Risk Analysis - Critique

[rvince99]

The only metric that matters it's how well you are satisfying your criteria, what you are seeking to accomplish here. Other than that it's just alphabet soup, an absent really knowing what you're doing here doesn't mean anything, it's just masturbation. (And please don't just say my Criterion is to make money or to get a better return than I can someplace else, that's just too amateur).
People are a lot better off than analyzing these numbers to sit back and think exactly what they're looking to accomplish here and what they're looking to suffer to do it and how they're going to accomplish that within those constraints and within what time frame.

And with that thought in mind, I find the single most important number of any of them is the percent of profitable trades or percent of profitable periods, as that gives me an idea of the shape of Leverage space then I'm working in, and it is exactly that shape that surface and how I move about it that allows me to try to satisfy what my criteria is.

 

[BrooksRimes]

The equity curve looks good. How many trades was this? (it may have been stated and I missed it). The past 12 months have been largely a bull market, have you done backtesting to know what the results would be during a bear market?

 

[Palindrome]

Rvince99,
Thanks for the feedback, I appreciate it very much. My system is a long/short futures system. Just simply placing directional bets on 11 different underlying commodities (metals, energy, equities, Fixed Income, and Currencies.)

And with that thought in mind, I find the single most important number of any of them is the percent of profitable trades or percent of profitable periods, as that gives me an idea of the shape of Leverage space then I'm working in, and it is exactly that shape that surface and how I move about it that allows me to try to satisfy what my criteria is.

My losing periods consisted of 1 down month for this system -1.69%... 11 months were positive.

I placed 293 Trades in the past 12 months, avg 24 trades per month. Tough to say average hold period, roughly 6 hours per position...on average.

Here is the breakdown of trades from the past 12 months (flat is Breakeven, exit with $0 loss or $0 win):

That answers a question, thanks for helping me answer it. My criterion, my goal is to have an ultra smooth equity curve, which provides positive feedback to my performance and keeps me placing trades and adding to my confidence and mental capital.

I would add, everyone told me it was impossible, it's fun proving them wrong.

People are a lot better off than analyzing these numbers to sit back and think exactly what they're looking to accomplish here and what they're looking to suffer to do it and how they're going to accomplish that within those constraints and within what time frame.

I might print that out and put it next to my monitor for a couple weeks.

How many trades was this? (it may have been stated and I missed it). The past 12 months have been largely a bull market, have you done backtesting to know what the results would be during a bear market?

Thanks Brooks. Total trades, 293. I've back tested 7 years, that's all the data I have. My backtests outperform my current results by a fair amount (about double), because It's difficult to trade perfectly as my system is sometimes difficult to execute, but I'm getting better at execution.

I would point out, when volatility picks up, I make more money. It's not because I'm selling options, I'm strictly taking directional bets with front month futures contracts. The moves in higher vol, simply have more magnitude, and therefore more $$$$. Sometimes I need to adjust my size though. Being that I am long/short, I believe it does not matter what kind of market.

I would also add, in my opinion the higher the volatility the easier the trade...markets appear to trade much more technically in high vol markets than low vol... In my opinion.

 

[BrooksRimes]

293 is a goodly number of trades, plenty from which to draw conclusions. 7 years is a pretty good sampling period too, but it would be better if was possible to include 2008 & 2009.

I have a somewhat similar system trading option credit spreads. I spend most of my energy looking at the large losers and drawdowns and trying to see if there are ways to reduce their length and depth without impacting the winners and overall profits too much.