What are acceptable Performance numbers

[toe]

ehsmama, you dont need to dynamically create watchlists in Wealth-Lab. If you want to base trading decissions on an indicator just add it as a trading rule and simulate the entire market. For eample ...

If SMA(Bar,#Volume,55) > 100000 Then
BuyAtLimit etc.

Some other idea may take a little more programming but most things can be done. For example if you want to chose stocks with the highest relative strength you can code relative strength, but an easier way to begin testing might be to trade a stock if its 250 bar return is better than the S&P500 return (adjusted for volatility).

If you want to test fundamental data dynamically all you need is the data in some readable format. The best way is with the Bloomberg adapter, though its expensive.

 

[mschey]

Quote from ehsmama:

Thanks 5yrTrader,
I have taken a loan against my house to put on the trading strategies, so yes I have leverage in that sense. Yes, this is a trend following strategy that uses End of Day Data only, so that I don't have to look at markets.
Longer holding periods seem to increse DDs without increasing yearly returns, But profit per trade is lot more.
Futures markets might be a possibility but I guess all novices like me start with Stock markets since it is most talked about.

That's scary. Please start off small and make the system really prove itself to you before you "bet the farm", so to speak. You might find that your actual results vary greatly from your systems hypothetical results, and It never is a favorable variance.

Good luck!

 

[NKNY]

Quote from ehsmama:

RiskTaker,
A big disadvantage of Wealthlab I found was that you can't create your portfolios dynamically to filter stocks but have to work with static stock lists.
And I at this stage didn't know of any tools that let you create portfolio dynamically based on RS, av volume etc.
I think those tools if they existed would cost lot more than Wealthlab and I would not have any money left to trade after buying those tools.
I just sorted top 100 stocks based on 55 day av. vol on the day I created a watchlist. Just made sure that it had stocks from most major Sectors.

I think vector vest has a new simulator costing about 3,000... I think you can specify criteria of the stocks you want and it will upate your portfolio dynamically for each trade.

Nick

 

[nononsense]

Quote from jonnysharp:

it depends on what type of system it is in re to what is acceptable, ideally in any system you want gross profits to be at least twice the size of gross losses. most good systems look like this;

win rate: 50%
win/loss ratio: 2.2
drawdown: 30%
avg. ROI p.a : 50%

but to get an idea of how hard it is to trade a system, look at the maxium time between new equity peaks, you don't want to be in a 12month drawdown if your trading 1 system.

but at the end of the day for stock trading systems; measure the performance against the S&P500, if you can beat it with less risk -> your ahead of the pack

Looks pretty risky to me.
A 30% drawdown sounds ominous.
In fact drawdown doesn't mean much without more detailed knowledge. However, drawdown is only kind of an average. Much more significant is the risk of ruin over a given number of trades or period of time. Don't forget that speculating is a brutally nonlinear exercise. Once you dip below zero, you've had it: you're wiped out. The average style drawdown doesn't take this into account. The statistical calculation kind of happily sums negative with positive values, without bothering about instantaneous zero crossings.
Again 30% drawdown in my opinion almost garantees bankruptcy over a not too long a series of trades.

nononsense