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You can get the standard deviation easily enough by exporting the
trade list to Excel.
--- In amibroker@xxxxxxxxxxxxxxx, "nkis22" <nkishor@xxxx> wrote:
> Anthony,
> God stuff.
>
> "CV = 100 X standard deviation / simple average "
>
> can be worked only if we ge the standard deviation, which
> we don't.
>
> However, a very rough estiamte could be obtained by
>
> abs(largest loser-largest winnner)/6, that is
> range divided by 6.
>
> nand
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
<ajf1111@xxxx>
> wrote:
> > To begin a Trade analysis...lets compare the results of two
> systems.
> > Superficially, both systems appear
> > to be the same, with identical figures for net profit, total
number
> of
> > trades, and average profit per trade.
> > Beneath the surface, however, lies a different story.
> >
> >
> > system A .........System B
> >
> > Net profit............$100,000.........$100,000
> > total trades.........50.....................50
> > Average Trade...$ 2,000............$ 2,000
> > Std. Dev..............$ 714...........$ 5,335
> > CV.......................35.71%............266.78%
> >
> > Here we are measuring the volatility of the average trade. The
> greater the
> > volatility the less stable
> > the average. Both systems have the same average $ 2000 profit
per
> trade.
> > The trades associated with
> > system A fluctuate in a tight range around its average. Range is
> measured
> > here by the standard Deviation of the trades profits.
> > Based on its Standard Deviation of $ 714, the profit range for
> system
> > A is from $ 1,286 ( 2000 - 714 ) to $ 2,714 ( 2000 + 714 ).
System
> B on the
> > other hand has a standard
> > Deviation of $ 5,335, which translates into an average trade that
> ranges
> > between $ 7,335 and -$ 3,335.
> > These are dramatically different numbers for systems that appear
to
> be the
> > same. The net result:
> > System A is the more stable system.
> >
> > The Systems can also be evaluated based on their COEFFICIENT OF
> VARIATIONS
> > (CV).
> > This statistical measure is similar to standard deviation: the
> smaller the
> > figure, the more stable the Trades.
> > Coefficient of Variation (CV) is calculated in a percentage
format
> allowing
> > for easy interpretation between systems.
> > CV is the standard deviation of a variable ( ex. Profit per
trade )
> divided
> > by the average value of the variable.
> >
> > CV = 100 X standard deviation / simple average
> >
> > Look for systems with coefficient of variations of 200 % or
less.
> > Numbers larger than this indicate instability and should raise
your
> concern.
> >
> > Anthony
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