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Use Monte Carlo Simulation (MCS) first, above all else. If you don't
get worthwhile results with that, don't even waste your time with
other stats. I'm speaking from a pure statistics point of view. If
you don't do MCS testing, it will be like building a hot rod from
scratch, but never actually looking under the hood to make sure it
goes fast.
Beyond that, good stats include K Ratio. That's my fav.
>From my notes...
a. COMPLETE SINGLE BULL-BEAR CYCLES
i. In Sample = 4/1/2002 - 2/1/2004
ii. In Sample = 11/1/1998 - 10/1/2001
b. ULTRA-BEAR CYCLES
i. In Sample = 10/1/2000 - 10/1/2002
c. ULTRA-BULL CYCLES
i. In Sample = 1/1/1996 - 4/1/2000
ii. In Sample = 4/1/2003 - 2/1/2006
and also...
d. ROI ratio = ( net profit / maximum trade drawdown )
i. If comparing ROI ratio between systems, must use same
historical data for each system test. Look for highest ROI ratio.
e. Sharpe Ratio = measure of risk adjusted ROI.
i. Above 1.0 is good, above 2.0 is very good, 3.0 is excellent
ii. Decreasing ratio means system losses hurt more than gains
help
f. K-Ratio = Detects inconsistency in returns. Measures both
profitability and consistency of returns and then returns them in
one single number.
i. Should be 1.0 or more.
ii. Ratio dependent on length of historical data used.
g. Pessimistic Return to Risk Ratio (PRRR) = Large positive
returns are not penalized like with the Sharpe Ratio.
i. ADD = avg daily drawdown, AWT = avg winning trade, ALT = avg
losing trade, Wins = number of winning trades, Losers = number of
losing trades
ii. PessimisticNet = AWT*(Wins-sqrt(Wins))-ALT*(Losers+sqrt
(Losers)
iii. PRRR = PessimisticNet/ADD
Have fun,
~rhelfer
--- In amibroker@xxxxxxxxxxxxxxx, "Michael.S.G." <OzFalconAB@xxx>
wrote:
>
> Hi Fred,
> As per previous posts, The common stats are realy just a start
> point. The ability to test said formula/system in a controlled
> environment for more detailed analysis is what the rest of the
framework
> is designed for.
>
> Thanks for your list too.
>
> ATB
> Michael.
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