RE: [amibroker] Is this a good system?

Fri, 26 May 2006 09:47:45 -0700

To me this system is something I would not touch

15.25% annual Return

And a Max trade Drawdown of 47.87%
That means that yours system lost almost half the money on one trade
Max System DD 17.27%  to me means that you are having huge swings of profit
and looses

So if you started with 10k  and traded one stock per say
You could loose as much as  $4787 on that trade,  but over time, looks like
you ran this for several years?   You will have a few large winners and
losers and loose sleep over the looses hoping that you find a big winner to
get you the 15% annual rate of return this system is suppose to give you

Maybe I am wrong that is how I read this
Not going into each line item either

Here is something I have been working on to give you something to compare
yours with
Starting with 30k

Max. trade drawdown      -8260.60     
Max. trade % drawdown      -17.54 %     
Max. system drawdown      -18002.66     
Max. system % drawdown      -12.74 %     
Recovery Factor               7.57     
CAR/MaxDD                     2.59           
RAR/MaxDD                  4.96           
Profit Factor                  7.40           
Payoff Ratio                  2.66     
Standard Error            11579.83     
Risk-Reward Ratio            2.06     
Ulcer Index                  4.56     
Ulcer Performance Index      6.07     
Sharpe Ratio of trades      1.48     
K-Ratio                  0.09     


Net Profit %                        454.11 %     
Exposure %                        52.27 %     
Net Risk Adjusted Return %      868.82 %     
Annual Return %                  33.06 %     
Risk Adjusted Return %            63.25 %     

The above is for   1/6/97- 1/3/03
YES I am testing this out over the good and bad of the last market cycle




-----Original Message-----
From: [email protected] [mailto:[EMAIL PROTECTED] On Behalf
Of jacklweinberg
Sent: Friday, May 26, 2006 11:06 AM
To: [email protected]
Subject: [amibroker] Is this a good system?

Hello:
Could someone please comment on these results (taken from the
AmiBroker Report output) for a stock trading system:
Max. trade drawdown -8250.00
Max. trade % drawdown -41.87 
Max. system drawdown -36639.00 
Max. system % drawdown -17.27 
Recovery Factor 7.33 
CAR/MaxDD 0.88 
RAR/MaxDD 3.31 
Profit Factor 1.71
Payoff Ratio 1.67 
Standard Error 21810.03 
Risk-Reward Ratio 2.09 
Ulcer Index 4.14 
Ulcer Performance Index 2.38
Sharpe Ratio of trades 0.89 
K-Ratio 0.09
The profitability of this system appears to be quite good:
Net Profit % 134.36 
Exposure % 26.68 
Net Risk Adjusted Return % 503.58  
Annual Return % 15.25
Risk Adjusted Return % 57.16 

Thanks in advance for your comments.







Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html


Yahoo! Groups Links









Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html



SPONSORED LINKS
Investment management software Real estate investment software Investment property software
Software support Real estate investment analysis software Investment software

YAHOO! GROUPS LINKS



Reply via email to