Ramsey, sure we do that sort of analysis all the time. It's fairly straightforward to do, if you use a tool like Tradelog to extract (match up) all of your trades from the brokerage data reports... then feed it into Excel. We also have implemented a "digital dashboard" page into the Equity Curve system that derives a lot of key stats for similar purposes. Certainly, I find short profits easier to come by in a downtrend because you're trading with the primary trend, and long profits easier in an uptrend. Counter-trend trading is something we do a lot of, but I'd hate to have to do it *exclusively*! ;)
It's hard to draw a lot of generalized conclusions though because most things are so much a function of an individual traders' skill level, trading style, consistency, market conditions, etc etc none of which are constants. For myself, whenever there is a trend in a stock my win/loss and average profit stats improve whether long or short, when it's choppy I have to work harder for lower returns. Trends are what I stay in the game for! When it's choppy I switch to a shorter primary time frame and a more scalp-oriented approach. Recently I've found myself trading the 5-minute time frame a lot; with 1 day being the longest holding period on a swing except for a few option plays.
As a result of studying my own data over the years, I have adopted three different trading styles I apply to different kind of market conditions adaptively: scalp, swing, and position trading modes... I learned the need to have different trading styles in my toolkit by living through different market environments while studying my data over the past 10 years. Most often my style is 60-70% scalp, 30-40% swing trades; and about 50:50 between longs and shorts. If the market starts trending either way I can go as for as 90% to the short/long side... e.g. last fall in my prior realtime moderating gig we were trading nearly 100% short for a while, with a 20:80 scalp/swing ratio.
Good trading, -Steve |
