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Just playing devils advocate but having tighter stops will
also lower your percentage of winners if it takes out some of the big ones the
system may become unviable. Tom, reading up on maximum adverse
excursions might be useful. I'd go further than Keith if you optimised with in
sample test data consider stopping right now. There is a lot more to system
design than just 'a formula' (mentioned in your first post)....that's one reason
why I prefer trading a 'method' (discretionary trading).
Cheers,
Nick
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
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>
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