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Also a *very* important fact to consider is from how many historical
trades this statistics is derived? If it's 20, then don't bother
trading, if it's 300 then it's better. However, obviously you will
need to be prepared for 2x worse drawdowns, at least when you take
into account your obviously long-term trades while they are still
*open*.
Ivo Karindi
RB> Would anyone care to share their views on what constitutes
RB> acceptable system performance: what baseline values they consider
RB> would make a system a candidate to move from testing into real
RB> trading?
RB> (If there is interest in this thread we may need to break it into
RB> Position trading and Day trading.)
RB> I offer the following for consideration.
RB> Performance Statistics for Position trading:
RB> Statistic Value Description of Stat
RB> ================================================================
RB> Mathematical Expectancy > 0.6 $ return for $ risked
RB> Opportunity * Expectancy > 2.0 Opportunity = Trades per Year
RB> Win/Loss Ratio > 2.0 [ AvgWin / AvgLoss ]
RB> Profit Factor > 3.0
RB> Annual Return on Account > 50% account = [(Margin*4)+(MDD*2)]
RB> Net Profit to MDD Ratio > 3.0
RB> Percentage DrawDown < 30%
RB> Average Trade $$ > $500
RB> I understand that there are many performance statistics that can be
RB> generated.
RB> What I am trying to determine is:
RB> * what statistics are truly useful; and
RB> * what base values are considered acceptable.
--
Best regards,
Ivo mailto:contact@xxxxxxxxxxx
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