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I have backtested my formula for 18 months. It is all the data that I
have. The results show a Max. trade drawdown of -11400 and a Max.
system drawdown of -10830. However, the largest loss was 920 with the
most consecutive losses of 3.
When I look at the list of trades, I never had 3 consecutive losses.
I only had 3 total losses. The total loss on these 3 losing trades
was 1100.
I must not understand exactly what is the definition of these terms.
Can someone explain them to me.
Here are the statistics of my backtest.
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 5000.00 5000.00 5000.00
Ending capital 28210.00 20070.00 13140.00
Net Profit 23210.00 15070.00 8140.00
Net Profit % 464.20 % 301.40 % 162.80 %
Exposure % 38.40 % 0.21 % 38.20 %
Net Risk Adjusted Return % 1208.74 % 146527.80 % 426.20 %
Annual Return % 204.00 % 144.27 % 86.06 %
Risk Adjusted Return % 531.20 % 70135.74 % 225.30 %
----------------------------------------------------------------------
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All trades 14 7 (50.00 %) 7 (50.00 %)
Avg. Profit/Loss 1657.86 2152.86 1162.86
Avg. Profit/Loss % 1657.86 % 2152.86 % 1162.86 %
Avg. Bars Held 27.71 24.14 31.29
----------------------------------------------------------------------
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Winners 10 (71.43 %) 5 (35.71 %) 5 (35.71 %)
Total Profit 24310.00 16000.00 8310.00
Avg. Profit 2431.00 3200.00 1662.00
Avg. Profit % 2431.00 % 3200.00 % 1662.00 %
Avg. Bars Held 27.20 23.00 31.40
Max. Consecutive 5 3 3
Largest win 4950.00 4950.00 3590.00
# bars in largest win 23 23 47
----------------------------------------------------------------------
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Losers 4 (28.57 %) 2 (14.29 %) 2 (14.29 %)
Total Loss -1100.00 -930.00 -170.00
Avg. Loss -275.00 -465.00 -85.00
Avg. Loss % -275.00 % -465.00 % -85.00 %
Avg. Bars Held 29.00 27.00 31.00
Max. Consecutive 3 2 1
Largest loss -920.00 -920.00 -170.00
# bars in largest loss 49 49 30
----------------------------------------------------------------------
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Max. trade drawdown -11400.00 -8020.00 -11400.00
Max. trade % drawdown -92.19 % -90.32 % -92.19 %
Max. system drawdown -10830.00 -10680.00 -12570.00
Max. system % drawdown -96.25 % -56.36 % -91.72 %
Recovery Factor 2.14 1.41 0.65
CAR/MaxDD 2.12 2.56 0.94
RAR/MaxDD 5.52 1244.45 2.46
Profit Factor 22.10 17.20 48.88
Payoff Ratio 8.84 6.88 19.55
Standard Error 2983.36 1902.76 2317.60
Risk-Reward Ratio 5.33 4.98 2.77
Ulcer Index 23.58 18.82 36.34
Ulcer Performance Index 8.42 7.38 2.22
Sharpe Ratio of trades 2.59 3.15 2.22
K-Ratio 0.1213 0.1135 0.0630
Thanks,
Tom
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