Largest losing trade is bigger than the largest winning trade. This suggests that the strategy does not use any pre-determined stops. There is a small possibility of getting wiped out by a 6-sigma event.
Please evaluate this strategy
- Thread starter m4a1
- Start date
The thing that jumps out at me is the lack of stability in the annual results for single contract. With the % profitable swinging between 32 and 60% I don't know how you could have much confidence in trading this in the future. Also, check the 2002 results closely to find out why the PF dropped so badly. If it's happened before ...you'll see it again. I like the fact the number of trades is pretty stable. You might want to try adjusting your trades for current market volatility. It's much easier to diagnose problems that way.
Here's my annual volatility adjusted summary for my main strategy over the same time period. I'm making my dreams come true with it. Notice how stable the % win and pf are from year to year.
Here's my annual volatility adjusted summary for my main strategy over the same time period. I'm making my dreams come true with it. Notice how stable the % win and pf are from year to year.
Thanks for stopping by. You were one of the ones I was hoping would stop by here.
Yes, I have noticed the stability issue. I didn't like the 32% profitable YTD number. However, I also said to myself that if I only look at the full year numbers, the profitability is between 40-60%. This may be unstable too, but at least it's not unstable in a "bad" way if you understand what I mean. I would like my win rate to be stable at around 50%. 40% is fine, and probably the lowest I would like it to go. If it's 60% then why complain? Am I looking at this the right way? I don't want to lie to myself and see something that's not there.
You also said
"You might want to try adjusting your trades for current market volatility. It's much easier to diagnose problems that way."
Can you elaborate on what you mean? Do you mean position sizing? Or some kind of volatility based stops?
Lastly, omg your results are amazing. You have so many trades per year, yet your PF doesn't drop.
Yes, I have noticed the stability issue. I didn't like the 32% profitable YTD number. However, I also said to myself that if I only look at the full year numbers, the profitability is between 40-60%. This may be unstable too, but at least it's not unstable in a "bad" way if you understand what I mean. I would like my win rate to be stable at around 50%. 40% is fine, and probably the lowest I would like it to go. If it's 60% then why complain? Am I looking at this the right way? I don't want to lie to myself and see something that's not there.
You also said
"You might want to try adjusting your trades for current market volatility. It's much easier to diagnose problems that way."
Can you elaborate on what you mean? Do you mean position sizing? Or some kind of volatility based stops?
Lastly, omg your results are amazing. You have so many trades per year, yet your PF doesn't drop.
No, I neeeded a particular level of income when I started. I adjusted my trade size based on where I was in the equity curve. That's why it's so stable.
The annual % doesn't mean anything. That's just what's set in TS for testing. I've been doing research on systems that I hope to use in 2008. The default equity on my system was set to 1 mill.
So far with this strategy I'm up 67% on a base of 325k this year.
Do you think it's still too unstable? Criticize as much as you like.
For 2002, I went back and looked at what happened. I can't seem to pinpoint any specific reasons other than 2002 was a bear market and this is a long only strategy.
The largest losing trade did happen in 2002. I checked the news to see what happened and it seems the market just freaked out that day for no specific reason.
The longest losing streak did not happen in 2002.
For 2002, I went back and looked at what happened. I can't seem to pinpoint any specific reasons other than 2002 was a bear market and this is a long only strategy.
The largest losing trade did happen in 2002. I checked the news to see what happened and it seems the market just freaked out that day for no specific reason.
The longest losing streak did not happen in 2002.