Trading system results overview

[jstox]

Quote from AskQuestions:
jstox,
do you recommend Amibroker as a backtesting platform?
pros/cons?
much appreciated,

Hmmm .... good question. Amibroker is awesome. It does everything I need plus a helluva lot more than I'll ever use. With the interface built-in for the IB datafeed, my monthly total operational cost for trading is $0.

Do I recommend? Can't really say. This is very powerful and flexible software. The learning curve can be steep and a few people have given up.

In my case, the invested effort was worth it.

--jstox

 

[GS19]

I agree with jstox, I have used Amibroker for four years and its better than anything else that I tried. Its a snap to write up a trading idea and test it out. Works great for autotrading at IB. And the price is low plus free data from IB.

 

[AskQuestions]

Quote from GS19:

I agree with jstox, I have used Amibroker for four years and its better than anything else that I tried. Its a snap to write up a trading idea and test it out. Works great for autotrading at IB. And the price is low plus free data from IB.

thanks,
how about historical database (especially intraday futures), i understand you need to provide it yourself, right?

 

[man]

Quote from fickletrader:

I look at how each system contributes to the modified sharpe of a basket of systems. If it improves the overall modified sharpe of the basket, then it is probably good to trade if the other metrics aren't bad because it makes a positive contribution towards a smoother equity curve. Each system shouldn't necessarily control an equal portion of your margin though.

I think it is a mistake to pick one time horizon and ignore the others because doing so blinds you to a lot of information and causes you to miss opportunities. Many people assume that just by trading the short time horizon that they will implicitly get the benefits of the longer term moves, but that is an incorrect assumption. So my answer is yes, I do find a difference between EOD and intraday systems. Each are making decisions based on different information, and if your systems are based on TA signals, then they are modeling fundamentally different volatility and liquidity characteristics.

i second every comma of that post. perfect. pro thinking.

 

[man]

Quote from Trader666:

... you need to be wary of getting incorrect info e.g., what you got from man... FYI, profit factor intraday measures the exact same thing that it does on all other time frames -- how many dollars/euros/whatever your system has made for each one lost. Period. It's that simple, and it is NOT flawed. However, both Sharpe and Sortino ARE flawed because they FAIL to work as intended under certain circumstances that are not apparent unless you understand exactly how each is calculated.

sorry mister for giving out "incorrect info", but profit factor in my humble opinion is flawed since it does not at all take smoothness of the equity curve into account. not at all. and this flaw becomes more apparent the more often you trade.

a system that makes two trades every day. one looses 1%, one makes 1.1%. that results in a profit factor of 1.1 with a hit ratio of 50% and a payoff ratio of 1.1; no big figures for 28% annualised return with no down day. sharpe ratio would be infinite since there is literally no vola in a system that makes 10 basispoints each and every day.

high sharpe and sortino figures rarely tell a wrong story if the number of trades is sufficient, let's say above 200. sharpes above 2.0 rarely show a strange equity curve.

profit factor is for single traders. sharpe is for funds and i dare to say multisystem pros. but again, that is just my humble opinion.

 

[man]

Quote from AskQuestions:

thanks for sharing.
what would you consider as a tradeable system in terms of "modified sharpe" values? and do you find any difference between EOD systems and intraday systems?

do not forget to annualise both the return and the standard deviation. (you annualise them in different ways, if you are not aware of that.)

my threshold for intraday systems is a mod Sharpe of 1.5 for a single market. 2.0 for a portfolio of the same system on several markets.

nevertheless sometimes a system with a sharpe of 1.0 might be so uncorrelated or even negatively correlated to the rest that it boosts portfolios sharpe more than another system with a higher sharpe. note that additional sharpe becomes more and more challenging the higher the level already is. to move from 1.0 to 2.0 is way easier than from 2.0 to 3.0 or even from 2.0 to 4.0, which would be the actual equivalent percentage wise.

 

[AskQuestions]

Quote from man:

do not forget to annualise both the return and the standard deviation. (you annualise them in different ways, if you are not aware of that.)
i am not aware of that. can you elaborate some more?

my threshold for intraday systems is a mod Sharpe of 1.5 for a single market. 2.0 for a portfolio of the same system on several markets.
this brings some question, because i'm getting the feeling everyone got different definitions for Sharpe or mod Sharpe. in prev post mod sharpe was defined as mean/std. lets assume gaussian distribution of trade results. a system with mean/std = 1.5 would have to give something of at least 90% win rate, assuming positive expectancy. are we still talking about the same thing here?

thanks

 

[traderdragon]

I do that often.

My summary results are loaded into a spreadsheet where I sort by total profit, %win, average profit per trade, max DD, etc,.

I find the "juicy" area of the parameter sets. Then I reference those equity curves. I often do the reverse though, and start by eyeballing the EQ charts.

I have a tool that allows me to flip through EQ charts in a web browser super fast, so I can spot the really good looking ones. Next to each EQ chart, is the set of params that created it so I can cross reference.

Quote from fickletrader:

When you are running through 10,000+ different variations and system combinations, you can't look at every equity and drawdown chart, so what metric do you use for optimizing? I optimize for the modified sharpe and eyeball the more interesting equity and drawdown charts (chiefly the optimal one). I'd be interested to hear how other people do it.

 

[traderdragon]

I only tade NAZ/NYSE stocks. currently.


Can you post an EQ chart that has TIME has the X axis? So we can see the frequency of the trades day by day?

The problem with this type of EQ chart is, that all those trades could have occured in a single month out of a 5 year time period.

Quote from AskQuestions:

thank you dragon for sharing



are you referring to futures intraday systems?

i'm attaching the curve of the intraday system. any comment are welcome.

 

[Trader666]

Quote from man:

sorry mister for giving out "incorrect info", but profit factor in my humble opinion is flawed since it does not at all take smoothness of the equity curve into account. not at all. and this flaw becomes more apparent the more often you trade.

a system that makes two trades every day. one looses 1%, one makes 1.1%. that results in a profit factor of 1.1 with a hit ratio of 50% and a payoff ratio of 1.1; no big figures for 28% annualised return with no down day. sharpe ratio would be infinite since there is literally no vola in a system that makes 10 basispoints each and every day.

high sharpe and sortino figures rarely tell a wrong story if the number of trades is sufficient, let's say above 200. sharpes above 2.0 rarely show a strange equity curve.

profit factor is for single traders. sharpe is for funds and i dare to say multisystem pros. but again, that is just my humble opinion.

Sorry mister man but profit factor doesn't try to quantify the smoothness of an equity curve. It simply measures how many dollars/euros/whatever a system has made for each one lost. And it does that just fine. So how is it flawed if it doesn't do something it wasn't designed for? That's like saying a car is flawed because it can't fly. LOL!! P.S. Sharpe and Sortino, on the other hand, are flawed because they don't always perform as intended. Just google around and you'll find plenty of papers on it.