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Here are of some of the new numbers that this new portfolio testing
is throwing my way. I do have a very rudimentary knowledge (stress
on 'very') about some of these numbers, but certainly not a fraction
as deep as some of you guys on this list. Mainly, until this past
year or so, I have been primarily a discretionary trader, one who has
recently been looking seriously for a system, something that would
attempt to trade systematically in a close approximation of what I
have usually tried to do on a discretionary basis.
The data for this test goes back to 1/1/99, so it covers some strong
bull, bear, and chop periods in Tokyo. To me, the performance looks
pretty darn good. The max. system DD is less than I expected (less
than the number given by the old back tester, which means I'm getting
some benefit from diversification), and easily tolerable. I'd sure
like opinions on this, particularly on some of the numbers like UI
and UPI and K-Ratio and Standard Error. Recovery factor, for
example, is something I think I might have a decent idea about, but I
have never come across the actual statistical explanation.
So who would be inclined to use a system producing these numbers?
Who would not? And why or why not, based on the performance numbers
and about 5 years of data? Winners are 65.1 percent, long profit is
about 52 percent of total versus about 48 percent for short profit.
Clearly the long side is the better side over the test period, but
the short side appears to me to be too good to ignore. (Long trade
winners are about 36 percent of all trades, and short trade winners
about 29 percent.) Testing this over 5 one-year periods shows very
little variation in the numbers below, so I think they are
representative of what I might expect. But I really don't know the
best way to determine that.
The size of the Standard Error numbers startles me. I know standard
deviation a bit, but not standard error, nor what it is actually
telling me here.
Recovery Factor 16.42 12.68 4.57
CAR/MaxDD 3.15 2.73 0.77
RAR/MaxDD 24.59 35.94 8.43
Profit Factor 2.41 3.08 1.94
Payoff Ratio 1.29 1.36 1.27
Standard Error 3112548.91 1569285.92 2911269.84
Risk-Reward Ratio 4.62 5.29 2.09
Ulcer Index 2.36 1.89 5.30
UlcerPerformance Index 11.04 9.10 2.02
Sharpe Ratio of trades 3.57 4.74 2.60
K-Ratio 6.34 7.25 2.87
Yuki
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