Brian, I have it set at 100 or no margin. As you can see, I really don't know much about how the backtest works. It took a while to learn how to have it trade at the times that I wanted it to trade. I didn't use stops at first, but I learned that I needed them.
I just know enough about it to have it trade the way that I want it to trade and then I duplicated the trading with my formula so that the backtest almost matched my trading results. Tom --- In [email protected], "brian_z111" <brian_z...@...> wrote: > > Thankyou Tom, > > > What settings do you have for the AA Account Margin i.e. what is your > leverage? > > > > Re Metrics. > > Generally, with metrics, we have three things to consider: > > - mathematical integrity e.g. 1 + 1 == 2 and not 3; > - what aspect of the real world is it modeling i.e. what information does it > convey or what insight does it provide to us e.g. we can add 1/2 and 1/2 == 1 > which models the real world behaviour of an apple cut in half; > - is that information of any value to us e.g. are we selling apples? > > > WRT AB's metrics: > > - they all have mathematical integrity (designed by maths/programmers and > implemented in AB by a maths/programmer), > - they don't all provide us with any useful information ... the designers all > thought they were doinh that but sometimes the mathematicians can't see the > wood for the trees, so they missed their mark, > - I don't value any of them (personal choice) so I don't use any of them, > except for the Win/Loss ratio (I don't value them because I want the > information they convey to be precise ... I think they all missed their mark > .... or I can't see the import in what they were interested in ... or I want > to watch something that they aren't watching ... something that others > haven't published before). > > > For example: > > K-Ratio - was designed by an industry insider, with a predilection for > Quantitative Analysis and educating traders. > He designed it as a response to his view that the Sharpe Ratio (popular with > Funds) wasn't modeling reward and risk they way he thought it should (it > wasn't telling him wanted he wanted to know or he thought the idea behind the > model was invalid). > > After he published the first time he found that his ratio lacked mathematical > integrity (he was alerted by a trader who read his work) and so he published > version 2, with a new recommended level (down from 1 to 0.5). > > The K-ratio is designed to report on inconsistent returns ... Kestner, the > designer, wanted consistency so his ratio is high when returns are consistent > and low when they are inconsistent. > > (habitually we think high is good so he went with that). > > You are trading for returns (CAR) and you don't want Drawdown, so the metric > that reports on the things you value (CAR/MDD) is up, while the metric that > reports on the things that Kestner values is down. > > If you want to think about whether you should be placing a value on > consistent returns then you can consider K-ratio or others that do a similar > job. > > I am not naturally a team player so I tend not to trust others work and so I > do all of my own checking etc ... so if I was going to look into consistency > of returns I would start by: > > - finding which metrics purport to do this job > - check them for maths integrity > - check to see if AB implements them as per the original > - think about whether the idea behind them is going to measure something that > means something to me and if they actually captured that information > - if I am not happy at any stage of the above I will either not use them OR > add a custom metric to AB. > > Kestner wasn't necessarily correct and even if he was does his measure report > well in 'inconsistent returns' or not? > > I haven't gone into all of that but IMO volatilty of returns is not > necessarily bad ... if big wins outweigh big losses then big returns will > follow (exactly as per your performance record). > > > Re tolerance for risk: > > Risking our accounts is an occupational hazard, if we are young or not well > off and we only have a small account ... accepting higher risk can get us up > from an account, that is really too small to trade with professionally, to a > size where we can consider ourselves professional ... as we approach that > point we probably should back off the risky behaviour a bit. > > In other words ... many young people throw all caution to the wind when they > start because they have nothing to lose ... if they get away with it well and > good. > > --- In [email protected], "professor77747" <professor@> wrote: > > > > Brian, > > > > I trade 4 times a day using 6 hour bars. I have a trading period of about > > 30 seconds during which a trade is made at the close of the bar. > > > > I trade gold future contracts. I trade one contract now which is 100 ounces > > of gold. Gold has swings of $10 to $20 during one bar. Once I saw a swing > > of $50 in one bar. > > > > So on one contract, I have been up $1500 and during the next bar, I will be > > down $500. > > > > Tom > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > > > I am curious about your post. > > > > > > You know how to calculate the metrics included with AB but you don't > > > understand them? > > > > > > In spite of that you managed to return approx 320% in a year? > > > > > > You system has the most important metric working for you ... you have the > > > money in the bank. > > > On top of that you did it in a bear year and achieved good results long > > > and short (as we would expect the shorts outperform the longs). > > > > > > And now you are repeating the effort this year. > > > You don't appear to be a trading novice ... not on those results. > > > > > > However, you didn't answer my first questions so I am left guessing and > > > now I have some more questions: > > > > > > - you say it is one year trading but total trades are 84 * ave 6.88 bars > > > per trade ... so if that is daily bars then that is more than a year.... > > > or are you intraday trading? > > > > > > - according to exposure you are only in the market 0.11% of the time yet > > > the market is volatile enough to hand over trades with an average win of > > > approx 2000% in 7.61 bars (on ave) ... which market is giving you swings > > > of 2000% every 7-8 bars? > > > > > > - I don't understand how you can have max consecutive losers == 5 and ave > > > loss == 1200% approx and have a max drawdown of around 20% ... on e loss > > > alone is greater than the drawdown. > > > > > > Did I understand you correctly ... this is how your system backtests and > > > trades? > > > > > > > > > --- In [email protected], "professor77747" <professor@> wrote: > > > > > > > > Thank you for your replies. However, I have the way they are > > > > calculated, but I don't know what they mean. For instance, CAR/MaxDD is > > > > good if bigger than 2. My formula is over 12. Is that good? > > > > > > > > However, the K-Ratio should be over 1.0. My forumula is .06. So that > > > > must be bad. > > > > > > > > I don't know how to judge my formula because I really don't understand > > > > how to interpret the figures. > > > > > > > > What should the Ulcer Index be. Is higher better or worse. > > > > > > > > I have just compared my formulas using Profit and Downdraw. I take the > > > > highest profit as long as the downdraw is close. > > > > > > > > Tom > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > > http://www.amibroker.com/guide/h_report.html > > > > > http://www.investopedia.com/categories/formulas.asp > > > > > > > > > > Mike > > > > > > > > > > --- 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 > > > > > > > > > > > > > > > > > > > > >
