|
|
| Discuss Which makes a better system? at the Risk & Money Management within the Traderji.com - Discussion forum for Stocks Commodities & Forex; I seek some assistance in system development. I've enclosed 2 systems tested over 6years of ... |
|
|||||||
| Notices |
| Risk & Money Management Discuss risk and money management techniques and methods to protect your trading capital. |
 |
|
|
Thread Tools |
| Sponsored Links |
|
#1
2nd March 2007, 09:04 AM
|
|||
|
|||
Which makes a better system?
I seek some assistance in system development.
I've enclosed 2 systems tested over 6years of data on 30BSE stocks and Sensex. Both use 12.5% of equity per trade. The first one is with initial stop loss and the 2nd one has no stop (it uses a system exit). Which do you think would a better system? Last edited by oxusmorouz; 18th September 2008 at 02:32 PM. 
|
|
#2
2nd March 2007, 07:51 PM
|
|||
|
|||
|
Re: Which makes a better system?
Quote:
for me the first view shows higher profits and lower "peak-to-valley" drawdowns for the second system... ...I'd would be interesting for me, to simulate alternative simulations with my on software and publish the two results her. If you agree, I need only the following information (of both system backtests) to run the system simulations: 1. number of winning trades 2. number of losing trades 3. average profit of a winning trade (future points or $ etc.) 4. average loss of a losing trade 5. maximum loss of a losing trade 6. the test data bars were EOD, or? bye, zentrader
|
|
#3
2nd March 2007, 08:40 PM
|
|||
|
|||
|
Re: Which makes a better system?
Quote:
Thanks a lot for your response. The following figures were generated using normal portfolio simulation. They were tested on daily data. ---------------------------------- I ----------- II no of winning trades ------------- 364 ----------- 487 no of losing trades ------------- 378 ----------- 318 avg profit per winning trade ------ 5,050 ---------- 3,872 avg loss per losing trade --------- 3,173 ---------- 4,026 max loss ----------------------- 17,213 --------- 24,442 max profit ---------------------- 36,525 -------- 174,462
|
|
#5
2nd March 2007, 09:48 PM
|
|||
|
|||
|
Re: Which makes a better system?
Hi Oxusmorouz,
my simulation analysis show a contrary view. System 1 seems to be a little bit better than system 2 (under the given conditions!). You can easily see that on smaller values for my two mcs ratios ACR and WCR. You see, that my simulation software shows similar average profits as yours, but drastically higher drawdowns. The reason for this is, that the high difference between average loss of a trade and max. loss of a trade in this constellation with a medium profitability index/profit factor (only 1.5) of such systems can lead easily to such high account drawdowns in monte carlo based system simulations !!! One technical question: what kind of software you have used for the mcs results in your text file? bye, zentrader
|
|
#6
2nd March 2007, 09:55 PM
|
|||
|
|||
|
Re: Which makes a better system?
Quote:
 bye, zentrader Last edited by zentrader; 2nd March 2007 at 10:03 PM.
|
|
#7
3rd March 2007, 10:43 AM
|
|||
|
|||
|
Re: Which makes a better system?
Quote:
I use tradesim for mcs. P.S : I shall be disturbing you with more questions in the future, if you do not mind.
|
| Sponsored Links |
|
|
|
| Bookmarks |
| Thread Tools | |
|
|
Similar Threads for: Which makes a better system?
|
||||
| Thread | Thread Starter | Forum | Replies | Last Post |
| First Source makes pre-IPO placement to two US firms | Robbie | Initial Public Offers (IPO's) | 0 | 5th January 2007 05:52 AM |
| House of Pearls Fashions makes a pre IPO placement | Robbie | Initial Public Offers (IPO's) | 0 | 27th December 2006 04:30 PM |
| Who makes stupid statements that Geojit is the best? Read this. | beginner_av | Brokers & Demat Matters | 28 | 3rd November 2006 11:48 AM |
| Sensex makes another bid for 13k | Robbie | Current Affairs | 0 | 28th October 2006 03:10 AM |
| EDS makes open offer to buy 20% more in MphasiS | Robbie | Current Affairs | 0 | 20th October 2006 03:32 AM |
Indemnity, Disclaimer & Disclosure
Notice:
• By visiting Traderji.com you indicate your acceptance of our Forum
Rules Disclaimer & Disclosure and indemnify Traderji.com, its
associates and related parties of all claims howsoever resulting from
the usage of the forum.
• Disclaimer: Trading or investing in stocks & commodities
is a high risk activity. Any action you choose to take in the markets
is totally your own responsibility. Traderji.com will not be liable for
any, direct or indirect, consequential or incidental damages or loss arising out of the use of this information.
• Disclosure: The information in this forum is neither an offer to sell nor solicitation to buy any of the securities mentioned herein.
The writers may or may not be trading in the securities mentioned.
• All names or products mentioned are trademarks or registered trademarks of their respective owners.
General Content Disclaimer Notice:
In light of our policy of encouraging candid, open exchanges of views and the rapid distribution of information originating from many sources, Traderji.com cannot determine the accuracy of information that may be uploaded to the forum. Opinions, advice and all other information expressed by participants in discussions are those of the author. You rely on such information at your own risk. You are urged to seek professional advice for specific, individual situations and not rely solely on advice or opinions given in the discussions. Since Traderji.com is an open and free discussion forum, any comments made by members of this forum in their posts reflect their own views and not of the owner or administrator of Traderji.com. Thus the owner/administrator indemnify themselves of all claims whatsoever and will not be liable or responsible for any members comments/views in this forum Traderji.com. If you find any objectionable or offensive posts made by members of this forum which you would like to bring to our notice for removal then please Contact Us.
