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[amibroker] Re: Is this a good system?



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I have these results with my formula. However, the Max trade 
Drawdown is 34.98%. Is this a good result? Since I trade hold only 4 
postitions at once and use max 25% of equity per position, it is a 
very agressive formula. I could reduce the exposure but my annual 
return is less.

 	All trades
Initial capital	100000.00
Ending capital	527941.58
Net Profit	427941.58
Net Profit %	427.94 %
Exposure %	84.22 %
Net Risk Adjusted Return %	508.12 %
Annual Return %	30.44 %
Risk Adjusted Return %	36.15 %
________________________________________
All trades	108
 Avg. Profit/Loss	3962.42
 Avg. Profit/Loss %	1.72 %
 Avg. Bars Held	13.46
________________________________________
Winners	76 (70.37 %)
 Total Profit	860539.60
 Avg. Profit	11322.89
 Avg. Profit %	4.37 %
 Avg. Bars Held	10.89
 Max. Consecutive	15
 Largest win	50243.12
 # bars in largest win	12
________________________________________
Losers	32 (29.63 %)
 Total Loss	-432598.01
 Avg. Loss	-13518.69
 Avg. Loss %	-4.58 %
 Avg. Bars Held	19.56
 Max. Consecutive	3
 Largest loss	-76031.78
 # bars in largest loss	21
________________________________________
Max. trade drawdown	-98491.02
Max. trade % drawdown	-34.98 %
Max. system drawdown	-142584.38
Max. system % drawdown	-34.42 %
Recovery Factor	3.00
CAR/MaxDD	0.88
RAR/MaxDD	1.05
Profit Factor	1.99
Payoff Ratio	0.84
Standard Error	50664.90
Risk-Reward Ratio	1.48
Ulcer Index	13.85
Ulcer Performance Index	1.81
Sharpe Ratio of trades	1.17
K-Ratio	0.07

Thanks,
Tom
--- In amibroker@xxxxxxxxxxxxxxx, "MailYahoo" <MailYahoo@xxx> wrote:
>
> 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.
> 
> 
> 
> 
> 
> 
> 
> Please note that this group is for discussion between users only.
> 
> To get support from AmiBroker please send an e-mail directly to 
> SUPPORT {at} amibroker.com
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
> 
>  
> Yahoo! Groups Links
>







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