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Comments:
CAR/MaxDD = 0.88 //You can lose MORE in one sequence of bad trades than
you make in an entire year.
Annual Return % 15.25 //This might be okay if the MaxDD were 5-7%
Profit Factor 1.71, Payoff Ratio 1.67 //Good values. Must not trade very
often otherwise the returns would be better.
Exposure % 26.68 //Nice. Explains the modest Annual Return
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of jacklweinberg
Sent: Friday, May 26, 2006 09:06
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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