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Dingo,
I don't know why. I have different conditions for my shorts and my longs so that may be it. However, I backtested my longs using the same conditions and the result were not as good.
Since I make more profit on my longs, I just live with it.
Tom
--- In amibroker@xxxxxxxxxxxxxxx, dingo <waledingo@xxx> wrote:
>
> Your drawdowns' are much larger on your long positions than your shorts. The
> short side of the formula seems to do much better with lower risk than the
> long side. What was the reason for this?
>
> d
>
> On Wed, Jun 24, 2009 at 12:54 PM, professor77747
> <professor@xxx>wrote:
>
> >
> >
> > 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<http://success101.biz/Backtest%20Report.htm>.
> > The second is the less risky one at Report 2<http://finance.groups.yahoo.com/http://success101.biz/Backtest%20Report-15.htm>
> > .
> >
> > 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@> 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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