I agree with ya. There's plenty of PF 1.5+ models (that are static) performing for 20+ years... Actually, it's not so hard to make... few ways: Static Approach: Take a PF 2.0 model (developed using 1 year data). Isolate the condition in which the models perform well under (Bull/Bear... strong/weak volume... VIX > xxx... etc. etc.). You'll have months/years it won't trade but it's easily achievable. Dynamic Approach: Walk-Forward a model every x-period a PF 2.0 model( developed using 1 year). If you have a high "base model", after a little performance drop... it's quite easy. Would I trade it... depends... My point is, if you're testing models for the sake of "testing" (unlike "trading"), there's plenty of ways to manipulate a statistical figure.
even some people who have done buy and hold for long periods of time in the stock market have exceeded this. If they bought at the right times to avoid the drawdowns of the depression or such, they could have made one trade lasting decades, and the natural 7% whatever rise of the stock market has you over 20+ years and 1.5 PF. That also goes for some commodoties like gold or oil or others. If you bought on "dips" or were not hit by a crash, you have way outperformed this. Yes some people were washed out, but this post was claiming it was impossible, even when it obviously quite possible
he wasn't talking about buy and hold, he was talking about data samples of 5k trades or more. your example isn't comparable. anyway, i disagree with him as well. he's more than likely looking at a single product strategy based on his 20 year input. there are strategies employable on multiple products that can hit that turnover in a single day. a lot more becomes possible in that world as scalability becomes moot, or rather, for the independent trader and even small fund, the ceiling is quite high. the only thing i'd concede is persistence (how long the model lasts)... however, if i can get a 1 year lifecycle out of any model that can turnover 5k trades a day, i'm more than happy.
Interesting example but you can't calculate Kelly values from PF in this way. It's easier to see why on your PF 1.1 system. PF is gross profit/gross loss which means that a system with a PF of 1.1 where you risk one to make one, has 11/21 ~ 52.4% winning trades and 10/21 ~ 47.6% losing trades. 52.4/47.6 ~ 1.1, which gives a Kelly value of .048. What you did implies 55% wins with equal wins and losses which is a PF of 55/45 ~ 1.22 which does have a Kelly value of .1.
You are absolutely correct, I used PF incorrectly. I think my point about win % still stands as an important element, at least to me. What I wanted to convey is that I prefer a system with a higher win % than a higher edge % if the Kelly computation results in a larger gain based on optimal % that can be risked. Joe.
I was commenting based on OP. did not see 5K trade comment: --- what does a Profit Factor of 1.075 for a system tell us? --- Can one calculate from that number the annual result of a trading account? --- How important is PF ? --- What is/are the most important of such numbers for a system?
no, you weren't, or i wouldn't have quoted you. you quoted and replied to crash disputing his claim, gann replied to you confirming that dispute, then you replied to gann reiterating your point with the buy-and-hold analogy. i mean, come on, it's just one page back??? but, i don't think i'm going to argue with someone who signed up the same month i did, but has 4k more posts. so, sure, you were talking to the OP. i have to get better at following the flow of conversation and intuiting comment focus. my bad.
Quote from propseeker: you quoted and replied to crash disputing his claim, gann replied to you confirming that dispute, then you replied to gann reiterating your point with the buy-and-hold analogy. You need to get the shrink to put you back on Xanax. This is as far from a normal post as any on ET. What kind of stalker sits around analyzing and posting transcripts of thread conversations, especially when they were no part of the immediate discussion? First, you were not the person being talked to. Second, you are abnormal. but, i don't think i'm going to argue with someone who signed up the same month i did, but has 4k more posts. In the future, we will all try to submit our posts to you, the "he-said, she said" monitor. No wonder you have so few posts. You spend all your time dong system traces through the threads of others, worrying about post counts, and when others started on ET. You must be a load of fun at your weekly group psychotherapy sessions. i have to get better at following the flow of conversation and intuiting comment focus. my bad. Seriously, you need help. Cyberstalkers like you appear to be need to fulfill their fantasies in some other way. You are creepy. Definitely one of those who needs help, and needs to go on ignore (now, done). Don't let the door hit your butt on the way out.