What Parameters Do U Use to Rate Ur System?

[Blithe]

Dear Fellow Traders,

Just wondering what parameters U normally use to rate your system and Why? Personally, I test my rules and the most common parameters I use are:

Win-Loss Ratio: To work out Expected Strike rate in a large enough sample
Risk-Reward Ratio: To make sure RR is in my favour
Trade Frequency: To ensure I have enough sample size.

Any inputs greatly appeciated.

Blithe.

 

[sidinuk]

I look at 12 month rolling profit to get an idea as to how consistently the system performs.
Maximum/Average drawdown over the test period.
Maximum/Average number of days drawdown between equity peaks.

 

[Rhody Trader]

Dear Fellow Traders,

Just wondering what parameters U normally use to rate your system and Why? Personally, I test my rules and the most common parameters I use are:

Win-Loss Ratio: To work out Expected Strike rate in a large enough sample
Risk-Reward Ratio: To make sure RR is in my favour
Trade Frequency: To ensure I have enough sample size.

Any inputs greatly appeciated.

Blithe.

You seem to be looking at the three measures seperately when in fact they should be viewed together. The win-loss ratio and risk-reward ratio combine to provide a per trade expectancy, which when you add in trade frequency gives you a profit expectancy for a given timeframe. You should be looking at trade frequency not to see if you have a large enough sample, but rather to see if the system produces enough signals given the two ratios. The way to know if your sample is large enough is to ascertain whether it effectively covers at least one major market cycle for your time frame (up trend, down trend, consolidation).

As mentioned in the previous post, looking at drawdowns is good as it can give you a really good idea of how the system performs.