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Would anyone care to share their views on what constitutes
acceptable system performance: what baseline values they consider
would make a system a candidate to move from testing into real
trading?
(If there is interest in this thread we may need to break it into
Position trading and Day trading.)
I offer the following for consideration.
Performance Statistics for Position trading:
Statistic Value Description of Stat
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Mathematical Expectancy > 0.6 $ return for $ risked
Opportunity * Expectancy > 2.0 Opportunity = Trades per Year
Win/Loss Ratio > 2.0 [ AvgWin / AvgLoss ]
Profit Factor > 3.0
Annual Return on Account > 50% account = [(Margin*4)+(MDD*2)]
Net Profit to MDD Ratio > 3.0
Percentage DrawDown < 30%
Average Trade $$ > $500
I understand that there are many performance statistics that can be
generated.
What I am trying to determine is:
* what statistics are truly useful; and
* what base values are considered acceptable.
--
Best regards,
Ross mail to: Ross.Bond@xxxxxxxxxx
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