|
PureBytes Links
Trading Reference Links
|
Arthur,
Just a few points
1. The basic premise of your e-mail is that you can "cherry pick" or selectively choose which trades to take from a given system. The problem with that is you will never know. All the numbers listed below are based on taking ALL trades. As such, you can not base your decision to "cherry pick" based on those numbers. More to the point, you can't cherry pick system trades at all and be a long-term, consistent winner IMHO. Vegas Casinos are built on the idea of playing a game (system) that they have an edge on (however miniscule), and playing every hand. That is what profit factor tells you -- in the long run you should make X dollars for every dollar you lose.
2. That said, the tradeability of the systems must come into focus from a psychological perspective. If we look at the two systems - the high avg win/avg loss, low avg trade system probably has a poor winning percentage, but when it does win the winners are substantially large compared to the losers. The second system is the inverse in terms of winning percentage. Both end up with the same profit factor (more or less), but get there by different means. The question is can you take a system that loses 60 - 70% of the time? I can't.
The headline is that you need to find a system that you can trade on every trade from a capital and psychological perspective. Just some things to think about.
Regards,
Gary
Arthur Sawilejskij <arthur@xxxxxxxxxxxxxxx> wrote:
OK, assume I have some figures like:Ratio avg win/avg loss: 2.60 Avg. trade (win & loss): 0.29 Profit factor: 1.30andRatio avg win/avg loss: 1.17 Avg. trade (win & loss): 0.51 Profit factor: 1.26Now, one of them generates 3 times as many trades and naturally has a higher dollar return. The problem is that I can only physically trade a small proportion of the identified trades as I am intraday trading on margin and really only looking to compare entry strategy.I'm unsure in the circumstances how to determine which best suites my needs - but I'm inclined to think that as I can only physically trade a small proportion of the identified trades, I should be looking to trade the entries that give me the best average trade win - the second strategy.Dunno - would appreciate any thoughts from traders on
selection of the strategy.Arthur>Avg win/loss would be the dollar ratio of returns per trade (count the>dollars)>>Avg trade win/loss would be the number of wins/loss trades ratio (count the>wins/losses)>>Or vice versa>>Cheers,>Graham>http://groups.msn.com/ASXShareTrading>http://groups.msn.com/FMSAustralia>>>-----Original Message----->From: Arthur Sawilejskij [mailto:arthur@xxxxxxxxxxxxxxx]>Sent: Friday, 19 September 2003 7:48 AM>To: amibroker@xxxxxxxxxxxxxxx>Subject: [amibroker] interpreting AA test results>>>I've been running a set of intraday scripts and getting the results and I'm>having trouble understanding them and knowing what to look for.>>For example, some have a higher Ratio avg
win/avg loss: but a lower Avg.>trade (win & loss): - and vica versa.>>I seem to be having a mental block in discerning the difference and what>figures I should be looking at to make decisions about what gives me the>best trading signals.>>If anyone can give me a simple explanation or point me to a web page that>deals with this issue it would be greatly appreciated.>>Arthur>>>------------------------ Yahoo! Groups Sponsor ---------------------~--> Buy>Remanufactured Ink Cartridges & Refill Kits at MyInks.com for: HP $8-20.>Epson $3-9, Canon $5-15, Lexmark $4-17. Free s/h over $50 (US & Canada).>http://www.c1tracking.com/l.asp?cid=6351><A
href="">http://us.click.yahoo.com/0zJuRD/6CvGAA/qnsNAA/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/>>>>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/Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend 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 the Yahoo! Terms of Service.
Do you Yahoo!?
Yahoo! SiteBuilder - Free, easy-to-use web site design software
Yahoo! Groups Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|