Which makes a better system?

oxusmorouz

Well-Known Member
#1
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?
 
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#2
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?
hi,

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
 

oxusmorouz

Well-Known Member
#3
hi,

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
Hello zentrader,
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
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
 

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oxusmorouz

Well-Known Member
#7
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
Yes zen trader, after you have mentioned it, the result seems obvious. The drawdowns in the 2nd system is huge! Thanks a lot for sparing your time.
I use tradesim for mcs.

P.S : I shall be disturbing you with more questions in the future, if you do not mind. :)
 

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