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To me this system is something I would not touch
15.25% annual Return
And a Max trade Drawdown of 47.87%
That means that yours system lost almost half the money on one trade
Max System DD 17.27% to me means that you are having huge swings of profit
and looses
So if you started with 10k and traded one stock per say
You could loose as much as $4787 on that trade, but over time, looks like
you ran this for several years? You will have a few large winners and
losers and loose sleep over the looses hoping that you find a big winner to
get you the 15% annual rate of return this system is suppose to give you
Maybe I am wrong that is how I read this
Not going into each line item either
Here is something I have been working on to give you something to compare
yours with
Starting with 30k
Max. trade drawdown -8260.60
Max. trade % drawdown -17.54 %
Max. system drawdown -18002.66
Max. system % drawdown -12.74 %
Recovery Factor 7.57
CAR/MaxDD 2.59
RAR/MaxDD 4.96
Profit Factor 7.40
Payoff Ratio 2.66
Standard Error 11579.83
Risk-Reward Ratio 2.06
Ulcer Index 4.56
Ulcer Performance Index 6.07
Sharpe Ratio of trades 1.48
K-Ratio 0.09
Net Profit % 454.11 %
Exposure % 52.27 %
Net Risk Adjusted Return % 868.82 %
Annual Return % 33.06 %
Risk Adjusted Return % 63.25 %
The above is for 1/6/97- 1/3/03
YES I am testing this out over the good and bad of the last market cycle
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of jacklweinberg
Sent: Friday, May 26, 2006 11:06 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Is this a good system?
Hello:
Could someone please comment on these results (taken from the
AmiBroker Report output) for a stock trading system:
Max. trade drawdown -8250.00
Max. trade % drawdown -41.87
Max. system drawdown -36639.00
Max. system % drawdown -17.27
Recovery Factor 7.33
CAR/MaxDD 0.88
RAR/MaxDD 3.31
Profit Factor 1.71
Payoff Ratio 1.67
Standard Error 21810.03
Risk-Reward Ratio 2.09
Ulcer Index 4.14
Ulcer Performance Index 2.38
Sharpe Ratio of trades 0.89
K-Ratio 0.09
The profitability of this system appears to be quite good:
Net Profit % 134.36
Exposure % 26.68
Net Risk Adjusted Return % 503.58
Annual Return % 15.25
Risk Adjusted Return % 57.16
Thanks in advance for your comments.
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