What's your profit factor?

[tenthousandmen]

For everyone trading live, what's your profit factor record?

 

[d08]

Needs more options. A profit factor of 1.2 is very different from 1.8. A long term PF of 5+ is unrealistic.

 

[tenthousandmen]

Quote from d08:

Needs more options. A profit factor of 1.2 is very different from 1.8. A long term PF of 5+ is unrealistic.

Got it... based on the holy grail thread poll, I was wondering if anyone has very high factors. Not that they are necessarily truthful...

 

[d08]

Quote from tenthousandmen:

Got it... based on the holy grail thread poll, I was wondering if anyone has very high factors. Not that they are necessarily truthful...

Definitions are varying, as always. A system with a profit factor of 1.5 (a real life PF, not simulation) returning 200% annually with a high Sharpe and a maximum drawdown around 10% would be considered a holy grail by many, others would demand a PF twice that to qualify as holy grail. The PF needs to be looked at in the context of reward and risk (return and drawdown).

 

[bwolinsky]

Holy grail range is a 2 profit factor, and a 3:1 calmar ratio. Win percentage varies by trade duration, but the first two pretty much sum up scalability without specific annualized percentages or drawdown values.

 

[d08]

Quote from bwolinsky:

Holy grail range is a 2 profit factor, and a 3:1 calmar ratio. Win percentage varies by trade duration, but the first two pretty much sum up scalability without specific annualized percentages or drawdown values.

Calmar is calculated based on monthly returns and drawdowns, you can look at the values separately and get the same information. Calmar ratio says nothing about scalability. Win ratio is completely insignificant.

 

[bwolinsky]

Quote from d08:

Calmar is calculated based on monthly returns and drawdowns, you can look at the values separately and get the same information. Calmar ratio says nothing about scalability. Win ratio is completely insignificant.

With stocks, scalability might be a question, but it isn't a problem for futures.

 

[d08]

Quote from bwolinsky:

With stocks, scalability might be a question, but it isn't a problem for futures.

Do you think when you post? You specifically mentioned scalability in your previous post.
Try trading lumber, then tell me scalability isn't a question.

 

[bwolinsky]

Quote from d08:

Do you think when you post? You specifically mentioned scalability in your previous post.
Try trading lumber, then tell me scalability isn't a question.

I usually model for 2 ticks of slippage, and the only market that value doesn't seem to work on is Silver, but, I admit, I haven't looked at a lumber dom, because I don't trade it, but probably have some theories that could be applied there.

If we all agreed on what instruments we were trading, futures or stocks, the question would be a bit less ambiguous, but even if you don't want to include stocks, there's certainly a litany of unscalable instruments that are predominantly a hedger's market. So whether we talk about those illiquid markets that most probably can't produce a profitable backtest, the notion that we assume we are trading in a liquid market should also be added to the question "what is your profit factor?".

I think if we add a value to liquidity, like, say, max 4 constant volume bars per day, we could get a more concise definition. Since most traders don't trade constant volume bars, there isn't as much litany as the trades we would do if we were a hedger, but not if we were predominantly classified as a "speculator." The difference might have something to do with whether we have a tradable quantitative system in that market or whether we are basing our decisions on "gut instinct." If you define the parameters under which we govern our trades related to our profit factor as being highly liquid or less liquid the response we gave to our strategy has more to do with the apr/dd factor than to our overall profit factor.

 

[d08]

Quote from bwolinsky:

I usually model for 2 ticks of slippage, and the only market that value doesn't seem to work on is Silver, but, I admit, I haven't looked at a lumber dom, because I don't trade it, but probably have some theories that could be applied there.

If we all agreed on what instruments we were trading, futures or stocks, the question would be a bit less ambiguous, but even if you don't want to include stocks, there's certainly a litany of unscalable instruments that are predominantly a hedger's market. So whether we talk about those illiquid markets that most probably can't produce a profitable backtest, the notion that we assume we are trading in a liquid market should also be added to the question "what is your profit factor?".

I think if we add a value to liquidity, like, say, max 4 constant volume bars per day, we could get a more concise definition. Since most traders don't trade constant volume bars, there isn't as much litany as the trades we would do if we were a hedger, but not if we were predominantly classified as a "speculator." The difference might have something to do with whether we have a tradable quantitative system in that market or whether we are basing our decisions on "gut instinct." If you define the parameters under which we govern our trades related to our profit factor as being highly liquid or less liquid the response we gave to our strategy has more to do with the apr/dd factor than to our overall profit factor.

He specifically asked about live trading, not simulation.