Trading Diary
Interest Earnings
Date Fund not used for Margins T-bill Rate Interest earnings
diary1
Trading Diary
Trading Profit & Loss
Time New Positions Entry Closed Positions Exit Open Positions (Current ) Realized Unrealized Trading Total Value at Risk position Trades Made During the Day:
Long Short Price Long Short Price Long Short Closing Price P&L P&L Expenses P&L Todate per contract risk Explanation
Note 1:
The calculation of Value at Risk (VAR) for a given futures contract i at time t is
VAR(i)=2.33*STD(i)*P(i)*S(i)
where:
S(i)= size of contract i
P(i)=quoted closing price of i at time t
STD(i)=expected standard deviation of the daily percentage changes in the price of i.
2.33= number of standard deviations
See attached explanation for calculating VAR.
diary1
(2)
Trading Diary (An Example)
Time New Positions Entry Closed Positions Exit Open Positions (Current ) Realized Unrealized Total Value Trades Made During the Day:
Long Short Price Long Short Price Long Short Closing Price P&L P&L P&L Todate at Risk Explanation
15-Aug 200Z 10 200Z
16-Aug 50Z 12 150Z 15 100 750 850
(2)
Trading Diary
Total Profit & Loss
Date Trading Unrealized Profits Trading Realized Profits Interest Earnings Total
Sheet2
Note 1:
Calculation of Capital at Risk (CAR) for a futures contract i is
CAR(i)=[N(i)V(i)STD(i)]*2.33
where:
N(i)= number of fuutres contracts of i in position
V(i)=change in value of one futures contract for a unit change in the price of i
STD(i)=standard deviation of the daily changes in the price(or yield) of i.
2.33= number of standard deviations
Note 2:
If positions in more thant single instrument (i) are held, the calculation of CAR(i) must account for the
Note 3:
Trading Strategy:
(1) Describe the trader's approach to trading: technical, fundamental, or combination.
(2) Given the approach chosen, describe the key factores that the trader will look to in determing wherhter to buy or sell,
and in determing the size of the position to be taken.
(3) Describe the information set the trader will follow, and where such information can be obtained.
(4) Establish an electronic data retrieval for the described information.
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Sheet2
ccount for the
eterming wherhter to buy or sell,
e obtained.
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