performance of my system

#51
You just repeated what I said :). The calculation of % (returns/drawdown) is depending on the capital. All the numbers you are saying is just merely theoretical. It will never be 70% per year (annual) on your system.

Let us assume you want to start trading this system tomorrow, with how much capital will you start per lot of Nifty? That will tell us the reality. Put the same in your amibroker, you will know the real numbers. Let us assume you want to invest 1L per lot, put 2000 as capital (you need to adjust the margin required to 25% or less in ami and the assumption is 50 is lot size for Nifty). If you want to invest 3L, then put 6000 as capital. You will get the actual % of returns ;)

Most of the traders lose because of poor MM. They may have good system, but with poor MM and unrealistic expectation, its just matter of time, it will take us down :(
hi friend
i have already cleared in advance ,that no margin money has been taken in account for analysis. so if i will start trading today ,i will certainly trade with 15 lacks starting capital with broker and with 6 nifty lot,and if in due coarse of trading if my money increases to such a level that if i could buy 7 lot than i will start trading with 7 lots and if my money reduces to such a level that if buying only 5 lot will be possible than i will trade with 5 lots, same way i will trade with maximum no. of lots ,which will be possible without using any margin amount at any point of time.practically trading with such way is easily possible.
when the backtest analysis with same position sizing technique and the total starting capital of 3 lacks has been done on nifty data of jan2002 to oct 2012 (nifty was around 1100 in jan 2002) the results are as below

Statistics
All trades Long trades Short trades
Initial capital 300000.00 300000.00 300000.00
Ending capital 222112278.96 144263727.86 78148551.10
Net Profit 221812278.96 143963727.86 77848551.10
Net Profit % 73937.43 % 47987.91 % 25949.52 %
Exposure % 96.04 % 62.61 % 33.42 %
Net Risk Adjusted Return % 76988.79 % 76641.63 % 77639.15 %
Annual Return % 83.89 % 76.71 % 67.00 %
Risk Adjusted Return % 87.35 % 122.52 % 200.47 %
________________________________________
All trades 735 368 (50.07 %) 367 (49.93 %)
Avg. Profit/Loss 301785.41 391205.78 212121.39
Avg. Profit/Loss % 0.99 % 1.28 % 0.70 %
Avg. Bars Held 11.76 15.01 8.51
________________________________________
Winners 328 (44.63 %) 169 (22.99 %) 159 (21.63 %)
Total Profit 403020496.43 224365163.27 178655333.17
Avg. Profit 1228721.03 1327604.52 1123618.45
Avg. Profit % 3.38 % 3.79 % 2.93 %
Avg. Bars Held 19.85 27.15 12.10
Max. Consecutive 8 6 6
Largest win 23303570.32 23303570.32 12481746.75
# bars in largest win 96 96 25
________________________________________
Losers 407 (55.37 %) 199 (27.07 %) 208 (28.30 %)
Total Loss -181208217.47 -80401435.40 -100806782.07
Avg. Loss -445229.04 -404027.31 -484647.99
Avg. Loss % -0.93 % -0.85 % -1.01 %
Avg. Bars Held 5.25 4.70 5.77
Max. Consecutive 12 10 11
Largest loss -3646022.43 -3646022.43 -3368599.71
# bars in largest loss 5 5 5
________________________________________
Max. trade drawdown -8442259.02 -6376254.07 -8442259.02
Max. trade % drawdown -8.03 % -8.03 % -7.36 %
Max. system drawdown -21513266.32 -20407500.13 -14426211.51
Max. system % drawdown -11.72 % -22.75 % -36.62 %
Recovery Factor 10.31 7.05 5.40
CAR/MaxDD 7.16 3.37 1.83
RAR/MaxDD 7.45 5.39 5.47
Profit Factor 2.22 2.79 1.77
Payoff Ratio 2.76 3.29 2.32
Standard Error 32707085.41 21246540.03 12340571.04
Risk-Reward Ratio 0.53 0.53 0.49
Ulcer Index 3.49 4.64 12.32
Ulcer Performance Index 22.52 15.37 5.00
Sharpe Ratio of trades 2.04 1.92 2.14
K-Ratio 0.0184 0.0184 0.0171

and if margin money would have been taken in to account as mentioned by you ,than return would be much much more than above, but with greater drawdown %. and i agree with your comment regarding MM , thats why i never considered using any margin money in analysis.
 
Last edited:

gunsho

Well-Known Member
#52
Dear Manish :). I have never talked about margin money that we keep at broker account. Its ok. As long as you have it under control, its good. If you make 70% pear year, you don't need anything else Manish. Compound it, you are going to end up the worlds richest man soon :thumb:
 
#53
Dear Manish :). I have never talked about margin money that we keep at broker account. Its ok. As long as you have it under control, its good. If you make 70% pear year, you don't need anything else Manish. Compound it, you are going to end up the worlds richest man soon :thumb:
hi friend
A good trading system is very essential and most important part, of successful trading, but it is still a part of trading game, if i could manage and control other factors, some money will surely be made.and help and suggestions from friend like you will always be required in this process.
 

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