Trading system results overview

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

  1. jstox

    jstox

    Hmmm .... good question. Amibroker is awesome. It does everything I need plus a helluva lot more than I'll ever use. With the interface built-in for the IB datafeed, my monthly total operational cost for trading is $0.

    Do I recommend? Can't really say. This is very powerful and flexible software. The learning curve can be steep and a few people have given up.

    In my case, the invested effort was worth it.

    --jstox
     
    #31     Aug 15, 2006
  2. GS19

    GS19

    I agree with jstox, I have used Amibroker for four years and its better than anything else that I tried. Its a snap to write up a trading idea and test it out. Works great for autotrading at IB. And the price is low plus free data from IB.
     
    #32     Aug 15, 2006
  3. thanks,
    how about historical database (especially intraday futures), i understand you need to provide it yourself, right?
     
    #33     Aug 15, 2006
  4. man

    man


    i second every comma of that post. perfect. pro thinking.
     
    #34     Aug 15, 2006
  5. man

    man


    sorry mister for giving out "incorrect info", but profit factor in my humble opinion is flawed since it does not at all take smoothness of the equity curve into account. not at all. and this flaw becomes more apparent the more often you trade.

    a system that makes two trades every day. one looses 1%, one makes 1.1%. that results in a profit factor of 1.1 with a hit ratio of 50% and a payoff ratio of 1.1; no big figures for 28% annualised return with no down day. sharpe ratio would be infinite since there is literally no vola in a system that makes 10 basispoints each and every day.

    high sharpe and sortino figures rarely tell a wrong story if the number of trades is sufficient, let's say above 200. sharpes above 2.0 rarely show a strange equity curve.

    profit factor is for single traders. sharpe is for funds and i dare to say multisystem pros. but again, that is just my humble opinion.
     
    #35     Aug 15, 2006
  6. man

    man


    do not forget to annualise both the return and the standard deviation. (you annualise them in different ways, if you are not aware of that.)

    my threshold for intraday systems is a mod Sharpe of 1.5 for a single market. 2.0 for a portfolio of the same system on several markets.

    nevertheless sometimes a system with a sharpe of 1.0 might be so uncorrelated or even negatively correlated to the rest that it boosts portfolios sharpe more than another system with a higher sharpe. note that additional sharpe becomes more and more challenging the higher the level already is. to move from 1.0 to 2.0 is way easier than from 2.0 to 3.0 or even from 2.0 to 4.0, which would be the actual equivalent percentage wise.
     
    #36     Aug 15, 2006
  7. thanks
     
    #37     Aug 15, 2006
  8. I do that often.

    My summary results are loaded into a spreadsheet where I sort by total profit, %win, average profit per trade, max DD, etc,.

    I find the "juicy" area of the parameter sets. Then I reference those equity curves. I often do the reverse though, and start by eyeballing the EQ charts.

    I have a tool that allows me to flip through EQ charts in a web browser super fast, so I can spot the really good looking ones. Next to each EQ chart, is the set of params that created it so I can cross reference.


     
    #38     Aug 15, 2006
  9. I only tade NAZ/NYSE stocks. currently.


    Can you post an EQ chart that has TIME has the X axis? So we can see the frequency of the trades day by day?

    The problem with this type of EQ chart is, that all those trades could have occured in a single month out of a 5 year time period.


     
    #39     Aug 15, 2006
  10. Sorry mister man but profit factor doesn't try to quantify the smoothness of an equity curve. It simply measures how many dollars/euros/whatever a system has made for each one lost. And it does that just fine. So how is it flawed if it doesn't do something it wasn't designed for? That's like saying a car is flawed because it can't fly. LOL!! P.S. Sharpe and Sortino, on the other hand, are flawed because they don't always perform as intended. Just google around and you'll find plenty of papers on it.
     
    #40     Aug 15, 2006