You're pretty cynical, Trader666. Perhaps having been burned before has caused you to disbelieve every single thing anyone has to say when it might support an argument contrary to your beliefs. I was about to post a mathematical proof on the subject of profit factors and position size, but you know what... You're really not worth the time. -Raystonn
Cynical? Do you really believe that Fletch has a PhD in math? LOL!!!! The stats you posted on your system don't add up. That's a FACT. Anyone who understands system testing knows that. And I know all about the relationship between PF and positionsizing... I definitely don't need anything from the likes of you on that.
May I ask if this test results are generated from a portfolio or a single market? It would be amazing to me if it is generated from a single market. With 4800 or even 8700 trades, that would mean 300 trades and 543 trades per year and such a fast system being profitable consistently over 16 years is very very impressive. And you only half-like it... man, I worship you like God...
I have one system that meets your criteria of PF>2 over 2000 trades. It trades the forex markets. It runs on Metatrader and currently I am walk forward testing using a demo account on 5 minute charts. The results shown below are not backtests but from the demo test that I am running. Unfortunately Metatrader does not display open trade drawdowns. So the drawdown number is misleading. Gross Profit: 5 216.19 Gross Loss: 1 838.04 Total Net Profit: 3 378.15 Profit Factor: 2.84 Expected Payoff: 1.39 Absolute Drawdown: 65.88 Maximal Drawdown: 205.72 (1.61%) Relative Drawdown: 1.61% (205.72) Total Trades: 2432 Short Positions (won %): 1251 (59.87%) Long Positions (won %): 1181 (64.78%) Profit Trades (% of total): 1514 (62.25%) Loss trades (% of total): 918 (37.75%) Largest profit trade: 542.76 loss trade: -65.20 Average profit trade: 3.45 loss trade: -2.00 Maximum consecutive wins ($): 22 (2.77) consecutive losses ($): 15 (-43.83) Maximal consecutive profit (count): 613.37 (2) consecutive loss (count): -161.27 (9) Average consecutive wins: 3 consecutive losses: 2
Trader666, it sounds like you have some good knowledge to share, too bad this thread has gone sophomoric. I'd love to hear how you'd go about improving pf and sharpe outside of entries, exits and sizing. What do you think of scaling?