Looking for another performance opinion

Discussion in 'Strategy Development' started by hmap1, Apr 1, 2003.

  1. hmap1

    hmap1

    Hey everyone, thank you for the comments on the results of my last system. I learned quite a bit. This other system has produced different results and I am curious as to peoples opinions on it. All of the different feedback really helped me out and I prefer to getpeople opinions(good and bad) before I just jump in and go. Thanks to anyone and everyone who contributes. This isn't the best system out there, but is it worth trading in your opinion. The following is 2 year emini S & P results. I wish TS backtested further than 2 years with the Emini S&P:



    All Trades
    Long Trades
    Short Trades

    Total Net Profit $21,905.50 $2,808.10 $19,097.40
    Gross Profit $61,312.50 $22,600.00 $38,712.50
    Gross Loss ($32,675.00) ($16,762.50) ($15,912.50)
    Profit Factor 1.88 1.35 2.43

    Open Position P/L $0.00 $0.00 $0.00

    Select Total Net Profit $21,905.50 $2,808.10 $19,097.40
    Select Gross Profit $58,359.80 $21,448.40 $36,911.40
    Select Gross Loss ($36,454.30) ($18,640.30) ($17,814.00)
    Select Profit Factor 1.60 1.15 2.07

    Adjusted Total Net Profit ($11,811.58) ($6,614.00) ($9,974.87)
    Adjusted Gross Profit $54,920.23 $18,833.33 $33,539.32
    Adjusted Gross Loss ($66,731.81) ($25,447.33) ($43,514.19)
    Adjusted Profit Factor 0.82 0.74 0.77

    Total Number of Trades 220 99 121
    Percent Profitable 41.82% 36.36% 46.28%
    Winning Trades 92 36 56
    Losing Trades 128 63 65
    Even Trades 0 0 0

    Avg. Trade Profit/Loss $99.57 $28.36 $157.83
    Avg. Winning Trade $635.84 $597.18 $660.69
    Avg. Losing Trade ($285.87) ($296.67) ($275.41)
    Ratio Avg. Win/Avg. Loss 2.22 2.01 2.40
    Largest Winning Trade $1,931.90 $1,706.90 $1,931.90
    Largest Losing Trade ($568.10) ($568.10) ($543.10)
    Largest Winner as % of Gross Profit 3.15% 7.55% 4.99%
    Largest Loser as % of Gross Loss 1.74% 3.39% 3.41%

    Max. Consecutive Winning Trades 4 5 6
    Max. Consecutive Losing Trades 6 6 6
    Avg. Bars in Winning Trades 20 20 21
    Avg. Bars in Losing Trades 8 8 8


    Max. Shares/Contracts Held 1 1 1
    Total Slippage $5,500.00 $2,475.00 $3,025.00
    Total Commission $1,232.00 $554.40 $677.60

    Max. Trade Drawdown ($537.50) ($537.50) ($512.50)
    Max. Equity Drawdown ($3,118.50) ($3,768.50) ($2,789.20)

    Annual Rate of Return 10.77%
    Return on Initial Capital 21.91%
    Buy & Hold Return (33.16%)
    Return on Max. Equity Drawdown 702.44%
    Avg. Monthly Return $952.41
    Std. Deviation of Monthly Return $1,530.92

    Percent of Time in the Market 35.61%

    RINA Index 308.70
    Net Profit / Largest Loss 38.56
    Net Profit / Max. Equity Drawdown 7.02
    Select Net Profit / Largest Loss 38.56
    Select Net Profit / Max. Equity Drawdown 7.02
    Adjusted Net Profit / Largest Loss (20.79)
    Adjusted Net Profit / Max. Equity Drawdown (3.79)

    Amount
    Date
    % of Init. Capital

    Max. Equity Run-up $24,843.40 3/31/2003 20.38%
    Max. Equity Drawdown ($3,118.50) 8/22/2002 2.56%



    All Trades

    Total Net Profit $21,905.50 Profit Factor 1.88
    Gross Profit $61,312.50 Gross Loss ($32,675.00)

    Open Position Profit/Loss $0.00

    Select Total Net Profit $21,905.50 Select Profit Factor 1.60
    Select Gross Profit $58,359.80 Select Gross Loss ($36,454.30)

    Adjusted Total Net Profit ($11,811.58) Adjusted Profit Factor 0.82
    Adjusted Gross Profit $54,920.23 Adjusted Gross Loss ($66,731.81)

    Total Number of Trades 220 Percent Profitable 41.82%
    Winning Trades 92 Losing Trades 128
    Even Trades 0

    Avg. Trade Profit/Loss $99.57 Ratio Avg. Win/Avg. Loss 2.22
    Avg. Winning Trade $635.84 Avg. Losing Trade ($285.87)
    Largest Winning Trade $1,931.90 Largest Losing Trade ($568.10)
    Largest Winner as % of Gross Profit 3.15% Largest Loser as % of Gross Loss 1.74%

    Max. Consecutive Winning Trades 4 Max. Consecutive Losing Trades 6
    Avg. Number of Bars in Winners 20 Avg. Number of Bars in Losers 8

    Max. Shares/Contracts Held 1
    Total Slippage $5,500.00 Total Commission $1,232.00

    Max. Trade Drawdown ($537.50) Max. Equity Drawdown ($3,118.50)

    Annual Rate of Return 10.77% Return on Initial Capital 21.91%
    Buy and Hold Return (33.16%) Return on Max. Equity Drawdown 702.44%
    Avg. Monthly Return $952.41 Std. Deviation of Monthly Return $1,530.92

    % of Time in the Market 35.61%

    RINA Index 308.70
    Net Profit / Largest Loss 38.56 Net Profit / Max. Equity Drawdown 7.02
    Select Net Profit / Largest Loss 38.56 Select Net Profit / Max. Equity Drawdown 7.02
    Adjusted Net Profit / Largest Loss (20.79) Adjusted Net Profit / Max. Equity Drawdown (3.79)

    Max. Equity Run-up $24,843.40 Max. Equity Drawdown ($3,118.50)
    Date of Max. Equity Drawdown 3/31/2003 Date of Max. Equity Run-up 8/22/2002
    Max. Equity Run-up / Initial Capital 20.38% Max. Equity Drawdown / Initial Capital 2.56%

    Long Trades

    Total Net Profit $2,808.10 Profit Factor 1.35
    Gross Profit $22,600.00 Gross Loss ($16,762.50)

    Open Position Profit/Loss $0.00

    Select Total Net Profit $2,808.10 Select Profit Factor 1.15
    Select Gross Profit $21,448.40 Select Gross Loss ($18,640.30)

    Adjusted Total Net Profit ($6,614.00) Adjusted Profit Factor 0.74
    Adjusted Gross Profit $18,833.33 Adjusted Gross Loss ($25,447.33)

    Total Number of Trades 99 Percent Profitable 36.36%
    Winning Trades 36 Losing Trades 63
    Even Trades 0

    Avg. Trade Profit/Loss $28.36 Ratio Avg. Win/Avg. Loss 2.01
    Avg. Winning Trade $597.18 Avg. Losing Trade ($296.67)
    Largest Winning Trade $1,706.90 Largest Losing Trade ($568.10)
    Largest Winner as % of Gross Profit 7.55% Largest Loser as % of Gross Loss 3.39%

    Max. Consecutive Winning Trades 5 Max. Consecutive Losing Trades 6
    Avg. Number of Bars in Winners 20 Avg. Number of Bars in Losers 8

    Max. Shares/Contracts Held 1
    Total Slippage $2,475.00 Total Commission $554.40

    Max. Trade Drawdown ($537.50) Max. Equity Drawdown ($3,768.50)

    Net Profit / Largest Loss 4.94 Net Profit / Max. Equity Drawdown 0.75
    Select Net Profit / Largest Loss 4.94 Select Net Profit / Max. Equity Drawdown 0.75
    Adjusted Net Profit / Largest Loss (11.64) Adjusted Net Profit / Max. Equity Drawdown (1.76)

    Short Trades

    Total Net Profit $19,097.40 Profit Factor 2.43
    Gross Profit $38,712.50 Gross Loss ($15,912.50)

    Open Position Profit/Loss $0.00

    Select Total Net Profit $19,097.40 Select Profit Factor 2.07
    Select Gross Profit $36,911.40 Select Gross Loss ($17,814.00)

    Adjusted Total Net Profit ($9,974.87) Adjusted Profit Factor 0.77
    Adjusted Gross Profit $33,539.32 Adjusted Gross Loss ($43,514.19)

    Total Number of Trades 121 Percent Profitable 46.28%
    Winning Trades 56 Losing Trades 65
    Even Trades 0

    Avg. Trade Profit/Loss $157.83 Ratio Avg. Win/Avg. Loss 2.40
    Avg. Winning Trade $660.69 Avg. Losing Trade ($275.41)
    Largest Winning Trade $1,931.90 Largest Losing Trade ($543.10)
    Largest Winner as % of Gross Profit 4.99% Largest Loser as % of Gross Loss 3.39%

    Max. Consecutive Winning Trades 6 Max. Consecutive Losing Trades 6
    Avg. Number of Bars in Winners 21 Avg. Number of Bars in Losers 8

    Max. Shares/Contracts Held 1
    Total Slippage $3,025.00 Total Commission $677.60

    Max. Trade Drawdown ($512.50) Max. Equity Drawdown ($2,789.20)

    Net Profit / Largest Loss 35.16 Net Profit / Max. Equity Drawdown 6.85
    Select Net Profit / Largest Loss 35.16 Select Net Profit / Max. Equity Drawdown 6.85
    Adjusted Net Profit / Largest Loss (18.37) Adjusted Net Profit / Max. Equity Drawdown (3.58)

    ------------------------------------------------------------------------------------
    Total Number of Trades 220 92 128
    Avg. Trade Profit/Loss $99.57 $635.84 ($285.87)
    1 Std. Deviation of Avg. Trade $555.98 $455.47 $168.27
    Avg. Trade + 1 Std. Deviation $655.55 $1,091.31 ($117.60)
    Avg. Trade - 1 Std. Deviation ($456.41) $180.37 ($454.14)
    Coefficient of Variation 558.38% 71.63% 58.86%

    Outliers Total Positive Negative
    Number of Outliers 0 0 0
    Outlier Profit/Loss $0.00 $0.00 $0.00





    Run-Up/Drawdown Run-Up

    Drawdown
    Maximum Value $2,487.50 ($537.50)
    Maximum Value Date 7/8/2001 12/2/2001
    Avg. Value $620.00 ($230.68)
    1 Std. Deviation $569.73 $147.12
    Avg. + 1 Std. Deviation $1,189.73 ($83.56)
    Avg. - 1 Std. Deviation $50.27 ($377.81)
    Coefficient of Variation 91.89% 63.78%


    Efficiency Analysis Total
    Entry
    Exit

    Avg. Efficiency (10.16%) 61.08% 28.77%
    1 Std. Deviation 55.66% 32.20% 29.01%
    Avg. + 1 Std. Deviation 45.50% 93.27% 57.77%
    Avg. - 1 Std. Deviation (65.81%) 28.88% (0.24%)
    Coefficient of Variation 547.90% 52.72% 100.84%

    TradeStation Trade Series Analysis
    Winners Losers
    Largest Profit/Loss $1,931.90 ($568.10)
    Largest Profit/Loss as % of Gross 3.15% 1.74%
    Largest Consec. Profit/Loss $3,690.10 ($2,208.60)
    Largest Consec. Profit/Loss as % of Gross 6.02% 6.76%



    Consecutive Winners

    Number of Series

    Avg. Gain per Series

    Avg. Loss Next Trade


    1 34 $613.89 ($278.33)
    2 13 $560.27 ($196.95)
    3 8 $712.11 ($322.79)
    4 2 $728.78 ($186.85)
    Consecutive Losers

    Number of Series

    Avg. Loss per Series

    Avg. Gain Next Trade


    1 21 ($322.86) $553.92
    2 16 ($283.33) $722.53
    3 11 ($255.60) $658.04
    4 5 ($279.97) $619.40
    5 2 ($260.60) $250.65
    6 2 ($330.60) $863.15
     
  2. um, i hate to be this way, but you know that you can save the TS performance report and just upload as an .xls file to the ET forums. might make it easier to tell what this is really doing. also be helpful if can see a simple description of what the system is looking for? time frame? bar length?

    thanks

    Pete
     
  3. hmap1

    hmap1

    Okay, let me see what I can do.
     
  4. hmap1

    hmap1

    Okay, I cut and pasted it into Excel. I'm sure there is a better way to do it, but this should work. Basically its a moving average system on a 90 minute timeframe with different parameters and indicators.
     
  5. hmap1

    hmap1

    The one thing that I did do this time is set aside a couple months of data and optimize my system on an entirely different set of data, and then use those paramerters on the separate set-aside dataset. The goal is to see any differences in performance. So far they perform the same, so that is a good sign I think.