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I believe (but am not 100% sure) that "consecutive trades" are
determined by the trade exit date, not the entry date. Are you sure
that your 3 losing trades were not consecutive? It appears from the
report that the losing short trade and the two losing long trades
were consecutive. How many positions did you have open at one time?
Since your system had a 96% drawdown, I would not be surprised that
your 3 losing trades were not consecutive. Due to the compounding
nature of your system, it might be better to look at percentage
losses instead of dollar or point losses. Your average loss was 275%
and one trade lost 465%. The fact that you achieved this with only
0.2% exposure on the long side suggests that you are using leverage
that is beyond my comprehension.
--- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@xxx>
wrote:
>
> 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 %
>
> --------------------------------------------------------------------
--
> ----------
>
> 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
>
> --------------------------------------------------------------------
--
> ----------
>
> 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
>
> --------------------------------------------------------------------
--
> ----------
>
> 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
>
> --------------------------------------------------------------------
--
> ----------
>
> 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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