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

Quote from swtrader:

what % of threads on ET are p*ssing matches leading nowhere?

I'll be that's a pretty high number
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It's approximately 100%. But ETers ought to try harder and give it a full 110%!
 
Quote from fletch2:

Agree. ET is 99.9% a waste of time. But maybe if people who go around slinging insults and calling people liars get called out from time to time, they'd behave better.

Fletch
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How about people claiming they have PhDs in math when they don't? Shouldn't they get called out?
 
You're pretty cynical, Trader666. Perhaps having been burned before has caused you to disbelieve every single thing anyone has to say when it might support an argument contrary to your beliefs.

I was about to post a mathematical proof on the subject of profit factors and position size, but you know what...

You're really not worth the time.

-Raystonn
 
Quote from Raystonn:

You're pretty cynical, Trader666. Perhaps having been burned before has caused you to disbelieve every single thing anyone has to say when it might support an argument contrary to your beliefs.

I was about to post a mathematical proof on the subject of profit factors and position size, but you know what...

You're really not worth the time.

-Raystonn
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Cynical? Do you really believe that Fletch has a PhD in math? LOL!!!!

The stats you posted on your system don't add up. That's a FACT. Anyone who understands system testing knows that. And I know all about the relationship between PF and positionsizing... I definitely don't need anything from the likes of you on that.
 
May I ask if this test results are generated from a portfolio or a single market?

It would be amazing to me if it is generated from a single market. With 4800 or even 8700 trades, that would mean 300 trades and 543 trades per year and such a fast system being profitable consistently over 16 years is very very impressive. And you only half-like it... man, I worship you like God...


Quote from horribilicus:

I agree with those who feel that Profit Factor is not always a perfect measurement of system goodness. Attached is the output of a 16 year system test with 4800 trades. The "Sled" system looks half-decent to me; you can dig through the output stats to find its Profit Factor.

The zipped archive contains a file in .mht format, which is a method of storing hierarchical HTML in a single file. See http://www.registeredworks.com/tutorials/mht.htm for more details on .mht files.
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I have one system that meets your criteria of PF>2 over 2000 trades. It trades the forex markets. It runs on Metatrader and currently I am walk forward testing using a demo account on 5 minute charts. The results shown below are not backtests but from the demo test that I am running. Unfortunately Metatrader does not display open trade drawdowns. So the drawdown number is misleading.

Gross Profit: 5 216.19 Gross Loss: 1 838.04 Total Net Profit: 3 378.15
Profit Factor: 2.84 Expected Payoff: 1.39
Absolute Drawdown: 65.88 Maximal Drawdown: 205.72 (1.61%) Relative Drawdown: 1.61% (205.72)

Total Trades: 2432 Short Positions (won %): 1251 (59.87%) Long Positions (won %): 1181 (64.78%)
Profit Trades (% of total): 1514 (62.25%) Loss trades (% of total): 918 (37.75%)
Largest profit trade: 542.76 loss trade: -65.20
Average profit trade: 3.45 loss trade: -2.00
Maximum consecutive wins ($): 22 (2.77) consecutive losses ($): 15 (-43.83)
Maximal consecutive profit (count): 613.37 (2) consecutive loss (count): -161.27 (9)
Average consecutive wins: 3 consecutive losses: 2
 
Quote from Trader666:

Here's what he wrote:That's not what he was doing in that post. While it's true that PF can be improved through position sizing, Raystonn's system is a lousy one to do it with because it trades too infrequently... and for that reason even if those numbers did add up, I wouldn't trade it. So in reality, Raystonn's definition of what makes a good system is more skewed than the OP's. FYI, TRULY experienced traders know that there are ways to improve PF (and Sharpe) above and beyond entries, exits and position sizing. And that those ways should be applied first, before position sizing.
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Trader666, it sounds like you have some good knowledge to share, too bad this thread has gone sophomoric. I'd love to hear how you'd go about improving pf and sharpe outside of entries, exits and sizing. What do you think of scaling?
 
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