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these can also be useful:
1) Sharpe ratio > 1 (probably the best ex-ante measure, benchmark = cash)
2) % of months/years with positive returns > 80% (for stable equity curves)
3) ( net profit - largest winning trade ) to MDD > 2 ( MDD picks serial correlation in returns that sharpe does not)
4) fraction of expected gross profits consumed by expected transaction costs (as low as possible)
-----Original Message-----
From: Ross Bond [mailto:Ross.Bond@xxxxxxxxxx]
Sent: terça-feira, 20 de Janeiro de 2004 2:39
To: Omega List
Subject: What Constitutes Acceptable System Performance?
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
================================================================
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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