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Brian,
Here are the reports for my 2 formulas. The profit doesn't seem much different, but this year, the profit shows a difference of over $5000. The first one is the one that I posted at Report 1. The second is the less risky one at Report 2 .
What metric do you use to decide that you (your systems) are profitable ... annual % return or what? I just look at the profit %.
When you say your system is "risky" what exactly do you mean ... is this a hunch or do you use a metric to quantify risk? I look at the system downdraw. I started with 5000 over a year ago and ran it up to $30000, but I was lucky. I then took out $10000. I really needed $20000 to start. You will see that the system downdraw is over $11000. I trade gold futures and a contract requires about $6000 so I need at least $17000 to trade one contract.
What do you mean when you say that both systems backtest nearly the same except for "price"? .... what is the same after a backtest? ... what price are you talking about? Since I trade using a 6 hour bar and I only trade at the close of the bar, the backtest results are the same as my trades except for a slight difference in price sometimes when I trade at different price than the backtest price. What I meant was that the system trades and the backtest trades are almost identical. I auto trade my formula and I use market orders so the trades are placed fast. The biggest difference between the actual trade price and the backtest trade price has been 20 cents. While this is a $20 difference in my cost, I still make a good profit on the trades. I could probably save by manually trading and placing limit orders, but I like to auto trade so I don't have to worry about watching the computer at my trading times
The reason that I want to know about the risk is that I am going to start trading 2 contracts now that I have $40000 in my account. The difference in profit between the 2 formulas is over $10,000 in a 18 month period, but most of that difference was this year. The system down draw was over $11,ooo on the more profitable formula and only about $8000 on the less profitable one.
I must say that I was ready to quit when I lost over $11,000 so that I why I am worried about the risk. On 2 contracts, that would be $22000. I don't know if I can handle it.
Thanks for your help,
Tom
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> Hello Tom,
>
> The definitions, for the metrics, are in Howard Bandy's QTS book.
> I believe they are also in the help manual (not certain about that).
>
> That is a good place to start.
>
> In my experience we have to make the metrics our own, so to speak, by learning how they are calculated and then trying to understand what they are measuring (compared to each other).
>
> So, you are trading successfully for at least a year and don't understand the statistics ... I don't know if that is good or bad or something else but it doesn't appear to be a problem for you.
>
> Anyway, it is good that you want to keep learning and extending your knowledge, even though you are already successful.
>
>
> I don't know if I can help but please clarify your question further to give me, or others, a fighting chance:
>
> Please post the report for each system over the same time range.
>
>
> What metric do you use to decide that you (your systems) are profitable ... annual % return or what?
>
>
> When you say your system is "risky" what exactly do you mean ... is this a hunch or do you use a metric to quantify risk?
>
> What do you mean when you say that both systems backtest nearly the same except for "price"? .... what is the same after a backtest? ... what price are you talking about?
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" professor@ wrote:
> >
> >
> > I have a very profitable formual that I have been autotrading for over a
> > year. However, it is also risky. I have another formula that is not as
> > profitable, but is also not as risky. My formula trade almost exactly as
> > a backtest except for the price which varies by so little that it is not
> > a factor.
> >
> > I don't understand any of the risk % factors in the top section and the
> > factors below the drawdown figures in the bottom section.
> >
> > Here is a link to the statistics for last year which are very similar to
> > this year except that there is more data. Statistics
> > <http://success101.biz/Backtest%20Report.htm>
> >
> > Please help me understand these statistics. Thanks
> >
> > Tom
> >
>
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