|
PureBytes Links
Trading Reference Links
|
Profit factor doesn't matter if the maximum drawdown is greater than your
account size! I look at two things first. 1) What is the maximum drawdown
and 2) how many trades. If there aren't at least 30 trades, I really
can't be confident in ther performance. I'd really like to see at least
30 winning trades and 30 losing trades so I could have some confidence in
the maximum drawdown.
After that, I look at profit.
When it comes to statistics, size matters.
Larry Lewis
-----Original Message-----
From: Peter Ryan (reply to: pryan@xxxxxxxxxxxxxx)
[SMTP:pryan@xxxxxxxxxxxxxx (MIME) (actually from:
owner-realtraders@xxxxxxxxxxxxxx)]
Sent: Friday, August 21, 1998 10:35 PM
To: realtraders
Subject: is profit factor the best measure
Is profit factor (gross profit / gross loss) the best measure to compare
systems ?
I have tested several systems and often the number of trades differs
dramatically with different parameter sets.
This can have a huge affect of the net profit of different combinations,
and seems to make straight profit meaningless as a comparison measure.
I notice that some journals do not even list profit factor as part of
their
results.
Is this something wrong with profit factor ?
All comments appreciated.
(I use tradestation)
Thanks
Peter
|