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Here are a set of sample results using number of stocks from 1
to 10:
<TABLE cellSpacing=0
cellPadding=0 width=369 border=0 x:str>
<COL
span=2 width=73>
<COL
width=95>
<TD class=xl22
width=64 height=18>Stocks
<TD class=xl23
width=64>CAR
<TD class=xl23
width=73>Max DD %
<TD class=xl23
width=73>CAR/MDD
<TD class=xl24
width=95>Profit Factor
<TD class=xl25
height=17 x:num>1
<TD class=xl29
x:num>88.18
<TD class=xl29
x:num>-60.40
<TD class=xl29
x:num>1.46
<TD class=xl30
x:num>3.53
<TD class=xl26
height=17 x:str="'1-2">1-2
<TD class=xl31
x:num>96.49
<TD class=xl31
x:num>-39.95
<TD class=xl31
x:num>2.42
<TD class=xl32
x:num>2.26
<TD class=xl27
height=17 x:str="'1-3">1-3
<TD class=xl31
x:num>79.03
<TD class=xl31
x:num>-37.02
<TD class=xl31
x:num>2.13
<TD class=xl32
x:num>2.29
<TD class=xl27
height=17 x:str="'1-4">1-4
<TD class=xl31
x:num>85.30
<TD class=xl31
x:num>-35.87
<TD class=xl31
x:num>2.38
<TD class=xl32
x:num>2.32
<TD class=xl27
height=17 x:str="'1-5">1-5
<TD class=xl31
x:num>85.12
<TD class=xl31
x:num>-30.09
<TD class=xl31
x:num>2.83
<TD class=xl32
x:num>2.32
<TD class=xl27
height=17 x:str="'1-6">1-6
<TD class=xl31
x:num>76.29
<TD class=xl31
x:num>-32.16
<TD class=xl31
x:num>2.37
<TD class=xl32
x:num>2.15
<TD class=xl27
height=17 x:str="'1-7">1-7
<TD class=xl31
x:num>73.41
<TD class=xl31
x:num>-29.54
<TD class=xl31
x:num>2.49
<TD class=xl32
x:num>2.07
<TD class=xl27
height=17 x:str="'1-8">1-8
<TD class=xl31
x:num>75.79
<TD class=xl31
x:num>-30.08
<TD class=xl31
x:num>2.52
<TD class=xl32
x:num>2.15
<TD class=xl27
height=17 x:str="'1-9">1-9
<TD class=xl31
x:num>73.04
<TD class=xl31
x:num>-27.69
<TD class=xl31
x:num>2.64
<TD class=xl32
x:num>2.14
<TD class=xl28
height=18 x:str="'1-10">1-10
<TD class=xl33
x:num>69.86
<TD class=xl33
x:num>-26.55
<TD class=xl33
x:num>2.63
<TD class=xl34
x:num>2.13
How would I isolate the result for each individual stock
number? Something like:
Return(1-5) - Return(1-4) = Return(5)
Can I just change 85% to 1.85, and subtract the values or
do I need to introduce logs into the calculation? How about the Max DD%
column?
Incidentally, this seems to show that CAR/MDD is a more
sensible criterion for ranking systems than Profit Factor.
Thanks,
Steve
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