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your sysytem win/loss ?
- Thread starter macgibby
- Start date
Quote from psytrade:
are these systems intraday or end of day?
What about drawdowns?
How many consecutive losers does the system have in a backtest?
What is the size of the win / loss? 3:1? 5:1?
Without any information, win /loss doesn't tell you the extent to which the system will be profitable
I just asked a general question to get an idea if anybody trading systems with high win/loss ratio. Don't want to complicate things in this post...
64.29% profitable
Profit factor 7.7089
W/L 4.3105$
W/L 4.0543%
Modified Sharpe Ratio 0.6942
Avg DD 3.16%
Worst DD 8.21%
Max consecutive wins 8
Max consecutive losses 3
Actual results from the last 126 trades in my Eod system.
Profit factor 7.7089
W/L 4.3105$
W/L 4.0543%
Modified Sharpe Ratio 0.6942
Avg DD 3.16%
Worst DD 8.21%
Max consecutive wins 8
Max consecutive losses 3
Actual results from the last 126 trades in my Eod system.
are these systems intraday or end of day?
Intraday trading model.
What about drawdowns?
Depends on size I am pulling. At my current size the max drawdown should be around 20-25% with probable swings of 10-15%. Yes I am highly leveraged but this is on my personal problem and I can stomach that.
How many consecutive losers does the system have in a backtest?
6 stop outs on 6 different pairs.
What is the size of the win / loss? 3:1? 5:1?
Varies from 1:1 to 2:1
Intraday trading model.
What about drawdowns?
Depends on size I am pulling. At my current size the max drawdown should be around 20-25% with probable swings of 10-15%. Yes I am highly leveraged but this is on my personal problem and I can stomach that.
How many consecutive losers does the system have in a backtest?
6 stop outs on 6 different pairs.
What is the size of the win / loss? 3:1? 5:1?
Varies from 1:1 to 2:1
one of my systems, intraday, forward testing
74% win
W/L inching towards 2:1
Max wins 18
Max losses 4
Sharpe horrible
struggling with stop placement, avg win close but not greater than avg loss, also hold time still too long
pareto rule can work here: 80% of profits from 20% of trades, concentrate on those 20% winners (increase size)
74% win
W/L inching towards 2:1
Max wins 18
Max losses 4
Sharpe horrible
struggling with stop placement, avg win close but not greater than avg loss, also hold time still too long
pareto rule can work here: 80% of profits from 20% of trades, concentrate on those 20% winners (increase size)