Best Trading System Statistics

Discussion in 'Strategy Development' started by CPTrader, Aug 8, 2005.

  1. What are your favorite trading system statistics or the traidng system statistics you believe are most indicative of a system's potential to be profitable/succesful, win/loss, gross profit, etc?

    I have also heard of a trading statistics referred to as "edge" and "impact ratio". What are the mathematical defintions for these statistics?

    Thx
     
  2. I'm very happy if a system shows about 50% wins and a Win / Loss ratio of 1.6 or better in walk forward testing.

    DS
     
  3. kut2k2

    kut2k2

    Edge:

    (from backtesting your system)

    #trades - (#system parameters) >= 30;

    #wins*(avg win) - #losses*|avg loss| > Buy&Hold.
     
  4. I've also seen "edge" defined as (Avg Win/Avg Loss) * (%win/%Loss)

    Anyone familiar with this? Any more comments?
     
  5. I like to see (% of profitable months) > 70% and (% of profitable years) > 85%.

    I also like to run Monte Carlo Analysis to create 5,000 new equity curves by scrambling and resampling the daily returns of the backtested equity curve. Then I like to plot the cumulative probability distribution of the duration of longest drawdown (for each of the 5,000 new equity curves). I like to see (Probability of a drawdown longer than 9 months) < 50%.