your sysytem win/loss ?

Discussion in 'Strategy Development' started by macgibby, Oct 16, 2005.

  1. macgibby

    macgibby

    What is the win/loss ratio of the system that you guys trading?

    I'm trying different things and usually get 40% win/loss with 3:1 profit factor. I was wondering how many trade 60%+ win/loss or higher profit factor.
     
  2. mahras2

    mahras2

    On average the win loss is 60-65%. Winners and losers are around equal in size (winners a little higher).
     
  3. are these systems intraday or end of day?

    What about drawdowns?

    How many consecutive losers does the system have in a backtest?

    What is the size of the win / loss? 3:1? 5:1?

    Without any information, win /loss doesnt tell you the extent to which the system will be profitable
     
  4. macgibby

    macgibby

    I just asked a general question to get an idea if anybody trading systems with high win/loss ratio. Don't want to complicate things in this post...
     
  5. 64.29% profitable
    Profit factor 7.7089
    W/L 4.3105$
    W/L 4.0543%
    Modified Sharpe Ratio 0.6942
    Avg DD 3.16%
    Worst DD 8.21%
    Max consecutive wins 8
    Max consecutive losses 3

    Actual results from the last 126 trades in my Eod system.
     
  6. Walter, very good results, how many trades do you make in a year?
     
  7. mahras2

    mahras2

    are these systems intraday or end of day?

    Intraday trading model.

    What about drawdowns?

    Depends on size I am pulling. At my current size the max drawdown should be around 20-25% with probable swings of 10-15%. Yes I am highly leveraged but this is on my personal problem and I can stomach that.

    How many consecutive losers does the system have in a backtest?

    6 stop outs on 6 different pairs.

    What is the size of the win / loss? 3:1? 5:1?

    Varies from 1:1 to 2:1
     
  8. About 65 trades/year.

    I'm quite happy with this system. It pays for my damn fool daytrading.
     
  9. one of my systems, intraday, forward testing

    74% win
    W/L inching towards 2:1
    Max wins 18
    Max losses 4
    Sharpe horrible

    struggling with stop placement, avg win close but not greater than avg loss, also hold time still too long

    pareto rule can work here: 80% of profits from 20% of trades, concentrate on those 20% winners (increase size)