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Mark and dingo,
I have started trading this system March 1. I don't
really know if I can tolerate the drawdowns. So far, I have 2677.20 profit on my
$10000 account.
Of course, I have been very lucky because I have
not had a losing trade yet of the 8 trades that I made. I really don't know what
the drawdown was because I didn't pay any attention to that until I read the
first post in this thread. I has opened my eyes and I am wondering if I should
stop this and try to refine the formula to reduce the drawdown.
Thanks,
Tom
Subject: RE: [amibroker] Re: Is this a
good system?
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
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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