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RE: [amibroker] Is this a good system?



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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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