A good trading system

Quote from ronblack:

Bad 0 to 1 (negative profitability)
decent 1 to 1.5 (if realized in bear market. Not if prices trend)
good 1.5 to 2 (if realized in bear or volatile market. Not if prices trend)
very good 2 to 5 (in any market)
exceptional +5

For most people, if the wins are 2x the losses that's a very good performance.


Ron
More...

Thanks,

What's the mathematical correlation between Sharpe ratio and PF ?
 
Sharpe Ratio has nothing to do with Profit Factor. SR is based on the volatility.

SR = Return / Volatility

It sounds like you mean - "how do I determine the robustness of a trading system"

Trend Follower David Druz has written articles on such a topic in Stocks and Commodities magazine.

The short answer is that the more volatile a system is, the more robust it is. That was their conclusion. I have issues with it, but it seems to have worked out for them.
 
Quote from psytrade:

Sharpe Ratio has nothing to do with Profit Factor. SR is based on the volatility.

SR = Return / Volatility

It sounds like you mean - "how do I determine the robustness of a trading system"

Trend Follower David Druz has written articles on such a topic in Stocks and Commodities magazine.

The short answer is that the more volatile a system is, the more robust it is. That was their conclusion. I have issues with it, but it seems to have worked out for them.
More...


I would think that the higher PF the higher the SR..
 
I wonder what the relationship between a system with high SRs to those with Low SRs in terms of their likelihood of blowing up. It seems that all the big money that disappeared in the trading world was from high SR blow ups. - LTCM for one
 
IMO a good trading system is one in which you can close + or flat every day/week and + every month. If you are able to consistently pay yourself you are beating the odds and 90% of all other traders out there.
 
You must log in or register to reply here.
Back
Top