Need performance opinion

Discussion in 'Trading' started by hmap1, Mar 17, 2003.

  1. hmap1

    hmap1

    What do you think of these results? This is a two year performance analysis trading ES. These numbers are after full slippage of 12.50 per side and commissions round-turn. Thanks for any input ahead of time.


    All Trades

    Total Net Profit $18,170.00 Profit Factor 0.58
    Gross Profit $49,500.00 Gross Loss ($20,950.00)

    Open Position Profit/Loss $0.00

    Select Total Net Profit $12,445.00 Select Profit Factor 0.33
    Select Gross Profit $38,227.50 Select Gross Loss ($25,782.50)

    Adjusted Total Net Profit ($7,528.34) Adjusted Profit Factor (0.16)
    Adjusted Gross Profit $45,779.35 Adjusted Gross Loss ($53,307.69)

    Total Number of Trades 346 Percent Profitable 51.16%
    Winning Trades 177 Losing Trades 169
    Even Trades 0

    Avg. Trade Profit/Loss $52.51 Ratio Avg. Win/Avg. Loss 1.62
    Avg. Winning Trade $249.66 Avg. Losing Trade ($153.96)
    Largest Winning Trade $1,345.00 Largest Losing Trade ($330.00)
    Largest Winner as % of Gross Profit 2.72% Largest Loser as % of Gross Loss 1.58%

    Max. Consecutive Winning Trades 6 Max. Consecutive Losing Trades 10
    Avg. Number of Bars in Winners 29 Avg. Number of Bars in Losers 17

    Max. Contracts Held 1
    Total Slippage $8,442.40 Total Commission $1,937.60

    Max. Trade Drawdown $2,290.00 Return on Max. Drawdown 793.45%

    Annual Rate of Return 8.02% Return on Initial Capital 18.17%
    Buy and Hold Return (38.80%)

    % of Time in the Market 1.41%

    RINA Index (994.32)
    Net Profit / Largest Loss (55.06) Net Profit / Max. Drawdown 7.93
    Select Net Profit / Largest Loss (37.71) Select Net Profit / Max. Drawdown 5.43
    Adjusted Net Profit / Largest Loss 22.81 Adjusted Net Profit / Max. Drawdown (3.29)

    Max. Equity Run-up $19,245.00 Max. Equity Drawdown $2,290.00
    Date of Max. Equity Drawdown 3/13/2003 Date of Max. Equity Run-up 4/24/2001
    Max. Equity Run-up / Initial Capital 16.29% Max. Equity Drawdown / Initial Capital 1.94%

    Avg. Monthly Return $698.85 Std. Deviation of Monthly Return $1,045.59

    Long Trades

    Total Net Profit $7,725.00 Profit Factor 0.53
    Gross Profit $24,025.00 Gross Loss ($11,350.00)

    Open Position Profit/Loss $0.00

    Select Total Net Profit $4,252.50 Select Profit Factor 0.24
    Select Gross Profit $18,000.00 Select Gross Loss ($13,747.50)

    Adjusted Total Net Profit ($5,290.20) Adjusted Profit Factor (0.25)
    Adjusted Gross Profit $21,387.91 Adjusted Gross Loss ($26,678.12)

    Total Number of Trades 165 Percent Profitable 50.30%
    Winning Trades 83 Losing Trades 82
    Even Trades 0

    Avg. Trade Profit/Loss $46.82 Ratio Avg. Win/Avg. Loss 1.54
    Avg. Winning Trade $259.46 Avg. Losing Trade ($168.41)
    Largest Winning Trade $1,345.00 Largest Losing Trade ($330.00)
    Largest Winner as % of Gross Profit 5.60% Largest Loser as % of Gross Loss 2.91%

    Max. Consecutive Winning Trades 9 Max. Consecutive Losing Trades 8
    Avg. Number of Bars in Winners 30 Avg. Number of Bars in Losers 16

    Max. Contracts Held 1
    Total Slippage $4,026.00 Total Commission $924.00

    Max. Trade Drawdown $0.00 Return on Max. Drawdown n/a

    Net Profit / Largest Loss (23.41) Net Profit / Max. Drawdown n/a
    Select Net Profit / Largest Loss (12.89) Select Net Profit / Max. Drawdown n/a
    Adjusted Net Profit / Largest Loss 16.03 Adjusted Net Profit / Max. Drawdown n/a

    Short Trades

    Total Net Profit $10,445.00 Profit Factor 0.62
    Gross Profit $25,475.00 Gross Loss ($9,600.00)

    Open Position Profit/Loss $0.00

    Select Total Net Profit $8,192.50 Select Profit Factor 0.41
    Select Gross Profit $20,227.50 Select Gross Loss ($12,035.00)

    Adjusted Total Net Profit ($5,358.75) Adjusted Profit Factor (0.23)
    Adjusted Gross Profit $22,847.45 Adjusted Gross Loss ($28,206.21)

    Total Number of Trades 181 Percent Profitable 51.93%
    Winning Trades 94 Losing Trades 87
    Even Trades 0

    Avg. Trade Profit/Loss $57.71 Ratio Avg. Win/Avg. Loss 1.72
    Avg. Winning Trade $241.01 Avg. Losing Trade ($140.34)
    Largest Winning Trade $1,182.50 Largest Losing Trade ($330.00)
    Largest Winner as % of Gross Profit 4.64% Largest Loser as % of Gross Loss 2.91%

    Max. Consecutive Winning Trades 7 Max. Consecutive Losing Trades 6
    Avg. Number of Bars in Winners 28 Avg. Number of Bars in Losers 17

    Max. Contracts Held 1
    Total Slippage $4,416.40 Total Commission $1,013.60

    Max. Trade Drawdown $2,320.00 Return on Max. Drawdown 450.22%

    Net Profit / Largest Loss (31.65) Net Profit / Max. Drawdown 4.50
    Select Net Profit / Largest Loss (24.83) Select Net Profit / Max. Drawdown 3.53
    Adjusted Net Profit / Largest Loss 16.24 Adjusted Net Profit / Max. Drawdown (2.31)
     
  2. Commission & slippage costs (10k) too high in relation to Net Profit (18k). You must improve Avg trade profit/loss.

    The positive thing is small worst drawdown (2,3k) in relation to Net Profit.
    Nice profit factor 2.58 (0.58 is a mistake, i guess)

    You can improve annual rate of return by starting with smaller account, like $18k per one ES contract.
     
  3. hmap1

    hmap1

    Thanks! The profit factor is messed up on the analysis and I do understand about commissions and slippage though it is 10k for 2 years total. I also assumed market orders on the in and out, hence the 12.5 slippage on the in and out. My guess is that my slippage "may" be improved seeing how Tradestation uses last price (I think) when stamping your trade historically. The equity curve for this is pretty smooth and consistent. I guess I am just interested in actually trading this system soon and I wanted other opinions as to if I am foolish to do so, just in case I was missing something. I do believe there is room for improvement, but I wanted to at least start out on the right foot. Thanks again.
     
  4. Of course real slippage costs will be known only in real trading. But I strongly suggest you to improve avg trade profit. It is always a good idea to double realistic slippage costs and see then how system works. Your system with 2x slippage will have no profit.

    Another thing I suggest is to add a second system into your trading strategy. Additional system should have low correlation with your 1st system's equity curve, and similar Net Profit.

    The more non-correlated or low-correlated, profitable systems you'll use, the better.
     
  5. hmap1

    hmap1

    Hmm...doubling commissions only takes away about 1-5k in profit. Its the slippage on the in and out that was over 8k. This is all good to start with and I really appreciate the input. Thanks again. Now the hard part is to increase average profit.
     
  6. You're right... to double slippage, not commission costs. Mistake :)
    Do you have
    RINA Portfolio Evaluator
    software? It can help you in developing good "portfolio of systems".
     
  7. hmap1

    hmap1

    You are correct about the profit factor. It is 2.65, not .65. Even with double slippage it would make $ but that would average about 5k a year per contract. I'm getting there. Anything else I should examine? Thanks for all of the input.
     
  8. Looks pretty good. What is the average between peaks and outlier info?
     
  9. hmap1

    hmap1

    Thanks in advance!:

    Exposure
    Interval 2 min
    Start Date/Time 2/12/2001 12:05:00 AM
    End Date/Time 3/17/2003 2:17:00 PM
    Trading Period 2 Years, 30 Days, 3 hours, 24 minutes
    Time in the Market 10 Days, 17 hours, 24 minutes
    Percent in the Market 1.41%
    Longest Flat Period 18 Days, 23 hours, 56 minutes

    Time/Trade Averages All Trades
    Winners
    Losers

    Avg. Time in Trades 44 minutes 55 minutes 33 minutes
    Avg. Time Between Trades 2 Days, 4 hours, 4 minutes 4 Days, 5 hours, 20 minutes 4 Days, 11 hours, 57 minutes
    Avg. Number of Bars in Trades 46 29 18
    Avg. Time Between Profit Peaks 134 Days, 18 hours


    and:

    Total Number of Trades 345 177 168
    Avg. Trade Profit/Loss $52.55 $248.99 ($154.41)
    1 Std. Deviation of Avg. Trade $273.29 $240.16 $101.07
    Avg. Trade + 1 Std. Deviation $325.84 $489.15 ($53.34)
    Avg. Trade - 1 Std. Deviation ($220.73) $8.83 ($255.48)
    Coefficient of Variation 520.03% 96.45% 65.46%

    Outliers Total Positive Negative
    Number of Outliers 5 5 0
    Outlier Profit/Loss $5,722.00 $5,722.00 $0.00





    Run-Up/Drawdown Run-Up

    Drawdown
    Maximum Value $1,400.00 ($300.00)
    Maximum Value Date 7/24/2002 2/23/2001
    Avg. Value $268.37 ($116.01)
    1 Std. Deviation $243.00 $84.31
    Avg. + 1 Std. Deviation $511.37 ($31.70)
    Avg. - 1 Std. Deviation $25.37 ($200.33)
    Coefficient of Variation 90.55% 72.67%


    Efficiency Analysis Total
    Entry
    Exit

    Avg. Efficiency 7.96% 62.32% 45.64%
    1 Std. Deviation 55.17% 28.68% 34.09%
    Avg. + 1 Std. Deviation 63.12% 91.00% 79.73%
    Avg. - 1 Std. Deviation (47.21%) 33.64% 11.55%
    Coefficient of Variation 693.46% 46.02% 74.70%

    TradeStation Trade Series Analysis
    Winners Losers
    Largest Profit/Loss $1,344.40 ($330.60)
    Largest Profit/Loss as % of Gross 2.72% 1.59%
    Largest Consec. Profit/Loss $2,413.80 ($1,868.50)
    Largest Consec. Profit/Loss as % of Gross 4.88% 8.98%



    Consecutive Winners

    Number of Series

    Avg. Gain per Series

    Avg. Loss Next Trade


    1 34 $243.66 ($166.63)
    2 24 $282.16 ($144.19)
    3 15 $249.12 ($165.60)
    4 7 $205.56 ($128.81)
    5 2 $139.40 ($211.85)
    6 2 $303.78 ($143.10)
    Consecutive Losers

    Number of Series

    Avg. Loss per Series

    Avg. Gain Next Trade


    1 42 ($155.90) $227.73
    2 26 ($150.31) $261.23
    3 5 ($120.60) $164.40
    4 4 ($207.16) $372.53
    5 4 ($133.10) $128.78
    6 1 ($109.77) $19.40
    7 1 ($146.67) $394.40
    10 1 ($186.85) $281.90



    Any input would be greatly appreciated. I am trying to make this better. Thanks.
     
  10. Seriously there is one outstanding item you need to deal with.

    I think it will change your performance more than any other beginner item.


    Learn to do wash trades when you get in and it isn't following your intentions. so incrdible to see that you didn't do a wash trade.
     
    #10     Mar 17, 2003