Performance critera used by trading firms?


7 0
Just curious. Realise there are different types of firms doing different things. Any input from current or ex principals / employees of these firms appreciated.

Profit factor? Used or not used? Strategies > 3 good enough for backing?

Max drawdown : total net profit ratio? Over what period of time?

Sharpe, sortino, calmar ratios?

Ticks earned per contract traded (including losses and over large sample size)?

What other metrics?

Here is where I am so far, sample size 88 contracts traded, capital employed $25,000:
Net profit after retail fees: $9,143.64
Profit factor: 3.26
Max drawdown: $1,193.20
Total profit to max drawdown ratio: 7.66
Expectancy per contract traded: $103.91 including costs (around 11 gross ticks, this includes losses, costs are typical retail costs around $5/contract including execution platform costs)
(I don't track strike rate as a key metric, but for those interested its 66%)

Might be back with my first quarter of live results, but something tells me that the specifics of my strategy are such that I shouldn't be looking to take outside money. I have zero intention of managing OPM as a fund etc, but may have considered a part backed deal with a reputable proprietary trading firm (mostly to get access to decent fees without needing to tie up capital in an exchange membership).

Curious what sort of deals are out there. Also curious what metrics are used to track / improve performance. And finally how are firms allocating / managing risk for their traders? Is there anything more sophisticated going on than max size limit and daily loss limit? Stops seem to be a rudimentary and unsatisfactory tool, and I wonder to what extent they are used by professional traders?


Well-known member
259 32
In my experience Prop trading companies are totally risk driven, that is to say they have to be comfortable with the products you trade, the way you trade and the risk profile you present. Do you day trade a single product, spread trade, basket trade?
Is your P&l horizon short term (day trading), medium of long term.
How much risk capital are you trading at any time and how much of that are you willing to provide?
Where are your stops?
What is the biggest P&L hit you would take before trading out and at what level do you protect profits?
Hardly any companies now offer 100% financing which means you need to put an element of capital down and you need leverage, depending on the amount of risk you expect the house to take would then dictate the P&L split they would want.
Most traders would aspire to a company that has 1) been around for a while, 2) understands risk 3) has a proactive P&L system which relates to risk reward and would allow the trader to achieve a 100% pay out at which stage they are covering their own risk.
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