Which is the most important stat to you?

[TradeNYSE]

Working with my current trading strategy and trying to optimize the system. Assuming there is one variable that can directly affect the number of trades, profit/loss, which is most important to you and why?

For ex. (just to clear up)
Let's say if 1x was used as the variable the results were (YTD):

Average profit/trade = .34%
Median profit/trade = .30%
Wins = 1731
Losses = 1304
Win % = 57%
Avg Win = 1.79%
Avg Loss = -1.60%
Avg Win/Avg Loss = 1.07
Total Buying Power Required for all trades for entire year = $60,740,000
Profit = $102,611

Now the variable is 2x:
Average profit/trade = .51% (+.17% higher than 1x)
Median profit/trade = .49% (+.19%)
Wins = 1061 (less trades triggered)
Losses = 719
Win % = 60% (+3%)
Avg Win = 1.99% (+.20%)
Avg Loss = -1.68% (-.08%)
Avg Win/Avg Loss = 1.19 (+.12)
Total Buying Power Required for all trades for entire year = $35,600,000
Profit = $90,529 (roughly -$10k)

My question becomes...are you more concerned with the bottom line (where 1x profits more than 2x), or are you more concerned with another ratio/number? What ratio/number/stat would you focus on (I do not have a statistics background, so I am sure I probably left out some very crucial calculations that could help me...that is where I need some input).

I mean from a common sense standpoint, I can look at this and say that 2x is a much better/efficient way b/c you lose $10k in profits, but you risk almost half the money in buying power over the year. But What if I have 50 different variables and want to pick the best one?


Thanks in advance.

 

[Brandonf]

Hips, waists, and breast?

On a more serious note though, I tend to be more concerned with my drawdowns. How large are they vs my upswings. How long does it take to recover from a drawdown? How much of my return depends upon the market? Things like that are important to me. Plus Hips, Waists and Breasts.

 

[TradeNYSE]

Thanks Brandon...but looking for something more statistical and not discretionary.

 

[Roscoe]

I use Vince's Weighted Geometric Mean as my primary stat along with SDevRatio and a few distribution stats.

 

[nazzdack]

Have a good idea of how and why the largest losses occur. This will reveal the biggest flaws of your method and keep you from being on an unnecessary roller coaster ride.

 

[TradeNYSE]

Ok let's try this again:

System 1
TOTAL PROFIT $154,626
AVERAGE/TRADE $57
MEDIAN/TRADE $58
WIN 1632
LOSE 1068
WIN % 60%
AVG WIN $220
AVG LOSS -$192
WIN/LOSS[abs value] 1.15
TOTAL BUYING POWER REQD $55,000,000
RETURN (profit/capital used) 0.29%
StdDev of the trades $294

System 2
TOTAL PROFIT $166,573
AVERAGE/TRADE $46
MEDIAN/TRADE $49
WIN 2130
LOSE 1484
WIN % 59%
AVG WIN $206
AVG LOSS -$184
WIN/LOSS[abs value] 1.12
TOTAL BUYING POWER REQD $73,000,000
RETURN (profit/capital used) 0.23%
StdDev of the trades $278


Which would you choose and why? Are there other calculations you would want to compare that are not listed that would help you decide?

 

[TradeNYSE]

Didn't answer my question, but thanks for the input.

 

[Pro_Trader720]

None of the above. I like to look at sharpe/sortino ratios. This gives you a good idea of the risk/reward.

 

[TradeNYSE]

Can someone help me with what I need to do with my data to get the numbers required to calculate the sharpe/sortino?

 

[Pro_Trader720]

Sharpe = (Annualized Rate of Return - Risk Free Rate of Return)/Annualized Standard Deviation of returns.

Sortino = (Annualized Rate of Return - Risk Free Rate of Return)/Annualized Down Standard Deviation of returns.

I don't know what you need to do to your data to calculate these, since I don't know what your data contains.