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Any suggestions on maintaining a paper-trading book?

Posted: January 2nd, 2008, 6:22 pm
by Advaita
Maintaining a paper-trading bookHi,I have a few trades that I follow on a daily basis. Is there an optimal fashion in which I can understand how the trade is performing?For instance I am long the 10s/2s swap spread starting Jan 2 2008 and want to see how the trade performs on daily basis.How would I look at the p/l on a daily basis. How would I discount it? Is there some way I can look at the risk, VaR, etc? How about changing stops, etc.?Is there a book/article that talks of this? Or anybody has any ideas?Thank you

Any suggestions on maintaining a paper-trading book?

Posted: January 2nd, 2008, 6:28 pm
by msperlin
QuoteOriginally posted by: AdvaitaMaintaining a paper-trading bookHi,I have a few trades that I follow on a daily basis. Is there an optimal fashion in which I can understand how the trade is performing?For instance I am long the 10s/2s swap spread starting Jan 2 2008 and want to see how the trade performs on daily basis.How would I look at the p/l on a daily basis. How would I discount it? Is there some way I can look at the risk, VaR, etc? How about changing stops, etc.?Is there a book/article that talks of this? Or anybody has any ideas?Thank youThere has been some past discussion about this topic over the forum. Basically you can pick from static measures (eg. P/L, sharpe ratio), bootstrap procedures and to filtering techniques (static measues across time). Use the search link and you'll should be able to find the threads.