As my first post, I just wanted to say Hi, Ive been lurking here for a bit, and am excited to start getting involved.
Now Im not looking to beat a dead horse about asking about Win Rates or anything so Im rather looking for someone to tell me if I'm doing something wrong.
Well Ive been meticulously developing a system for the past month or so, and since numbers (Mac's excel equivalent) is bogging down because of the thousands of simultaneous calulations I'm running I decided to write a compile able program to sim a bunch of stocks that I can load into it...
Now onto my question. So far Im under the assumption that Win Rate = Winning trades/total trades.
How is it anybody is achieving over 60-70% Win Rate, when more or less half your trades are coming from entries?
My system right now is a long only system dealing with US Equities, and I keep track of total trades to factor in commissions in various frequency ranges for the various discounts brokers offer. My win rates are averaging to about 24-30%, with many tight stop losses. My profit factor is averaging between 2.00-3.5, as well as my average profit per trade being anywhere from $20 to $150 depending on trades.
Total trades 363 (including entering positions which I dont count as losses or gains only on sells)
2013-03-21 12:39:18.830 BackTest[17618:303] TOTAL TRADES: 363
2013-03-21 12:39:18.831 BackTest[17618:303] TOTAL TRADES PER QTR: 18
2013-03-21 12:39:18.831 BackTest[17618:303] PPT: $72.33
2013-03-21 12:39:18.831 BackTest[17618:303] Winning Percentage Of Total Trades: 23.69%
2013-03-21 12:39:18.832 BackTest[17618:303] Sharpe Ratio: 2.12
2013-03-21 12:39:18.832 BackTest[17618:303] Max Drawdown: 16.59%
2013-03-21 12:39:18.832 BackTest[17618:303] Most Consecutive losses: 6
2013-03-21 12:39:18.833 BackTest[17618:303] Most Consecutive wins: 5
2013-03-21 12:39:18.833 BackTest[17618:303] Probable Wins: 86
2013-03-21 12:39:18.833 BackTest[17618:303] Probable Losses: 95
2013-03-21 12:39:18.834 BackTest[17618:303] AVG Win: $193.71
2013-03-21 12:39:18.834 BackTest[17618:303] AVG Loss: $-91.38
2013-03-21 12:39:18.834 BackTest[17618:303] AVG TIME IN TRADE: 5 DAYS
2013-03-21 12:39:18.835 BackTest[17618:303] APPT: $115.63
Am I calculating this win rate thing wrong? I mean I know its not the be all and end all of everything...but I seem to be seeing a recurrence of people disliking lower win rates, and claiming 70%..but how are the trades entries factored in then?
IE out of 363 trades 182, are coming from entering the position.
(If it helps this is over a 5 year backtest, with EOD trading) (Not intraday)
Now Im not looking to beat a dead horse about asking about Win Rates or anything so Im rather looking for someone to tell me if I'm doing something wrong.
Well Ive been meticulously developing a system for the past month or so, and since numbers (Mac's excel equivalent) is bogging down because of the thousands of simultaneous calulations I'm running I decided to write a compile able program to sim a bunch of stocks that I can load into it...
Now onto my question. So far Im under the assumption that Win Rate = Winning trades/total trades.
How is it anybody is achieving over 60-70% Win Rate, when more or less half your trades are coming from entries?
My system right now is a long only system dealing with US Equities, and I keep track of total trades to factor in commissions in various frequency ranges for the various discounts brokers offer. My win rates are averaging to about 24-30%, with many tight stop losses. My profit factor is averaging between 2.00-3.5, as well as my average profit per trade being anywhere from $20 to $150 depending on trades.
Total trades 363 (including entering positions which I dont count as losses or gains only on sells)
2013-03-21 12:39:18.830 BackTest[17618:303] TOTAL TRADES: 363
2013-03-21 12:39:18.831 BackTest[17618:303] TOTAL TRADES PER QTR: 18
2013-03-21 12:39:18.831 BackTest[17618:303] PPT: $72.33
2013-03-21 12:39:18.831 BackTest[17618:303] Winning Percentage Of Total Trades: 23.69%
2013-03-21 12:39:18.832 BackTest[17618:303] Sharpe Ratio: 2.12
2013-03-21 12:39:18.832 BackTest[17618:303] Max Drawdown: 16.59%
2013-03-21 12:39:18.832 BackTest[17618:303] Most Consecutive losses: 6
2013-03-21 12:39:18.833 BackTest[17618:303] Most Consecutive wins: 5
2013-03-21 12:39:18.833 BackTest[17618:303] Probable Wins: 86
2013-03-21 12:39:18.833 BackTest[17618:303] Probable Losses: 95
2013-03-21 12:39:18.834 BackTest[17618:303] AVG Win: $193.71
2013-03-21 12:39:18.834 BackTest[17618:303] AVG Loss: $-91.38
2013-03-21 12:39:18.834 BackTest[17618:303] AVG TIME IN TRADE: 5 DAYS
2013-03-21 12:39:18.835 BackTest[17618:303] APPT: $115.63
Am I calculating this win rate thing wrong? I mean I know its not the be all and end all of everything...but I seem to be seeing a recurrence of people disliking lower win rates, and claiming 70%..but how are the trades entries factored in then?
IE out of 363 trades 182, are coming from entering the position.
(If it helps this is over a 5 year backtest, with EOD trading) (Not intraday)
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