performance of my system

Mr.G

Well-Known Member
#41
;) 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:
Obviously man! This persons system is right 45% of the time. What would you want? A coin or his system?
 
#43
32 points? Then its quite good. :)
hi
this system is giving 32 nifty point average profit on every trade.but this backtesting has been done on jan 2002 to oct 2012 data, and nifty was around 1000 in 2002. at 2002 earning 10 point was equal to earning the 1 % profit, and equal to earning around 55 points of today. this system is giving 1% average profit in every trade, and you can calculate the corresponding nifty point profit by considering the 1% value of nifty at any considered time.
 
#45
hi
this system is giving 32 nifty point average profit on every trade.but this backtesting has been done on jan 2002 to oct 2012 data, and nifty was around 1000 in 2002. at 2002 earning 10 point was equal to earning the 1 % profit, and equal to earning around 55 points of today. this system is giving 1% average profit in every trade, and you can calculate the corresponding nifty point profit by considering the 1% value of nifty at any considered time.

All this is easily doable using ami, you can get backtest results directly in % terms

Maybe you should spend some more time reading the Amibroker help :)

Anyway use this code to get returns in % terms

Code:
SetPositionSize(100,1);
Make sure your backtester setting allows fractional # of share i.e. set the default round lot size to zero




:) Happy
 
#46
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
thanks for comments. drawdown of 649 points of nifty is around 11.5%, this seems little more but considering the average annual return of 69%(without compounding effect) and around 87%(with compounding) ,this can be considered as reasonably good lower side drawdown.
This can be further reduced by adopting position sizing ,but position sizing will also reduce the average annual returns in the same (nearly same or some times more than drawdown) ratio.
 
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gunsho

Well-Known Member
#48
hi
thanks for comments. drawdown of 649 points of nifty is around 11.5%, this seems little more but considering the average annual return of 69%(without compounding effect) and around 87%(with compounding) ,this can be considered as reasonably good lower side drawdown.
This can be further reduced by adopting position sizing ,but position sizing will also reduce the average annual returns in the same (nearly same or some times more than drawdown) ratio.
Manish, your system is definitely making positive money. No question on that, but read the realistic one when it comes to numbers. Below is what I read in your results after reducing compounding effect, which means, ideally its about 11+% annually.

Initial capital 10000.00
Ending capital 33746.34

To make drawdown of 649 to 11%, you need to deploy a capital of 3L plus per lot. Are you sure you have taken that into account? Generally I have seen people having capital of 1L per lot or max 1.5L per lot.

Summary, the realistic returns or drawdown needs a realistic capital to be considered. Your returns per year or drawdown % will change when you change the capital used per lot. All the best. I see that you are tuning your system in a nice way. Next challenge will be executing it with patience :thumb:
 
#49
Manish, your system is definitely making positive money. No question on that, but read the realistic one when it comes to numbers. Below is what I read in your results after reducing compounding effect, which means, ideally its about 11+% annually.

Initial capital 10000.00
Ending capital 33746.34

To make drawdown of 649 to 11%, you need to deploy a capital of 3L plus per lot. Are you sure you have taken that into account? Generally I have seen people having capital of 1L per lot or max 1.5L per lot.

Summary, the realistic returns or drawdown needs a realistic capital to be considered. Your returns per year or drawdown % will change when you change the capital used per lot. All the best. I see that you are tuning your system in a nice way. Next challenge will be executing it with patience :thumb:
hi
this is not correct, dont look at the intial capital and final capital, because in this analysis only trading of one nifty has been considered for every trade stage irrespective of capital, and this will change as soon as we change the intial capital ,if intial capital is changed to 100000 than result will be show CAR around 1.98 %. so here risk adjusted return will give true picture which is around 69 %.
this is also clear from the fact ,that this system is giving .99% average profit for every trade and total 735 trades for the jan2002 to oct 2012 data, means average 70 trades per year, and around 69 or 70% average annual return, even if compounding is not considered.
 
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gunsho

Well-Known Member
#50
hi
this is not correct, dont look at the intial capital and final capital, because in this analysis only trading of one nifty has been considered for every trade stage irrespective of capital, and this will change as soon as we change the intial capital ,if intial capital is changed to 100000 than result will be show CAR around 1.98 %. so here risk adjusted return will give true picture which is around 69 %.
this is also clear from the fact ,that this system is giving .99% average profit for every trade and total 735 trades for the jan2002 to oct 2012 data, means average 70 trades per year, and around 69 or 70% average annual return, even if compounding is not considered.
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 :(
 

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