System Metrics Evaluation

M

Maverick1

Hi All,

What would an impressive but yet realistic trading system have in terms of Win Rate, Profit Factor, Trade Frequency, Distribution of Wins/Losses?

It seems like reliable systems with Profit Factors greater than 2, a fairly even trade distribution (unlike TF systems where bulk of profits may come from a handful of trades) that also trade regularly (especially daily systems)are very hard to come by?
 
Maverick1 said:
What would an impressive but yet realistic trading system have in terms of Win Rate, Profit Factor, Trade Frequency, Distribution of Wins/Losses?
More...

This should be an interesting topic -- I must imagine the responses vary greatly; o_O:)
I'm part of the Pro-Discretionary trading crowd.
 
It goes without saying, someone that has that sort of system won't share the trades without receiving some sort of compensation. The next question would be how much would you be willing to pay for a system with desirable and realistic metrics that you seek?
 
Hi CP,

Yeah it's not so much about sharing trades, but rather whether ET members have seen trading systems with a profit factor over 2 over a large trade sample ( 300+ to thousands), in addition to the other metrics being desirable as well, such a good distribution of wins, win rate, sharpe etc.
 
Sergio77 said:
If you do many trials and tests you will possibly find a system with PF > 2 that is random. The question is not the metric value but how you test it for randomness. Some good reads:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253
http://www.priceactionlab.com/Blog/2012/06/fooled-by-randomness-through-selection-bias/
More...

Hi Sergio,

Agreed. I should add that my question would assume that the purported trading system would have avoided the naive pitfall of optimization, i.e., would be based on robust parameters which are all chosen for good reason and not because they are the result of an optimization.

So, have you seen a system like that which sports a high win rate, PF higher than 2, good sharpe etc?
 
A system that i`ve seen(performance over 12 years).A few metrcis:

1.Winning months - 70%

2.Max DD - 17%

3.Sharpe - 1.9

4.Correlation vs S&P 500 - -0.11

Goes for $20K per month or 20/2 in fees.
 
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