Anybody got a system with Profit Factor 2.0+ over 2000 trades?

Quote from Raystonn:

Honestly, one of my better systems (3.80 profit factor, 75.61% of trades profitable, 0.86 Avg Win:Avg Loss ratio, about 26 round trip trades per year, about $570 profit per trade per contract)

Just out of curiosity, does your software use Monte Carlo simulation to obtain the equity and drawndown percentiles, or something else?

-Raystonn
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Thank you for your figures. That is a good system for you. Nice work.

The software is built using a collection of what I consider the best ideas but basically works with the drawdown and is simple to use. After putting hundreds of system results through it I have learned what makes for a great system. Few have one that is consistent over hundreds of trades. This thread confirms that.
 
Quote from KRSNA:

After putting hundreds of system results through it I have learned what makes for a great system. Few have one that is consistent over hundreds of trades. This thread confirms that.
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Attached are the perf stats of a system called WinkB. It has 8700 trades and a Profit Factor of 2.13. But honestly, I prefer the other, previously attached system ("Sled") quite a lot more, even with its lower Profit Factor.

Again the file is of type .mht which is MIME encoded HTML. It opens in your web browser (MS Internet Explorer, Firefox, Opera, etc.)
 

Attachments

Quote from horribilicus:

Attached are the perf stats of a system called WinkB. It has 8700 trades and a Profit Factor of 2.13. But honestly, I prefer the other, previously attached system ("Sled") quite a lot more, even with its lower Profit Factor.

Again the file is of type .mht which is MIME encoded HTML. It opens in your web browser (MS Internet Explorer, Firefox, Opera, etc.)
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best output analysis i've seen on the board.
 
Quote from horribilicus:

Attached are the perf stats of a system called WinkB. It has 8700 trades and a Profit Factor of 2.13. But honestly, I prefer the other, previously attached system ("Sled") quite a lot more, even with its lower Profit Factor.

Again the file is of type .mht which is MIME encoded HTML. It opens in your web browser (MS Internet Explorer, Firefox, Opera, etc.)
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Thank you very much for posting those results. It is finally nice to see some real numbers.
 
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Number of Trades 2,171

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Profit Factor 2.38


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Sharpe Ratio 5.46

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Not my best system, but one that happened to have 2000 trades showing.

Sorry, got my own sizing thing going on.
:cool:
 
may i ask what market you are operating on and what trading frequency you are referring too?

best figures on ET i heard of (and this is not your best system ... :)).
 
A trader who has been able to develop a good trading system should be smart enough to develop a proper money management system him/herself. A simple process is to just conduct monte carlo runs and take the 95th drawdown level and create your money management from there. If you want you can handle a greater drawdown level then increase sizing if not then decrease sizing.

There is plenty of literature present here on ET as well as in various website to do this with relative ease.
 
So can this apply to trading? Are systems just ideas?

"These are all the 'rules' I am aware of. The biggest error most folk make when going into business for themselves is to believe single-mindedly in their 'idea'. Ideas are literally ten-a-penny. Execution is the real key and to achieve it requires talent. But Not Necessarily Your Own Talent . I have employed hundreds and hundreds of people more talented than I am in my business career. If you can persuade the talent to work for you, you are virtually home and dry - as long as you give such individuals their head (delegate!) their due (pay them and praise them!) and refrain from interfering too much (the hardest thing of all!) Making money is a knack, not rocket science. The three key qualities required are desire, stamina and perseverance."

Felix Dennis - started with nothing and built $500 million. Now plants trees and writes poetry.
 
"... Execution is the real key and to achieve it requires talent. ..."

i do not buy that argument for the first 50 million under management.
 
Quote from Wayne Gibbous:

Number of Trades 2,171
Profit Factor 2.38
Sharpe Ratio 5.46

Not my best system, but one that happened to have 2000 trades showing.
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So what does your best look like?

What other measurements besides PF , number of trades and sharpe have you found are really useful and build confidence in the system?
 
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