Need performance opinion

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

  1. hmap1

    hmap1

    Well, that's a fair assessment. My motto is usually "cut in half and cut in half again". We'll see. It only trades once a day and if that. I was worried about not factoring in correct slippage and commissions and did not cut those corners. If I can break even or make just a little, I will consider myself lucky. My game has been see-ball-hit -ball arbitrage for years now and this is just a different direction. -m
     
    #21     Mar 17, 2003
  2. acrary

    acrary

    I found 4 things that gave me pause.

    1). Only two years of backtesting. I'd like to see it tested back to 1996 using SP data.

    2). Adjusted Total Net Profit was negative. I've developed profitable systems. None of them showed losses when this stress test is applied.

    3). Average time between peaks is 134 days. With so many trades, this number should be below 20 days. Something is going on to skew so many unprofitable periods with a PF above 2.

    4). Average trade is only about $50. My own experience with market orders is that I lose 1/2 pt on each side in the ES market.
    (usually the 5 sec. processing moves my market order into another bid/ask queue and of course I'm buying the offer and selling at the bid). The system seems too dependent on excellent executions.

    Here's a system that didn't satisfy my requirements. Try it out and see how it compares to your system using 30 min. bars.

    condition1 = adx(14) < 25;
    if rsi(close,59) <= 54 and rsi(close,59)[1] > 54 then exitlong at market;
    if rsi(close,59) >= 50.5 and rsi(close,59)[1] < 50.5 and condition1 then buy next bar on open;
    if rsi(close,59) <= 49.5 and rsi(close,59)[1] > 49.5 and condition1 then sell next bar on open;
    if rsi(close,59) >= 46 and rsi(close,59)[1] < 46 then exitshort at market;

    And here's the performance report for the past two years 1/1/2001 - 2/28//2003 using ES data, the $25 slippage per-R/T and $5.00 R/T commission are included. I tested it on ES data back to 98 with no losing years. Unfortunately, it has no edge so it went to my discard pile.

    Good luck with you're trading.
     
    #22     Mar 17, 2003
  3. That's a good point if you use market orders for your system. I use stop orders and the slippage is much smaller, usually does not exceed 1 tick for ES.
     
    #23     Mar 17, 2003
  4. hmap1

    hmap1

    Agreed. I was staying away from MKT orders but kept the option open. Does TS use last price when calculating your fill? So do you all think this system is probably worthless in the real world?
     
    #24     Mar 17, 2003
  5. Use stops in the emini. Any system using market orders can be converted to stops.
     
    #25     Mar 18, 2003
  6. This is a very good system. If you add 14-3 Stochastics divergence as a filter together with lower time frame, it might be excellent ES system.
    You should publish your discard pile , I bet it would be an interesting reading for a people interested in system trading or developing.
    Walter
     
    #26     Mar 18, 2003
  7. hmap1

    hmap1

    Yes, I agree on the stops.
     
    #27     Mar 18, 2003
  8. "2). Adjusted Total Net Profit was negative. I've developed profitable systems. None of them showed losses when this stress test is applied."

    This is an important point and should not be ignored.

    Your winners aren't big enough compared to your losers. You need a few big winners occasionally for your system to be robust in all market conditions. It sounds like you are "overfitting" to the data set you have. Loosen things up a little and consider using trailing stops to exit.
     
    #28     Mar 18, 2003
  9. hmap1

    hmap1

    Yes, I agree. I hold nothing overnight in this system and trade it for only a couple hours a day.
     
    #29     Mar 18, 2003
  10. 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 professionals opinions on it. Thanks to anyone and everyone:



    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
     
    #30     Mar 31, 2003