Dingo, I don't know why. I have different conditions for my shorts and my longs so that may be it. However, I backtested my longs using the same conditions and the result were not as good.
Since I make more profit on my longs, I just live with it. Tom --- In [email protected], dingo <waledi...@...> wrote: > > Your drawdowns' are much larger on your long positions than your shorts. The > short side of the formula seems to do much better with lower risk than the > long side. What was the reason for this? > > d > > On Wed, Jun 24, 2009 at 12:54 PM, professor77747 > <profes...@...>wrote: > > > > > > > Brian, > > > > Here are the reports for my 2 formulas. The profit doesn't seem much > > different, but this year, the profit shows a difference of over $5000. The > > first one is the one that I posted at Report > > 1<http://success101.biz/Backtest%20Report.htm>. > > The second is the less risky one at Report > > 2<http://finance.groups.yahoo.com/http://success101.biz/Backtest%20Report-15.htm> > > . > > > > What metric do you use to decide that you (your systems) are profitable ... > > annual % return or what? I just look at the profit %. > > > > When you say your system is "risky" what exactly do you mean ... is this a > > hunch or do you use a metric to quantify risk? I look at the system > > downdraw. I started with 5000 over a year ago and ran it up to $30000, but I > > was lucky. I then took out $10000. I really needed $20000 to start. You > > will see that the system downdraw is over $11000. I trade gold futures and a > > contract requires about $6000 so I need at least $17000 to trade one > > contract. > > > > What do you mean when you say that both systems backtest nearly the same > > except for "price"? .... what is the same after a backtest? ... what price > > are you talking about? Since I trade using a 6 hour bar and I only trade > > at the close of the bar, the backtest results are the same as my trades > > except for a slight difference in price sometimes when I trade at different > > price than the backtest price. What I meant was that the system trades and > > the backtest trades are almost identical. I auto trade my formula and I use > > market orders so the trades are placed fast. The biggest difference between > > the actual trade price and the backtest trade price has been 20 cents. While > > this is a $20 difference in my cost, I still make a good profit on the > > trades. I could probably save by manually trading and placing limit orders, > > but I like to auto trade so I don't have to worry about watching the > > computer at my trading times > > > > The reason that I want to know about the risk is that I am going to start > > trading 2 contracts now that I have $40000 in my account. The difference in > > profit between the 2 formulas is over $10,000 in a 18 month period, but most > > of that difference was this year. The system down draw was over $11,ooo on > > the more profitable formula and only about $8000 on the less profitable one. > > > > I must say that I was ready to quit when I lost over $11,000 so that I why > > I am worried about the risk. On 2 contracts, that would be $22000. I don't > > know if I can handle it. > > > > Thanks for your help, > > > > Tom > > > > > > > > > > > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > > > Hello Tom, > > > > > > The definitions, for the metrics, are in Howard Bandy's QTS book. > > > I believe they are also in the help manual (not certain about that). > > > > > > That is a good place to start. > > > > > > In my experience we have to make the metrics our own, so to speak, by > > learning how they are calculated and then trying to understand what they are > > measuring (compared to each other). > > > > > > So, you are trading successfully for at least a year and don't understand > > the statistics ... I don't know if that is good or bad or something else but > > it doesn't appear to be a problem for you. > > > > > > Anyway, it is good that you want to keep learning and extending your > > knowledge, even though you are already successful. > > > > > > > > > I don't know if I can help but please clarify your question further to > > give me, or others, a fighting chance: > > > > > > Please post the report for each system over the same time range. > > > > > > > > > What metric do you use to decide that you (your systems) are profitable > > ... annual % return or what? > > > > > > > > > When you say your system is "risky" what exactly do you mean ... is this > > a hunch or do you use a metric to quantify risk? > > > > > > What do you mean when you say that both systems backtest nearly the same > > except for "price"? .... what is the same after a backtest? ... what price > > are you talking about? > > > > > > > > > > > > --- In [email protected], "professor77747" professor@ wrote: > > > > > > > > > > > > I have a very profitable formual that I have been autotrading for over > > a > > > > year. However, it is also risky. I have another formula that is not as > > > > profitable, but is also not as risky. My formula trade almost exactly > > as > > > > a backtest except for the price which varies by so little that it is > > not > > > > a factor. > > > > > > > > I don't understand any of the risk % factors in the top section and the > > > > factors below the drawdown figures in the bottom section. > > > > > > > > Here is a link to the statistics for last year which are very similar > > to > > > > this year except that there is more data. Statistics > > > > <http://success101.biz/Backtest%20Report.htm> > > > > > > > > Please help me understand these statistics. Thanks > > > > > > > > Tom > > > > > > > > > > > > > > > >
