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At 11:09 PM 3/12/98 -0500, you wrote:
>Hi:
>I've worked up 2 systems which have drastically different approaches. I'd
appreciate any comments on which might be preferable.
Barry:
Let's call the first system you listed the results for "System #1", and
the second "System #2".
To me, System #2 has it all over System #1. "2's profit factor (the
ratio of dollars won to dollars lost) is 3.21, well above System #1's
profit factor of 1.37. That's significant. System #2 also has a
higher percent of winning trades (67% versus 45%) - not important if
a robot is trading the systems, but very important if a fallable human
has to live through the 55% losing trades that System #1 will deliver.
Also, System #2 trades less often - 12 times during the contract, versus
108 times for system #1. Advantage: Much less spent on commissions, and
much less risked on slippage. Disadvantage: You may fall asleep waiting
for #2 to issue a signal AND/OR you may be not trading on one of the
key days when #2 would have made a significant fraction of its gains
for the contract.
That said, your statistics are troubling in some ways:
- It would be irresponsible to draw any conclusions from results that
pertain to only one contract. This is way too short a test period to
be considered significant, even for System #1's 108 trades.
- With only 12 completed trades, the statistics on System #2 are
highly insignificant.
- As someone else pointed out, the notation "Avg # bars in winners = 0",
suggests that you are employing TradeStation's built-in trailing stops.
These are wildly optimistic, due to the "bouncing tick" problem, and
show results that could NEVER be duplicated in actual trading. Sorry!
Good Luck!
Jay Mackro
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