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)
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)
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
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.