System Performance Statistics & Evaluation

Discussion in 'Strategy Building' started by CPTrader, Sep 10, 2007.

  1. Exactly. One of my systems has 4 losers/1 winner but is extremely profitable as the winners are, on average, 11 times larger than the losers. That's on full auto. If I deploy it using discretionary measure it's 2/1.
     
    #21     Sep 11, 2007
  2. I have attached the most accessible pdf covering
    these formulas.

    I have no idea what the ET limit on pdf attachments is,
    so PM me if you want more papers on the subject.

    FWIW, I don't think any single ratio can fully characterize
    risk vs. reward for a given model/system or trader.
     
    #22     Sep 11, 2007
  3. Here is an interesting paper on the subject.

    Found on the World Beta blog.
     
    #23     Sep 11, 2007