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RE: [amibroker] Re: Is this a good system?



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What's your tolerance for drawdowns?  I ask because IMHO that's a crucial question.  I get cramps when I see losses of 5% and suicidal when they get to 10%. 
 
You really gotta know yourself before you commit to trading any system.
 
Your stats say -34.42% as max sys dd.  You should expect them to exceed this over time.
 
Can you handle that?  Are you using any kind of stop loss?
 
d 


From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of professor@xxxxxxxxxxxxxx
Sent: Friday, May 26, 2006 4:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Is this a good system?

Mark,
I backtested from 1/1/2000 to 4/6/2006.
 
Thanks,
Tom
Subject: RE: [amibroker] Re: Is this a good system?

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
>

> Yahoo! Groups Links
>








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