Trading system results overview

Discussion in 'Strategy Building' started by AskQuestions, Aug 14, 2006.

  1. I would appreciate some remarks on the results of a trading system for YM i've been testing.
    The following results are for basically the same system based on some range breakouts. the first one is based on daily data and the second one is based on intraday day.
    especially i would like to discuss the difference in the "profit factor" and "payoff ratio" parameters in the different time frames - is it something you've seen in the past: how these ratios drop dramatically in intraday system as opposed to daily systems.
    Above all, do you think it's realistic (in terms of slippage and commissions), the daily system can be traded manually but the intraday must be automated naturally.

    Both systems were checked on a period of 20 months.

    1st System - Daily Signals
    netProfit: 1222 (in YM points)
    profitFactor: 1.7642
    payoffRatio: 1.3232
    numOfTrades: 42
    winPrecent: 57.1429
    avgTrade: 29.0952 (in YM points)
    avgWinner: 117.5417 (in YM points)
    avgLosser: -88.8333 (in YM points)
    avgHoldTime: 4.3844 (in days)
    avgHoldTimeWinner: 4.7672 (in days)
    avgHoldTimeLosser: 3.8739 (in days)
    max DD: 334 (in YM points)

    2nd system - intraday signals
    netProfit: 2913 (in YM points)
    profitFactor: 1.2929
    payoffRatio: 1.2649
    numOfTrades: 643
    winPrecent: 50.3888
    avgTrade: 4.5303 (in YM points)
    avgWinner: 39.6914 (in YM points)
    avgLosser: -31.3785 (in YM points)
    avgHoldTime: 196.8865 (in minutes)
    avgHoldTimeWinner: 213.0154 (in minutes)
    max DD: 702 (in YM points)
    avgHoldTimeLosser: 180.1230 (in minutes)

    do you think any other parameters should be checked?

    theoretical "Buy and Hold" for the period tested would have given 131 YM points.

    thank you all for your time
  2. man


    i would look at sharpe ratio or sortino ratio of daily returns expressed in percentage terms.

    profit factor in intraday day is a different story i would think. in general i find a flawed concept. should only be an addon to other figures, not of main interest IMO.
  3. thanks,

    what would you consider as a suitable sharpe / sortino values for daily/intraday system?
  4. man


    sharpe 2.0+, the more plus the better. but you must take into consideration as well that stock systems might suffer from different biases, like survivorship- or indexmembership-bias. fees and slippage are important as well. what kind of stocks? what liquidity and so forth.

    i am currently not trading singlestocks on intraday basis, but will hopefully have something started by the end of the year. will stick to top fifty liquid names, maybe making the net position completely market neutral by use of futures. not sure as of now. my minimum sharpe will be 2.0 based on fees of 1 cent per share and 1.5% spread for shorting. something like that. it is conservative, but not too far of i would say. and i will test on five minute data, assuming i get the close of the next bar after my signal bar. that should do fine in terms of slippage.
  5. man


    additional: your time period is too short. two years is nothing for a daily system. it is even too short for intraday. i would at least do analysis on five to six years. preferably longer to cover for some pre-bear market behaviour as well.
  6. man


    sorry. i do not where i had my head. you are trading YM not single stocks, forget my comment. with futures i am pleased with sharpes of 1.5+ ... on intraday basis.

    i would get some sp future data and test on real long term as well.
  7. System 1 is based on 42 trades, this is way too short.
    You need atleast 10 times that for testing, if not more.

    System 2 is atleast tested over 600+ trades, however
    the win loss ratio of 39 : 31, is too small, you need atleast
    46:31 (ie 1.5:1) when you have a 50% win system.

    With such a small ratio: slippage and commissions and the odd mistake wont leave you with much left over.

    My primary system has an average win:loss ratio of 1.75:1 and a win rate of 45%.
  8. appreciate your post,
    quick question for you about the number of trades.
    i understand what your saying about the low number of trades, although i've seen people stating that 30 trades are starting to be statistically sufficient, but how do you take into consideration the number of trades in relation to the time period?
    the systems were tested on the same time period: the 1st produced 42 trades and the 2nd 643. shouldn't there be some way to factor this?
  9. actually this is quite interesting, and i have another question for you businessman (and everybody else)
    according to what you said about he 1.5:1 ratio, if you had the choice, what would you prefer:

    system A:
    winner 50%
    and ratio of 1.25 avg win to avg loser

    system B:
    winner 35%
    and ratio of 2 avg win to avg loser

    #10     Aug 14, 2006