Advice Welcome, Why Does This Happen?

[secxces]

Hi All,

Have a quick question for some of the more experienced. Im getting ready to launch a new system on the SP500. Attached is a picture of my actuall system backtest in tradestation.

The text below shows the previous system I was using. Now, As you can see, I have labled "modfied" and "orginal". I see which one is more profitable, thats common sense, however, with higher "% Profitable" trades, in my orginal, has always made me think, higher profit. Based upon the info provided, can anyone explain, from maybe past experience, how such a huge difference can occur in "net proft", while a large chunk of "% Profitbale" can disappear?

______________Modified_______Original_______Difference

Net Profit ________$202,235_____$86,395______134.08%
% Profitable______68.18%_______73.68%______(7.46%)
Win/Loss Ratio____.80__________.45__________77.78%
Profit Factor ______1.72 ________1.25_________37.60%
Adj. Profit Factor___1.37_________.96__________42.71%
Sharpe Ratio______.27__________(.26) ________203.84%
Total Trades______176__________133_________32.33%
Avg. Trade _______$1,149_______$649________77.04%
Avg. Run-up ______$4,420_______$4,805_______(8.01%)
Max. Run-up______$205,105_____$160,820_____27.54%
Avg. Drawdown___$4,567________$5,809______(21.38%)
Max. Drawdown___$65,040_______$84,606_____(23.13%)

I have studied the way it trades aswell as the equity curve, and I just cant get my head around it.

Thanks All,

- secXces

 

[slapshot]

Quote from secxces:

Hi All,

Have a quick question for some of the more experienced. Im getting ready to launch a new system on the SP500. Attached is a picture of my actually system backtest in tradestation.

The text below shows the previous system I was using. Now, As you can see, I have labled "modified" and "original". I see which one is more profitable, thats common sense, however, with higher "% Profitable" trades, in my original, has always made me think, higher profit. Based upon the info provided, can anyone explain, from maybe past experience, how such a huge difference can occur in "net profit", while a large chunk of "% profitable" can disappear?

______________Modified_______Original_______Difference

Net Profit ________$202,235_____$86,395______134.08%
% Profitable______68.18%_______73.68%______(7.46%)
Win/Loss Ratio____.80__________.45__________77.78%
Profit Factor ______1.72 ________1.25_________37.60%
Adj. Profit Factor___1.37_________.96__________42.71%
Sharpe Ratio______.27__________(.26) ________203.84%
Total Trades______176__________133_________32.33%
Avg. Trade _______$1,149_______$649________77.04%
Avg. Run-up ______$4,420_______$4,805_______(8.01%)
Max. Run-up______$205,105_____$160,820_____27.54%
Avg. Drawdown___$4,567________$5,809______(21.38%)
Max. Drawdown___$65,040_______$84,606_____(23.13%)

I have studied the way it trades aswell as the equity curve, and I just cant get my head around it.

Thanks All,

- secXces

The answer is in the line "Average Trade" - your profit per trade is almost double - this greatly exceeds the small reduction in winning trades.

Somehow, your modified system is losing a few ticks less per trade on average when stopped out as well as winning a few more ticks per trade on average when exiting with profit. This can make all the difference.

If you actually made substantial risk/reward changes, they were well done.

If all you did was ask Tradestation to "optimize" then you are in for disappointment in real trading.

Also, make sure you are accounting for commish and slippage in both scenarios. Did you factor those into your modified scenario?

Regards,

Paul

 

[secxces]

Quote from slapshot:

The answer is in the line "Average Trade" - your profit per trade is almost double - this greatly exceeds the small reduction in winning trades.

Somehow, your modified system is losing a few ticks less per trade on average when stopped out as well as winning a few more ticks per trade on average when exiting with profit. This can make all the difference.

If you actually made substantial risk/reward changes, they were well done.

If all you did was ask Tradestation to "optimize" then you are in for disappointment in real trading.

Also, make sure you are accounting for commish and slippage in both scenarios. Did you factor those into your modified scenario?

Regards,

Paul

I was figuring that, I just cant figure out how the simple changes made such a big difference. But I guess thats in the system, not in whats posted above. As for the commision, and slippage, they were factored in. And no, I didnt use the optimize. Thank You Slapshot for your words.

Also, Thank You Mahras for your Instant Messaging Input.




Out of Curiosity, How often has this occured with others? I mean, not optimization the values of a system, or changing or adding indicators to a system, I mean by simply using the same exact setup just in a different manner?

- secXces