I agree with those who feel that Profit Factor is not always a perfect measurement of system goodness. Attached is the output of a 16 year system test with 4800 trades. The "Sled" system looks half-decent to me; you can dig through the output stats to find its Profit Factor. The zipped archive contains a file in .mht format, which is a method of storing hierarchical HTML in a single file. See http://www.registeredworks.com/tutorials/mht.htm for more details on .mht files.
it's relatively easy to add mm and position sizing to ts and other platforms. not sure what the trade off is.
I can achieve a PF of 2.0+ on discretionary trading, but with Trade Station or other automatic systems I have yet to see it. I'm not concerned about the PF as a measure. It sits fine with me. I guess anyone with an automated system that has a PF of 2.0+ and a sharpe of 1.6 just ain't going to put any time into ET. I've learned anyone with a PF above 3.0 achieved on 1000 trades has trading wisdom. below 1.5 are just all noise.
A Gineas - Both in maths and trading! And the figures were produced already based on someone's automated system ...
Honestly, one of my better systems (3.80 profit factor, 75.61% of trades profitable, 0.86 Avg Win:Avg Loss ratio, about 26 round trip trades per year, about $570 profit per trade per contract) would need to be traded for 76 years before it hit approximately 2000 trades. Your definition of what makes a good system is a bit skewed. Thank you for the offer, but I already have software and other tools that accomplish what your software does. Just out of curiosity, does your software use Monte Carlo simulation to obtain the equity and drawndown percentiles, or something else? -Raystonn
Nice try. I like people trying to help themselves. Tough thing is there is cheap software that already does what you suggest. Meanwhile a system like I have took years to create.
lol ur offering a position sizing software for a whole integrated mechanical trading system? Good luck, may i also suggest u go politely ask Victor Neiderhoffer for his trading system in return for your position sizing software? In regards to trading systems, i have a system with a profit factor of 4, 90% of trades profitable and approximately $4000 per contract unfortunately its lucky if it generates 1 signal a yr. i think itll take u approximately the next 2.5 millenia to finish 2000 trades for it.