|
To everyone who responded to my post, thank you. I
have learned a lot about evaluating results.
I ran my formula for each year from 1983 to the
present. I used 10000 as my starting equity at the beginning of each
year.
I found that I had 2 losing years(2001 and
2005). My average profit was 2571 or 25%. I averaged 10 trades a
year.
If I had left the 10000 and the profit in the
account for the same period, here are the results.
|
|
All
trades |
|
Initial capital |
10000.00 |
|
Ending capital |
3799267.04 |
|
Net Profit |
3789267.04 |
|
Net Profit % |
37892.67
% |
|
Exposure % |
69.05
% |
|
Net Risk Adjusted Return % |
54875.75
% |
|
Annual Return % |
28.89
% |
|
Risk Adjusted Return % |
41.83
% |
|
|
|
All trades |
362 |
|
Avg. Profit/Loss |
10467.59 |
|
Avg. Profit/Loss % |
1.83
% |
|
Avg. Bars Held |
12.41 |
|
|
|
Winners |
274 (75.69
%) |
|
Total Profit |
7063956.02 |
|
Avg. Profit |
25780.86 |
|
Avg. Profit % |
3.97
% |
|
Avg. Bars Held |
10.85 |
|
Max. Consecutive |
19 |
|
Largest win |
358176.16 |
|
# bars in largest
win |
33 |
|
|
|
Losers |
88 (24.31
%) |
|
Total Loss |
-3274688.98 |
|
Avg. Loss |
-37212.37 |
|
Avg. Loss % |
-4.82
% |
|
Avg. Bars Held |
17.30 |
|
Max. Consecutive |
3 |
|
Largest loss |
-477622.43 |
|
# bars in largest
loss |
21 |
|
|
|
Max. trade drawdown |
-618708.69 |
|
Max. trade % drawdown |
-35.45
% |
|
Max. system drawdown |
-897749.00 |
|
Max. system % drawdown |
-38.47
% |
|
Recovery Factor |
4.22 |
|
CAR/MaxDD |
0.75 |
|
RAR/MaxDD |
1.09 |
|
Profit Factor |
2.16 |
|
Payoff Ratio |
0.69 |
|
Standard Error |
584378.51 |
|
Risk-Reward Ratio |
0.19 |
|
Ulcer Index |
11.96 |
|
Ulcer Performance Index |
1.96 |
|
Sharpe Ratio of trades |
1.31 |
|
K-Ratio |
0.02 |
Although I may adjust this formula somewhat, I have
decided that it is ok for now. I feel that I can handle the DD with 75% winners
and almost 30% annual profit. With only 2 losing years in over 24 full years and
with the largest loss only 16%, it seems fairly consistant. I used the dow 30
stocks as the stocks in this test. I really appreciate all the comments and
suggests.
Thanks again,
Tom
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