|
PureBytes Links
Trading Reference Links
|
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
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get Home Early - Access Your work PC
http://us.click.yahoo.com/usvdqB/Yq8FAA/AG3JAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|