# Journal Analytics and Performance Review Calculate meaningful performance measures from reconciled trades. Use this workbook alongside the course. Write your answers before opening the solutions. Practical work is self-reviewed; scored knowledge checks are in the Academy. ## 1. Data preparation ### Execution-to-trade grouping Execution records describe fills; a trade is a grouping chosen under an accounting convention. Partial entries, partial exits and reversals require explicit grouping. Keep raw fills so a changed grouping rule can be audited. ### Fees and financing Fees and financing should be included consistently. Allocate account-level charges under a documented rule where direct attribution is unavailable. Distinguish estimates from known charges and reconcile aggregate totals. ### Deposits and withdrawals Deposits and withdrawals are external cash flows, not trading gains or losses. A balance change must be separated into trading result and contributions before it is used to judge performance. ### Timezone-consistent sessions Session tags depend on timezone and a defined boundary. A trade opening before midnight and closing after it can be classified in several ways; choose entry-based, exit-based or another stated convention and apply it consistently. ### Worked example One position is built with two entries and closed in three fills. Counting each fill as an independent completed trade would distort win rate and holding-period analysis. ### Independent exercise Write a grouping rule for that sequence and identify which raw fields must be retained to reconstruct it. My inputs and assumptions: My calculation or decision: Evidence that would change my conclusion: ## 2. Core measures ### Win rate and payoff Win rate is winning trades divided by the defined total, with a stated treatment of breakevens. Payoff compares average win with average loss magnitude. Neither measure alone establishes positive expectancy. ### Expectancy Expectancy is the average net result per trade or per recorded risk unit under the chosen definition. Use complete records and consistent denominators. Averages of percentages with changing exposures need careful interpretation. ### Profit factor limitations Profit factor is gross winning amounts divided by absolute gross losing amounts under a stated cost convention. With no losses, the ratio is undefined or unbounded in the sample, not proof of infinite quality. ### Drawdown and exposure duration Drawdown measures decline from a prior equity peak. Exposure duration and open equity matter: a closed-trade summary can miss interim risk. State whether drawdown uses balance, daily equity or finer marked-to-market observations. ### Worked example A sample has six wins of 10 and four losses of 20. Win rate is 60%, total result is −20 and average result is −2 before costs. The high win rate does not rescue the negative average. ### Independent exercise Calculate profit factor for the sample and explain how the result relates to total P&L. My inputs and assumptions: My calculation or decision: Evidence that would change my conclusion: ## 3. Segmentation ### Setup tags Setup tags must be defined before analysis or labelled exploratory when added later. A tag invented after inspecting the best trades can select winners by construction. Preserve the distinction between hypothesis generation and evaluation. ### Session and day Session and weekday comparisons need sufficient observations and consistent timezone treatment. A high average from two trades is not directly comparable in certainty to a lower average from a much larger sample. ### Holding period Holding period can interact with financing, volatility and event exposure. Grouping by duration can be informative, but duration itself may be affected by the exit rule and outcome. Interpret it as a descriptive association unless the design supports more. ### Avoid cherry-picking tiny groups Repeatedly splitting a small dataset produces attractive subgroups by chance. Report group sizes, excluded records and the number of comparisons. Reserve later data to evaluate a selected improvement rather than declaring every favorable subgroup an edge. ### Worked example A learner tries twenty tag combinations and reports only the one with three winners. The apparent subgroup performance includes a selection process that must be disclosed. ### Independent exercise Design a follow-up evaluation for that tag without pretending the original three trades were independent confirmation. My inputs and assumptions: My calculation or decision: Evidence that would change my conclusion: ## 4. Improvement loop ### Process versus outcome Process review asks whether the plan was followed; outcome review asks what happened under the measured sample. Keep both in the report. A strategy problem and an execution problem can coexist but require different interventions. ### Repeated mistakes Identify repeated mistakes using observable definitions, such as missing protection or incorrect quantity. Avoid vague labels that merely rename losses. A valid losing trade is not automatically an execution mistake. ### Choose one intervention Choose one bounded intervention and state the expected process effect. For example, an import deduplication check should reduce duplicate records, not be judged by next week's market profit. ### Compare before and after cautiously Compare before and after cautiously because market conditions and sample composition can change. A process improvement can be verified directly, while a claim about improved returns may need a stronger evaluation design. ### Worked example After adding a reconciliation checklist, missing-fee entries fall from eight of twenty records to one of twenty. That is evidence about record completeness; it is not by itself proof that the trading strategy's edge improved. ### Independent exercise Write a review conclusion that separates the observed process improvement from an unsupported performance claim. My inputs and assumptions: My calculation or decision: Evidence that would change my conclusion: ## Course project Produce a weekly report that reconciles net P&L and explains uncertainty in small groups. ### Self-review rubric - Concepts and reasoning: 25% - Calculations, data and evidence: 30% - Process and risk controls: 25% - Limitations and communication: 20% Record one correction and one next practice task. This rubric is not automatically graded. ## Worked solutions ### Exercise 1 Retain account, instrument, direction, quantities, execution IDs and times. Group under a stated position or lot convention, allocate costs consistently and preserve the five original fills beneath the resulting trade record. ### Exercise 2 Winning amounts total 60 and losses total 80, so profit factor is 0.75. The ratio below one is consistent with a negative gross total. Costs would worsen the result if not already included. ### Exercise 3 Treat the original subgroup as exploratory. Freeze its definition, collect a later reserved sample with all eligible cases and compare under the same costs. Report the original search and the new sample's uncertainty. ### Exercise 4 State the reduction in missing-fee records and the sample sizes. Explain that better data supports more reliable analysis, while any change in strategy profitability still needs a separate evaluation with complete net results. ## Further reading - https://www.itl.nist.gov/div898/handbook/ - https://www.investor.gov/introduction-investing