Effeciency of an Auto Strategy
- Thread starter AnonymousTrader
- Start date
dude, hit ratio is only one ingredient...
what else is in the burger? does it even have any beef?
85% w/l with maybe 0.2% gain over average 5 day holding period is nothing special. that's like a sad ass burger i wouldn't even give to a homeless dog.
but 85% w/l with 7% gain over average 1.5 day holding period with high frequency trading - now that's sizzling. triple sized bacon cheese whopper with all the flavor and juice. along with greasy onion rings and salty fries that are crunchy.
what else is in the burger? does it even have any beef?
85% w/l with maybe 0.2% gain over average 5 day holding period is nothing special. that's like a sad ass burger i wouldn't even give to a homeless dog.
but 85% w/l with 7% gain over average 1.5 day holding period with high frequency trading - now that's sizzling. triple sized bacon cheese whopper with all the flavor and juice. along with greasy onion rings and salty fries that are crunchy.
which market? uhm... something that has amnesia. something that's happy one day and unstable the next. something that can't seem to ever make up its mind on what it wants to do. something that's always sensitive to every little remark. essentailly, something that acts like a girl. there are a few out there. how often does the thing act? as often as pms. hourly used for signals... daily used as confirmation. before the syndrome breaks out, you'll get hints on when it's coming because she has a pattern of odd behavior. women are much harder to predict.
Is the Profit Factor a good measure for systems??? Why???
My logic doesn't find it as significant as others have mentioned in this thread...
My logic doesn't find it as significant as others have mentioned in this thread...
trade frequency is important as well, DT-waw mentioned it.
I track profit factor in my context (high frequency trading) because it gives a comprehensive view of the efficiency and smoothness of systems.
if you have 5 trades with a profit factor of 3, it is meaningless. Number of trades is of course important to get statistical significance.
profit factor will give you an idea of the slope of your equity curve. the higher the number, the smoother the curve as well. which can be confirmed with max and average drawdowns.
I won't trade anything below PF=2, and I try to have PF higher than that of course.
I track profit factor in my context (high frequency trading) because it gives a comprehensive view of the efficiency and smoothness of systems.
if you have 5 trades with a profit factor of 3, it is meaningless. Number of trades is of course important to get statistical significance.
profit factor will give you an idea of the slope of your equity curve. the higher the number, the smoother the curve as well. which can be confirmed with max and average drawdowns.
I won't trade anything below PF=2, and I try to have PF higher than that of course.
AnonymousTrader,
85% mean average win rate.
When a programmer or mathematician adds the words "mean average" in front of win rate...does this make the calculation different from just "win rate"
Sorry to be so stupid....just tell me to go buy a book, or if you would be kind enough to explain to me what "Mean Average" might mean? and if its different?
Michael B.
85% mean average win rate.
When a programmer or mathematician adds the words "mean average" in front of win rate...does this make the calculation different from just "win rate"
Sorry to be so stupid....just tell me to go buy a book, or if you would be kind enough to explain to me what "Mean Average" might mean? and if its different?
Michael B.