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I have been testing a stock position trading system and have gotten so
involved that I need a little help seeing the results properly. My goal is
to develop a trend following system that gives me a reasonable return
within a reasonable amount of time.
Data is listed below but not the entry or exit criteria. The first row of
data is the simple entry system and then I add different exits and stops to
see how they effect the system.
First row is simple entry with an exit in X days.
Second row is simple entry with an exit in X days figuring in
commission/slippage
Third, fourth and fifth rows are different exit strategies
Six, seven rows are are initial stop loss levels and the original exit in X
days.
The remaining rows are hybids of exit and stop loss levels.
I need some perspective on weather these methods are going to be a useful
system.
Example row 8: If I take the Risk per trade of say $750 and calculate the
expectancy I should expect to gain (on average) $337 per trade. But if the
winning trades take on average 139 days then I'm not going to get rich at
$2.40 per day. Original Account is $50,000.
Comments and/or perspective would be appreciated.
Stop Relia. Expec avg w/L total prof ROR day w day l $/day
None 0.582
None 0.559 1.32 $37,920 4.5% 28.89 28.88
None 0.5 1.88 $51,163 1.0% 98 40
None 0.433 1.99 $25,287 5.0% 54 20
None 0.525 2.19 $91,942 1.0% 163 54
10% 0.480 0.125 1.33 $16,858 25.0% 29 19 3.21
6.50% 0.410 1.81 $18,039 15.0% 28.9 12.63
10% 0.449 0.450 2.43 $66,654 1.5% 139 32.27 2.408
none 0.491 0.341 2.15 $68,097 10.0% 139 45.5 1.82
none 0.438 0.272 2.15 $43,376 5.0% 82 25.8 2.47
columns are: Stop Loss Point;Reliability;Expectancy;avgwin/avgloss;total
profit;Risk of Ruin; Days avg win; days avg loss; Dollars per day
Reliability is simply the win %
Expectancy is the amount gained per dollar risked
Avg win/ avg loss is self explainatory as is total profit
Risk of Ruin is the percent probability that my capital will drop to half
its original value
Days avg win and days avg loss are self explainatory
Dollars per day is the average wins per day (1/days avg win) times
expectancy times $ risked
Thanks
Greg
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