What metrics do you use to measure trading success?

volpri said:
Are you trying to say you gotta look at the data and be flexible? Sounds like you are turning onto the discretionary highway. Have you made a wrong turn? Best make haste and get back to the arctic circle and the frozen algos
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Not really. Just redundantly emphasizing that no free lunches exist. Discretion has its place in strategy design and research, but no place in the heat of battle. An algo is pretty much dogshit without expert discretionary input.
 
Xela said:
to analyze and collate the results of 300+ consecutive trades with a PF significantly above 1.0 and with no peak-to-trough drawdown bigger than 5%
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Really appreciate your feedback. What number do you consider for a PF significantly above 1.0? Thanks again for you help.
 
jdegg79 said:
Really appreciate your feedback. What number do you consider for a PF significantly above 1.0?
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My own rule of thumb was always that - in principle - something that had a PF of 1.5+, over 300+ trades, was worthy of further time, analysis, potential refinement, thought and effort, and should be taken seriously.

(I wouldn't "write it in stone", though: it's only really a personal preference. I'm sure there are people who'd only take seriously something higher than that, and maybe people making a living from things lower than that, in PF terms. And of course many people using more complicated parameters than "PF" in the first place! I've always found it useful, though - and it's certainly easy enough to understand and monitor.)
 
Achieving Success in the markets is not about instinct, divine inspiration or spontaneous intellectual combustion. It is largely depended on intelligent data processing, sound method and the successful management of risk etc.

The most useful metrics to measure you trading success are given below

Win ratio

equity curve vs. benchmark

Sharpe ratio

percentage of time profitable vs. benchmark (consistency)

drawdown

Average win larger than average loss

average time in the trade

Biggest win larger than biggest loss

net profitable at the end of the session after commissions

Percentage of daily range captured.
 
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