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What's your profit factor?
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| Under 1 |
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2 |
5.00% |
| 1-2 |
   |
16 |
40.00% |
| 2-3 |
   |
8 |
20.00% |
| 3-4 |
   |
7 |
17.50% |
| 4-5 |
   |
1 |
2.50% |
| 5-6 |
   |
1 |
2.50% |
| 6-7 |
|
0 |
0% |
| 7-8 |
|
0 |
0% |
| 8-9 |
|
2 |
5.00% |
| 9-10 |
|
0 |
0% |
| 10-14 |
|
1 |
2.50% |
| 15+ |
|
2 |
5.00% |
| Total: |
40 votes |
100% |
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bwolinsky
Registered: Jul 2008
Posts: 4555 |
02-11-12 08:22 PM
Quote from d08:
Calmar is calculated based on monthly returns and drawdowns, you can look at the values separately and get the same information. Calmar ratio says nothing about scalability. Win ratio is completely insignificant.
With stocks, scalability might be a question, but it isn't a problem for futures.
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d08
Registered: Aug 2008
Posts: 1369 |
02-11-12 08:28 PM
Quote from bwolinsky:
With stocks, scalability might be a question, but it isn't a problem for futures.
Do you think when you post? You specifically mentioned scalability in your previous post.
Try trading lumber, then tell me scalability isn't a question.
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bwolinsky
Registered: Jul 2008
Posts: 4555 |
02-11-12 08:35 PM
Quote from d08:
Do you think when you post? You specifically mentioned scalability in your previous post.
Try trading lumber, then tell me scalability isn't a question.
I usually model for 2 ticks of slippage, and the only market that value doesn't seem to work on is Silver, but, I admit, I haven't looked at a lumber dom, because I don't trade it, but probably have some theories that could be applied there.
If we all agreed on what instruments we were trading, futures or stocks, the question would be a bit less ambiguous, but even if you don't want to include stocks, there's certainly a litany of unscalable instruments that are predominantly a hedger's market. So whether we talk about those illiquid markets that most probably can't produce a profitable backtest, the notion that we assume we are trading in a liquid market should also be added to the question "what is your profit factor?".
I think if we add a value to liquidity, like, say, max 4 constant volume bars per day, we could get a more concise definition. Since most traders don't trade constant volume bars, there isn't as much litany as the trades we would do if we were a hedger, but not if we were predominantly classified as a "speculator." The difference might have something to do with whether we have a tradable quantitative system in that market or whether we are basing our decisions on "gut instinct." If you define the parameters under which we govern our trades related to our profit factor as being highly liquid or less liquid the response we gave to our strategy has more to do with the apr/dd factor than to our overall profit factor.
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d08
Registered: Aug 2008
Posts: 1369 |
02-11-12 09:21 PM
Quote from bwolinsky:
I usually model for 2 ticks of slippage, and the only market that value doesn't seem to work on is Silver, but, I admit, I haven't looked at a lumber dom, because I don't trade it, but probably have some theories that could be applied there.
If we all agreed on what instruments we were trading, futures or stocks, the question would be a bit less ambiguous, but even if you don't want to include stocks, there's certainly a litany of unscalable instruments that are predominantly a hedger's market. So whether we talk about those illiquid markets that most probably can't produce a profitable backtest, the notion that we assume we are trading in a liquid market should also be added to the question "what is your profit factor?".
I think if we add a value to liquidity, like, say, max 4 constant volume bars per day, we could get a more concise definition. Since most traders don't trade constant volume bars, there isn't as much litany as the trades we would do if we were a hedger, but not if we were predominantly classified as a "speculator." The difference might have something to do with whether we have a tradable quantitative system in that market or whether we are basing our decisions on "gut instinct." If you define the parameters under which we govern our trades related to our profit factor as being highly liquid or less liquid the response we gave to our strategy has more to do with the apr/dd factor than to our overall profit factor.
He specifically asked about live trading, not simulation.
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bwolinsky
Registered: Jul 2008
Posts: 4555 |
02-11-12 10:06 PM
Quote from d08:
He specifically asked about live trading, not simulation.
Whether it's live trading, or simulated trading, if you don't know what your results are likely to be then the less success you might have.
The question is more about "profit factor on what?" than it is about overall profit factor. Without the definition, there can be no definitive answer and I would rather optimize on hypotheticals than the careless "what if I had" model that you're suggesting.
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