Best Trading System Statistics

C

CPTrader

What are your favorite trading system statistics or the traidng system statistics you believe are most indicative of a system's potential to be profitable/succesful, win/loss, gross profit, etc?

I have also heard of a trading statistics referred to as "edge" and "impact ratio". What are the mathematical defintions for these statistics?

Thx
 
I'm very happy if a system shows about 50% wins and a Win / Loss ratio of 1.6 or better in walk forward testing.

DS
 
Quote from CPTrader:

I have also heard of a trading statistics referred to as "edge" and "impact ratio". What are the mathematical defintions for these statistics?

Thx
More...
Edge:

(from backtesting your system)

#trades - (#system parameters) >= 30;

#wins*(avg win) - #losses*|avg loss| > Buy&Hold.
 
Quote from kut2k2:

Edge:

(from backtesting your system)

#trades - (#system parameters) >= 30;

#wins*(avg win) - #losses*|avg loss| > Buy&Hold.
More...

I've also seen "edge" defined as (Avg Win/Avg Loss) * (%win/%Loss)

Anyone familiar with this? Any more comments?
 
I like to see (% of profitable months) > 70% and (% of profitable years) > 85%.

I also like to run Monte Carlo Analysis to create 5,000 new equity curves by scrambling and resampling the daily returns of the backtested equity curve. Then I like to plot the cumulative probability distribution of the duration of longest drawdown (for each of the 5,000 new equity curves). I like to see (Probability of a drawdown longer than 9 months) < 50%.
 
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