C$3/M11),
$AH10/$AF11/L11),IF(L110,0,Q10)), where column L denotes the entry
price, column AG denotes the total equity for the portfolio, cell C3 denotes
the fictive percentage risk per trade, column M denotes the MMP, column
AH denotes the available equity, and column AF denotes the number of
entry signals that day. (See Figure 26.3 for columns L and M, Figure 26.4
for cell C3, and Figure 26.7 for columns AG, AH, and AF.)
To calculate the amount tied up in the trade, in cell R11 type:L11*Q11
To calculate the actual amount risked in the trade, in cell S11 type:
N11*Q11, where column N denotes the stop loss.
To calculate the open profit or loss of the trade, in cell T11 type:
IF(Q11>0,O11*Q11$C$4,0), where column O denotes the open profit
or loss for one share, and cell C4 denotes the costs (see Figure 26.3).
To calculate the closed-out profit or loss of the trade, in cell U11 type:
IF(AND(Q110,Q10>0),P11*Q10-$C$4,0), where column P denotes the
closed-out profit or loss for one share (see Figure 26.3).
Highlight the cells in row 11 and drag down to fill the cells below with the
formulas in row 11, for as many cells as necessary to accommodate all trades in
all markets. Do the same for all other markets. In this case, the spreadsheet is pre-
pared for three markets, with the data for Market 1 in columns B to F, the calcu-
lations for Market 1 in columns G to K, the data for Market 3 in columns V to Z,
and the calculations for Market 3 in columns AA to AE.316 PART 4 Money Management