|
PureBytes Links
Trading Reference Links
|
How about ROA? Anybody besides me uses Return on Account? It is the
> NetProfit divided by acount size required (which includes drawdown per
> contract and marginper contract). Any opinions?
ROA varies by the length of the test. A five year test may produce a 500%
return while a ten year test may produce a 1300% return. If you are testing
two systems over the same time period it has some value.
The big problem with ROA is the assumption of the account size which, in my
opinion is not realistic in TS. The account size is related to the drawdown
and of all the statistics generated in testing, drawdown is the least
reliable.
Chuck
traderclub.com
|