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Oh
Forgot to ask
What time frame are you testing this?
1999-2003? Or 2003-2006?
That makes a difference too, if you get large draw down during an up market
then there are even bigger issues I would think with the system
Mark
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of professor77747
Sent: Friday, May 26, 2006 3:31 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Is this a good system?
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
>
>
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