Compare Trading Systems ?

prestonmyers2 · #1 26th August 2009, 05:53 PM

Hello Folks,
I have two systems that I designed and would like you to judge for me which is the best as I cannot decide for myself.
Also I want this thread to be about trading system's and how to be able to select the best from among many. This thread is also for all of us to share our test results to compare with each other. If you like this idea please respond. I currently have two systems that I designed but I am unable to make up my mind which one is best. I am posting the test results here for your valuable comments.
Thanks & Regards,
Preston.

SYSTEM 1 SYSTEM 2
Initial capital 1000000 1000000
Ending capital 90996658.31 90808655.44
Net Profit 89996658.31 89808655.44
Net Profit % 8999.67% 8980.87%
Exposure % 70.83% 67.21%
Net Risk Adjusted Return % 12706.31% 13363.36%
Annual Return % 56.96% 56.93%
Risk Adjusted Return % 80.42% 84.71%

All trades 309 425
Avg. Profit/Loss 291251.32 211314.48
Avg. Profit/Loss % 27.66% 17.04%

Max. trade drawdown -2802527.69 -3459896.76
Max. trade % drawdown -89.76% -93.60%
Max. system drawdown -10091932.51 -8820203.48
Max. system % drawdown -44.58% -32.73%
Recovery Factor 8.92 10.18
CAR/MaxDD 1.28 1.74
RAR/MaxDD 1.8 2.59
Profit Factor 6.75 7.1
Payoff Ratio 7.53 7.84
Standard Error 9658706.19 10115564.08
Risk-Reward Ratio 0.48 0.41
Ulcer Index 18.55 13.95
Ulcer Performance Index 2.64 3.51
Sharpe Ratio of trades 0.5 0.6
K-Ratio 0.0276 0.0236

AnandK · #2 27th August 2009, 03:13 PM

The one with less trades (System 1) seems better.

bunny · #3 27th August 2009, 03:31 PM

Atleast you could format it properly so that we can read it comfortably.

nifty · #4 27th August 2009, 04:00 PM

Quote:

Originally Posted by prestonmyers2

Hello Folks,
I have two systems that I designed and would like you to judge for me which is the best as I cannot decide for myself.
Also I want this thread to be about trading system's and how to be able to select the best from among many. This thread is also for all of us to share our test results to compare with each other. If you like this idea please respond. I currently have two systems that I designed but I am unable to make up my mind which one is best. I am posting the test results here for your valuable comments.
Thanks & Regards,
Preston.

SYSTEM 1 SYSTEM 2
Initial capital 1000000 1000000
Ending capital 90996658.31 90808655.44
Net Profit 89996658.31 89808655.44
Net Profit % 8999.67% 8980.87%
Exposure % 70.83% 67.21%
Net Risk Adjusted Return % 12706.31% 13363.36%
Annual Return % 56.96% 56.93%
Risk Adjusted Return % 80.42% 84.71%

All trades 309 425
Avg. Profit/Loss 291251.32 211314.48
Avg. Profit/Loss % 27.66% 17.04%

Max. trade drawdown -2802527.69 -3459896.76
Max. trade % drawdown -89.76% -93.60%
Max. system drawdown -10091932.51 -8820203.48
Max. system % drawdown -44.58% -32.73%
Recovery Factor 8.92 10.18
CAR/MaxDD 1.28 1.74
RAR/MaxDD 1.8 2.59
Profit Factor 6.75 7.1
Payoff Ratio 7.53 7.84
Standard Error 9658706.19 10115564.08
Risk-Reward Ratio 0.48 0.41
Ulcer Index 18.55 13.95
Ulcer Performance Index 2.64 3.51
Sharpe Ratio of trades 0.5 0.6
K-Ratio 0.0276 0.0236

Yes I agree with bunny. Also I have few questions you mentioned anual return of 56.96% with Initial capital 1000000 and ending 90996658.31 for how many years ? Also it would be better if you mention for which type of market you have backtested this Equity or FNO if FNO then mention leverage..

Happy Trading....

prestonmyers2 · #5 27th August 2009, 06:13 PM

Quote:

Originally Posted by AnandK

The one with less trades (System 1) seems better.

Thanks Anand, But SYSTEM2 has a bettter RAR and Lower Drawdown so i'm Still

Bunny believe me I formatted it but when I clicked send the formatting was lost... Would it be better if I uploaded it in Picture format?
Nifty, the period is 10 years from Jan 1st 1998 to Jan 1st 2008, and its Equities traded on the NSE.

nifty · #6 27th August 2009, 06:35 PM

Hello,

As number of trader are more in system2 it have low system draw down so I would prefer system 2.

Happry Trading...

prestonmyers2 · #7 27th August 2009, 07:15 PM

Hello Nifty,
I too like system2 because of the lower drawdown

and better RAR

nifty · #8 28th August 2009, 02:15 PM

Hi prestonmyers2,

Are you following any these 2 systems if so from when or have just finished back testing ?? In my experience there is lots of difference between papar trading ,back testing.. & Actuall trading...

Happy Trading..

prestonmyers2 · #9 28th August 2009, 05:00 PM

Hello nifty,
Sorry to tell u that my actual trading is much better than my test results!!, this is because I test systems but I cannot program all my ideas because most are subjective in nature. These two are systems that i have been working on for the past 3 months, I have not actually traded them just backtested. But it is definately not curve fitted because if I design a system and optimize it till it fits the data then I will get astronomical resutls

Regards,
Preston.

AW10 · #10 28th August 2009, 06:56 PM

Preston
Sometime back I wrote about comparing system testing result... Plz chk out this post for more details.

http://www.traderji.com/beginners-gu...tml#post345364

Happy Trading.

The Following User Says Thank You to prestonmyers2 For This Useful Post:
karizmax (25th October 2009)

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karizmax (25th October 2009)

The Following User Says Thank You to bunny For This Useful Post:
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The Following User Says Thank You to nifty For This Useful Post:
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