Use Monte Carlo Simulation (MCS) first, above all else. If you don't get worthwhile results with that, don't even waste your time with other stats. I'm speaking from a pure statistics point of view. If you don't do MCS testing, it will be like building a hot rod from scratch, but never actually looking under the hood to make sure it goes fast.
Beyond that, good stats include K Ratio. That's my fav. >From my notes... a. COMPLETE SINGLE BULL-BEAR CYCLES i. In Sample = 4/1/2002 - 2/1/2004 ii. In Sample = 11/1/1998 - 10/1/2001 b. ULTRA-BEAR CYCLES i. In Sample = 10/1/2000 - 10/1/2002 c. ULTRA-BULL CYCLES i. In Sample = 1/1/1996 - 4/1/2000 ii. In Sample = 4/1/2003 - 2/1/2006 and also... d. ROI ratio = ( net profit / maximum trade drawdown ) i. If comparing ROI ratio between systems, must use same historical data for each system test. Look for highest ROI ratio. e. Sharpe Ratio = measure of risk adjusted ROI. i. Above 1.0 is good, above 2.0 is very good, 3.0 is excellent ii. Decreasing ratio means system losses hurt more than gains help f. K-Ratio = Detects inconsistency in returns. Measures both profitability and consistency of returns and then returns them in one single number. i. Should be 1.0 or more. ii. Ratio dependent on length of historical data used. g. Pessimistic Return to Risk Ratio (PRRR) = Large positive returns are not penalized like with the Sharpe Ratio. i. ADD = avg daily drawdown, AWT = avg winning trade, ALT = avg losing trade, Wins = number of winning trades, Losers = number of losing trades ii. PessimisticNet = AWT*(Wins-sqrt(Wins))-ALT*(Losers+sqrt (Losers) iii. PRRR = PessimisticNet/ADD Have fun, ~rhelfer --- In [email protected], "Michael.S.G." <[EMAIL PROTECTED]> wrote: > > Hi Fred, > As per previous posts, The common stats are realy just a start > point. The ability to test said formula/system in a controlled > environment for more detailed analysis is what the rest of the framework > is designed for. > > Thanks for your list too. > > ATB > Michael.
