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Brian,
I trade 4 times a day using 6 hour bars. I have a trading period of about 30 seconds during which a trade is made at the close of the bar.
I trade gold future contracts. I trade one contract now which is 100 ounces of gold. Gold has swings of $10 to $20 during one bar. Once I saw a swing of $50 in one bar.
So on one contract, I have been up $1500 and during the next bar, I will be down $500.
Tom
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> I am curious about your post.
>
> You know how to calculate the metrics included with AB but you don't understand them?
>
> In spite of that you managed to return approx 320% in a year?
>
> You system has the most important metric working for you ... you have the money in the bank.
> On top of that you did it in a bear year and achieved good results long and short (as we would expect the shorts outperform the longs).
>
> And now you are repeating the effort this year.
> You don't appear to be a trading novice ... not on those results.
>
> However, you didn't answer my first questions so I am left guessing and now I have some more questions:
>
> - you say it is one year trading but total trades are 84 * ave 6.88 bars per trade ... so if that is daily bars then that is more than a year.... or are you intraday trading?
>
> - according to exposure you are only in the market 0.11% of the time yet the market is volatile enough to hand over trades with an average win of approx 2000% in 7.61 bars (on ave) ... which market is giving you swings of 2000% every 7-8 bars?
>
> - I don't understand how you can have max consecutive losers == 5 and ave loss == 1200% approx and have a max drawdown of around 20% ... on e loss alone is greater than the drawdown.
>
> Did I understand you correctly ... this is how your system backtests and trades?
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "professor77747" <professor@> wrote:
> >
> > Thank you for your replies. However, I have the way they are calculated, but I don't know what they mean. For instance, CAR/MaxDD is good if bigger than 2. My formula is over 12. Is that good?
> >
> > However, the K-Ratio should be over 1.0. My forumula is .06. So that must be bad.
> >
> > I don't know how to judge my formula because I really don't understand how to interpret the figures.
> >
> > What should the Ulcer Index be. Is higher better or worse.
> >
> > I have just compared my formulas using Profit and Downdraw. I take the highest profit as long as the downdraw is close.
> >
> > Tom
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
> > >
> > > http://www.amibroker.com/guide/h_report.html
> > > http://www.investopedia.com/categories/formulas.asp
> > >
> > > Mike
> > >
> > > --- 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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