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Tom --
Dingo mentioned stops. You could try percentage loss, either fixed or
a function of ATR. Also, you can have an tight initial loss coupled
with a larger trailing loss once the trade becomes profitable.
Also notice that you have "# bars in largest win 12" but
"# bars in largest loss 21". You have to cut your losses earlier.
(BTW, cutting looses early has two benefits: 1. The most obvious is
you don't loose as much money. 2. Less obvious, you have more
opportunity to find winners.
Did you, by any chance, Optimize on the the same data that you are
showing us here? If so, you should not expect to see anything close to
these kinds of returns if you trade it for real over any length of time.
-- Keith
dingo wrote:
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
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
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For other support material please check also:
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
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