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I just tried my first optimization of a backtest and can use some help
interpreting the results. I believe the variation that gives the
biggest total (backtest was over 10 years, all stocks) may not be the
best system.
For example, the "best" return had 2951 winners w/15.07% average gain
and 4591 losers w/7.40% average loss. I calculate this gives 1.39%
gain per trade.
But the "worse" return had 27 winners w/27.05% average gain and 25
losers w/7.85% average loss. I calculate this gives 10.27% gain per
trade.
The first case did better over 10 years because while the average
return per trade was less, there were so many more of them. But if I
can combine the last system with other systems that give good (per
trade) returns, I'll have enough signals to distribute my capital (so
each trade might be 1% of my capital, rather than say 20%).
Is my interpretation correct? Below is the output from my optimization.
Thanks!
No.,Net Profit,Net % Profit,Exposure %,CAR,RAR,Max. Trade
Drawdown,Max. Trade % Drawdown,Max. Sys Drawdown,Max. Sys %
Drawdown,Recovery Factor,CAR/MDD,RAR/MDD,Profit Factor,Payoff
Ratio,Standard Error,RRR,Ulcer Index,Ulcer Perf. Index,Sharpe
Ratio,K-Ratio,# Trades,Avg Profit/Loss,Avg % Profit/Loss,Avg Bars
Held,# of winners,% of Winners,W. Tot. Profit,W. Avg. Profit,W. Avg %
Profit,W. Avg. Bars Held,# of losers,% of Losers,L. Tot. Loss,L. Avg.
Loss,L. Avg % Loss,L. Avg. Bars Held,betalimit,
2,1149908.20,11499.08,93.30,65.74,70.46,-9722.66,-22.28,-182508.69,-43.77,6.30,1.50,1.61,1.27,1.98,146430.30,0.56,10.77,5.60,0.69,0.03,7542,152.47,1.39,6.96,2951,39.13,5343160.61,1810.63,15.07,8.08,4591,60.87,-4193252.41,-913.36,-7.40,6.24,0.015
3,522636.33,5226.36,66.76,52.58,78.76,-3937.82,-22.28,-81398.17,-36.58,6.42,1.44,2.15,1.25,2.11,72367.82,0.53,9.45,5.00,0.65,0.03,7052,74.11,1.25,5.48,2625,37.22,2617727.75,997.23,15.90,6.05,4427,62.78,-2095091.42,-473.25,-7.44,5.14,0.02
1,375341.72,3753.42,97.40,47.42,48.69,-2967.09,-22.28,-57349.89,-31.75,6.54,1.49,1.53,1.30,1.91,41324.17,0.65,8.34,5.04,0.56,0.04,5771,65.04,1.38,9.18,2341,40.56,1622847.29,693.23,14.15,11.26,3430,59.44,-1247505.56,-363.70,-7.33,7.75,0.01
4,188513.80,1885.14,33.55,37.39,111.42,-1328.95,-22.28,-29194.80,-30.65,6.46,1.22,3.64,1.28,2.19,26982.87,0.64,7.58,4.22,0.82,0.04,4440,42.46,1.44,4.49,1637,36.87,869010.45,530.86,16.73,4.87,2803,63.13,-680496.65,-242.77,-7.49,4.27,0.025
5,57629.46,576.29,15.26,22.53,147.61,-475.56,-22.28,-7747.49,-26.66,7.44,0.85,5.54,1.31,2.24,7209.29,0.85,5.28,3.25,1.05,0.05,2408,23.93,1.67,3.85,888,36.88,242798.60,273.42,17.61,4.02,1520,63.12,-185169.14,-121.82,-7.64,3.75,0.03
6,35037.53,350.38,6.95,17.35,249.54,-335.71,-15.00,-5019.70,-21.67,6.98,0.80,11.52,1.46,2.36,3667.73,1.07,3.18,3.75,1.43,0.06,1256,27.90,2.48,3.42,480,38.22,111346.26,231.97,19.08,3.71,776,61.78,-76308.73,-98.34,-7.78,3.24,0.035
7,26020.11,260.20,3.36,14.59,433.95,-276.98,-15.00,-1770.83,-9.45,14.69,1.54,45.90,1.82,2.56,3320.19,0.91,1.79,5.14,2.10,0.05,657,39.60,4.01,3.19,273,41.55,57772.31,211.62,20.84,3.37,384,58.45,-31752.20,-82.69,-7.96,3.07,0.04
8,15715.57,157.16,1.84,10.56,574.25,-200.40,-15.00,-1125.20,-6.93,13.97,1.52,82.82,2.12,2.52,1635.22,1.13,1.25,4.12,2.81,0.06,374,42.02,5.15,3.05,171,45.72,29693.86,173.65,20.59,3.13,203,54.28,-13978.29,-68.86,-7.86,2.98,0.045
9,8255.13,82.55,0.97,6.61,681.48,-100.63,-12.40,-665.97,-4.93,12.40,1.34,138.17,2.36,2.84,939.15,1.14,1.21,0.99,3.90,0.06,198,41.69,6.18,2.98,90,45.45,14313.61,159.04,23.15,3.08,108,54.55,-6058.48,-56.10,-7.96,2.91,0.05
10,5713.80,57.14,0.57,4.92,866.05,-69.22,-12.40,-382.90,-2.38,14.92,2.07,364.08,3.13,3.02,704.36,1.06,0.85,-0.56,4.06,0.06,110,51.94,8.34,3.06,56,50.91,8397.71,149.96,24.04,3.18,54,49.09,-2683.91,-49.70,-7.94,2.94,0.055
11,3014.16,30.14,0.26,2.84,1095.21,-44.54,-8.04,-223.96,-1.69,13.46,1.68,647.37,3.64,3.37,303.06,1.30,0.64,-4.01,5.56,0.07,52,57.96,10.27,2.96,27,51.92,4155.72,153.92,27.05,3.37,25,48.08,-1141.56,-45.66,-7.85,2.52,0.06
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