performance of my system

rpc

Active Member
#31
If you do not want to put real money you can paper trade exactly according to your system rules . If you are richer at the end of say 6 mth period you may consider using it in real life.
Alternatively you can post your signals on this thread so that everyone check them.
 
#32
Well, that is exactly is the stuff which is missing in your analysis, to get some meaningful comments. You have not even considered position sizing, which means what Ami backtest gives you is wrong/unrealistic (one will never achieve it in reality). Either you are very novice that, you didn't even understand what Happy_Singh have told you above?

Its upto you and your personal decision to disclose your system or afl. You don't have to :). Same way, don't expect all seniors to jump in and comment without a meaningful data provided. For others to give some meaningful comments, you need to provide some meaningful inputs ;).

I see that Happy_Singh has already asked you to try a practical stuff. Its good to see you responded saying no futuristic looking. For compounding, I answered you how to check that. Why don't you try that and post the results so it encourages others to comment more. Its just 1 line add to your afl and posting the results :) Or did you tried it and the results were not good enough, so you ignored the post ;). Not trying to be cynical, but trying to understand what more you are expecting with the data you have provided? Enough comments are provided on what to see next.
hi
this is the result after adding the the line suggested by you and happy singh.now give your valuable suggestions.

Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 33746.34 24166.32 19580.02
Net Profit 23746.34 14166.32 9580.02
Net Profit % 237.46 % 141.66 % 95.80 %
Exposure % 17.41 % 11.52 % 5.90 %
Net Risk Adjusted Return % 1363.57 % 1229.83 % 1624.85 %
Annual Return % 11.87 % 8.48 % 6.39 %
Risk Adjusted Return % 68.14 % 73.58 % 108.39 %
________________________________________
All trades 735 368 (50.07 %) 367 (49.93 %)
Avg. Profit/Loss 32.31 38.50 26.10
Avg. Profit/Loss % 0.99 % 1.28 % 0.70 %
Avg. Bars Held 11.77 15.01 8.51
________________________________________
Winners 328 (44.63 %) 169 (22.99 %) 159 (21.63 %)
Total Profit 37589.50 20422.83 17166.67
Avg. Profit 114.60 120.85 107.97
Avg. Profit % 3.38 % 3.79 % 2.93 %
Avg. Bars Held 19.86 27.15 12.10
Max. Consecutive 8 6 6
Largest win 1088.97 1088.97 950.53
# bars in largest win 95 95 10
________________________________________
Losers 407 (55.37 %) 199 (27.07 %) 208 (28.30 %)
Total Loss -13843.16 -6256.51 -7586.65
Avg. Loss -34.01 -31.44 -36.47
Avg. Loss % -0.93 % -0.85 % -1.01 %
Avg. Bars Held 5.25 4.70 5.77
Max. Consecutive 12 10 11
Largest loss -182.40 -182.40 -160.39
# bars in largest loss 3 3 8
________________________________________
Max. trade drawdown -458.37 -458.37 -384.88
Max. trade % drawdown -8.03 % -8.03 % -7.36 %
Max. system drawdown -649.90 -708.43 -715.85
Max. system % drawdown -3.26 % -3.41 % -4.07 %
Recovery Factor 36.54 20.00 13.38
CAR/MaxDD 3.64 2.48 1.57
RAR/MaxDD 20.88 21.56 26.65
Profit Factor 2.72 3.26 2.26
Payoff Ratio 3.37 3.84 2.96
Standard Error 2113.25 995.88 1210.60
Risk-Reward Ratio 1.23 1.55 0.87
Ulcer Index 0.64 0.79 1.28
Ulcer Performance Index 10.12 3.89 0.78
Sharpe Ratio of trades 2.04 1.92 2.14
K-Ratio 0.0430 0.0543 0.0304
 
Last edited:
#33
If you do not want to put real money you can paper trade exactly according to your system rules . If you are richer at the end of say 6 mth period you may consider using it in real life.
Alternatively you can post your signals on this thread so that everyone check them.
hi
thanks a lot for your good suggestion. soon i will start paper trading and will also post signals on this thread.
 
#34
Hi Manish,

Since you are seeking sincere feedback, here's my 2C - again.

Let me again clarify that I genuinely wish you well and hope to see your system work successfully. I am reverting to you again only for the reason that my feedback can be of help, rather than providing you some off hand words of encouragement.

There is a reason for being critical of results derived by back testing systems. I am providing my one own such example... A system that looked good on testing over random periods, and I tried looking deeper to see where it could be wrong in terms of my assumptions. I noticed that the system was taking entry and exit at the start of the signal bar which is not possible in real time and real life. Hence changing the entry and exit to the next bar after the signal bar, reduced much of the promise the system offered.

There is another popular thread in the forum by HealthRaj that backtested a result of 1 lakh to 652 lakhs in 497 trading days. This thread was popular and had over 3 lakh views. But HealthRaj (Who I much appreciate and admire for his efforts and sincerity) admitted that the system did not work well...

The problem with backtesting is that one can tweak parameter and look for survivor among rules that fits the data available - but it does not work like that in real life, else every body (accountants, IT guys, professionals, corporates etc) would spend a few thousands or lakhs of rupees on a laptop and a system and do data scans tweaking RSI, ADX, MA, Bollingerbands etc and put it to work for them making money while they went to sleep.

There was a quote by a trader on the forum - The Holy Grail that everybody looks for is within - in the mind of the trader. I much agree. More than 80% of the success in the market will come from trading psychology, money and risk management, position sizing, discipline, confidence in the system, experience etc. System will form the other 20%.

BTW without any clarity on what system you are using can say little else.

I hope you take this post in the manner it is intended.

Good luck.
hi
thanks a lot for your valuable advise and suggestions. i will always keep these things in mind.
 

GTji

Active Member
#35
hi
this is the result after adding the the line suggested by you and happy singh.now give your valuable suggestions.

Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 33746.34 24166.32 19580.02
Net Profit 23746.34 14166.32 9580.02
Net Profit % 237.46 % 141.66 % 95.80 %
Exposure % 17.41 % 11.52 % 5.90 %
Net Risk Adjusted Return % 1363.57 % 1229.83 % 1624.85 %
Annual Return % 11.87 % 8.48 % 6.39 %
Risk Adjusted Return % 68.14 % 73.58 % 108.39 %
________________________________________
All trades 735 368 (50.07 %) 367 (49.93 %)
Avg. Profit/Loss 32.31 38.50 26.10
Avg. Profit/Loss % 0.99 % 1.28 % 0.70 %
Avg. Bars Held 11.77 15.01 8.51
________________________________________
Winners 328 (44.63 %) 169 (22.99 %) 159 (21.63 %)
Total Profit 37589.50 20422.83 17166.67
Avg. Profit 114.60 120.85 107.97
Avg. Profit % 3.38 % 3.79 % 2.93 %
Avg. Bars Held 19.86 27.15 12.10
Max. Consecutive 8 6 6
Largest win 1088.97 1088.97 950.53
# bars in largest win 95 95 10
________________________________________
Losers 407 (55.37 %) 199 (27.07 %) 208 (28.30 %)
Total Loss -13843.16 -6256.51 -7586.65
Avg. Loss -34.01 -31.44 -36.47
Avg. Loss % -0.93 % -0.85 % -1.01 %
Avg. Bars Held 5.25 4.70 5.77
Max. Consecutive 12 10 11
Largest loss -182.40 -182.40 -160.39
# bars in largest loss 3 3 8
________________________________________
Max. trade drawdown -458.37 -458.37 -384.88
Max. trade % drawdown -8.03 % -8.03 % -7.36 %
Max. system drawdown -649.90 -708.43 -715.85
Max. system % drawdown -3.26 % -3.41 % -4.07 %
Recovery Factor 36.54 20.00 13.38
CAR/MaxDD 3.64 2.48 1.57
RAR/MaxDD 20.88 21.56 26.65
Profit Factor 2.72 3.26 2.26
Payoff Ratio 3.37 3.84 2.96
Standard Error 2113.25 995.88 1210.60
Risk-Reward Ratio 1.23 1.55 0.87
Ulcer Index 0.64 0.79 1.28
Ulcer Performance Index 10.12 3.89 0.78
Sharpe Ratio of trades 2.04 1.92 2.14
K-Ratio 0.0430 0.0543 0.0304
AVG profit per trade is very less Rs. 32.00. I hope you have considered brokerage and slippage (and taxes of course).
It will turn into a loss making system even if you lose 1 nifty point per trade.
 
#36
AVG profit per trade is very less Rs. 32.00. I hope you have considered brokerage and slippage (and taxes of course).
It will turn into a loss making system even if you lose 1 nifty point per trade.
Hi

Its points and not rupees :)

So 32 is average number of points his system is making for every trade.


@ Manish

Look at all the numbers as points. as now you are using a fixed size on every trade of just 1 share, effectively all the results can be viewed as number of points.

Now that you have more realistic view of the system . . .

Look at the draw-down periods and losing streaks in the system, spend some time thinking about how you will feel during those trades . . .

For e.g. if you are having 7 consecutive trades making losses . . . then try going through them one - by - one and try to feel your reaction at that time i.e. after 5 and 6 losses will you be taking the next entry or will you feel compelled to change the system . . .

From the stats you posted . . .

Max. Consecutive Losers ALL: 12 Longs:10 Shorts:11

Similarly look at the draw-down period also and see if you are comfortable with it . . . if yes then go ahead and trade it . . .

I don't believe that paper trading is of much use . . .

One last thing, if you are not adequately funded, no amount of systems testing will help you . . .


Best Luck



:) Happy
 

GTji

Active Member
#37
Hi

Its points and not rupees :)

So 32 is average number of points his system is making for every trade.


@ Manish

Look at all the numbers as points. as now you are using a fixed size on every trade of just 1 share, effectively all the results can be viewed as number of points.

Now that you have more realistic view of the system . . .

Look at the draw-down periods and losing streaks in the system, spend some time thinking about how you will feel during those trades . . .

For e.g. if you are having 7 consecutive trades making losses . . . then try going through them one - by - one and try to feel your reaction at that time i.e. after 5 and 6 losses will you be taking the next entry or will you feel compelled to change the system . . .

From the stats you posted . . .




Similarly look at the draw-down period also and see if you are comfortable with it . . . if yes then go ahead and trade it . . .

I don't believe that paper trading is of much use . . .

One last thing, if you are not adequately funded, no amount of systems testing will help you . . .


Best Luck



:) Happy
32 points? Then its quite good. :)
 
#38
Now this gives good data to discuss. Good thing is strike rate, which is above most of the systems. 45% :thumb: Which is better than most of the systems. But you need patience to trade it with RR of 1.23.

Drawdown is -649 points in Nifty :( Which is something will bother when are actually going through it.

hi
this is the result after adding the the line suggested by you and happy singh.now give your valuable suggestions.

Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 33746.34 24166.32 19580.02
Net Profit 23746.34 14166.32 9580.02
Net Profit % 237.46 % 141.66 % 95.80 %
Exposure % 17.41 % 11.52 % 5.90 %
Net Risk Adjusted Return % 1363.57 % 1229.83 % 1624.85 %
Annual Return % 11.87 % 8.48 % 6.39 %
Risk Adjusted Return % 68.14 % 73.58 % 108.39 %
________________________________________
All trades 735 368 (50.07 %) 367 (49.93 %)
Avg. Profit/Loss 32.31 38.50 26.10
Avg. Profit/Loss % 0.99 % 1.28 % 0.70 %
Avg. Bars Held 11.77 15.01 8.51
________________________________________
Winners 328 (44.63 %) 169 (22.99 %) 159 (21.63 %)
Total Profit 37589.50 20422.83 17166.67
Avg. Profit 114.60 120.85 107.97
Avg. Profit % 3.38 % 3.79 % 2.93 %
Avg. Bars Held 19.86 27.15 12.10
Max. Consecutive 8 6 6
Largest win 1088.97 1088.97 950.53
# bars in largest win 95 95 10
________________________________________
Losers 407 (55.37 %) 199 (27.07 %) 208 (28.30 %)
Total Loss -13843.16 -6256.51 -7586.65
Avg. Loss -34.01 -31.44 -36.47
Avg. Loss % -0.93 % -0.85 % -1.01 %
Avg. Bars Held 5.25 4.70 5.77
Max. Consecutive 12 10 11
Largest loss -182.40 -182.40 -160.39
# bars in largest loss 3 3 8
________________________________________
Max. trade drawdown -458.37 -458.37 -384.88
Max. trade % drawdown -8.03 % -8.03 % -7.36 %
Max. system drawdown -649.90 -708.43 -715.85
Max. system % drawdown -3.26 % -3.41 % -4.07 %
Recovery Factor 36.54 20.00 13.38
CAR/MaxDD 3.64 2.48 1.57
RAR/MaxDD 20.88 21.56 26.65
Profit Factor 2.72 3.26 2.26
Payoff Ratio 3.37 3.84 2.96
Standard Error 2113.25 995.88 1210.60
Risk-Reward Ratio 1.23 1.55 0.87
Ulcer Index 0.64 0.79 1.28
Ulcer Performance Index 10.12 3.89 0.78
Sharpe Ratio of trades 2.04 1.92 2.14
K-Ratio 0.0430 0.0543 0.0304
 

Mr.G

Well-Known Member
#39
My system gives 50% strike rate and costs only once rupee coin. Operation is simple. flip coin and decide. You will be right 50% of time!
 
#40
My system gives 50% strike rate and costs only once rupee coin. Operation is simple. flip coin and decide. You will be right 50% of time!
;) I am sure you said it on the lighter note. If not, your system has the probability of success as 50%. You won't be right 50% of the time :lol:
 

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