true. but, if you have an interest in discoursing with other traders about metrics, then you should know them. more importantly, if you have an interest in schooling other traders on metrics, then you should definitely know them, or else you'll end up looking like an ass.
What does PF=1.075 tell us?
- Thread starter trd
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true. but, if you have an interest in discoursing with other traders about metrics, then you should know them. more importantly, if you have an interest in schooling other traders on metrics, then you should definitely know them, or else you'll end up looking like an ass.
I have been doing some thinking about this.
Let's say you have 2 systems each with a PF of 10.
System A has 1 HUGE winning trade and a lot of very small losing trades.
System B has trades with a gaussian distribution
Now only based on the PF , you wouldn't know the difference.
Only based on win % , you would throw system A in the garbage.
I think the distribution of your trades, shape of distribution gives you the best idea about the characteristics of your system...
Question remains what set of parameters , gives the best picture of your system
Let's say you have 2 systems each with a PF of 10.
System A has 1 HUGE winning trade and a lot of very small losing trades.
System B has trades with a gaussian distribution
Now only based on the PF , you wouldn't know the difference.
Only based on win % , you would throw system A in the garbage.
I think the distribution of your trades, shape of distribution gives you the best idea about the characteristics of your system...
Question remains what set of parameters , gives the best picture of your system
agreed...
if you're looking for an all-in-one metric, there aren't any that aren't custom.
having said that, although not really a metric, throwing up an equity curve probably comes closest to giving you a good one-shot for an overall picture.
my only trading system only has a profit factor around 1.1 and it is quite profitable on risk adjusted basis.
it is totally immature to believe a profit factor of >1.5 is achievable on the long run. such system, if scalable, would own markets in just a couple of years....
any backtest with less of 20 years of data and 5000 trades is completely irrelevant and most probably only serves the futile purpose of fueling wild and unrealistic expectations of finding a cash cow where there isn't any.
high PF are derived from small data samples, curve fitting or dumb luck. on the long run, you wont make any money with either.
it is totally immature to believe a profit factor of >1.5 is achievable on the long run. such system, if scalable, would own markets in just a couple of years....
any backtest with less of 20 years of data and 5000 trades is completely irrelevant and most probably only serves the futile purpose of fueling wild and unrealistic expectations of finding a cash cow where there isn't any.
high PF are derived from small data samples, curve fitting or dumb luck. on the long run, you wont make any money with either.
I wouldn't exactly conclude it as that.Quote from puretruth:
An image is worth a 1000 figures...
Just like discretionary traders with charts, you only percieve an abstract of the information or a focused pattern represented in it. What looks good is not necessarily "good". Also, as a systematic trader, you wouldn't want to resort and conclude your decision by how something looks. Regardless of the "consequences", one should be constantly pursuing for an automated(quantified) approach/result. Of course, I don't have every little bit of my operation automated (I still cut my models based on discretion and develop models manually, every once in a while)
It's like fake boobs. I get all excited with the size and shape but once you execute and play around with it, real ones are better.
I have a very good reason to disapprove of your claims. I'm not going to bother reposting stuff...
http://www.elitetrader.com/vb/showthread.php?s=&postid=2527534#post2527534
there seems like a lot in here based on opinion and not proof or reality.
Unless you have met most of the other traders, you cannot make statements like this and expect to be taken credibly.
I have seen a couple well-known systems with profit factors of 1.5+ and up to 20 year real-time track records.
[note to newbies - I do not plan to publicize these, so please do not ask...]