System Analysis

shapper · Feb 11, 2008

Hello,

I am creating code by myself for my trading system.I am testing them.
Besides Net Profit what other variables are usually used to evaluate a trading system?

I don't have any trading software so any help would be appreciated.

Thank You,
Miguel

Trader333 · Feb 11, 2008

There are quite a lot of possibles and here is a list of those commonly used:

Total Net Profit
Gross Profit / Loss
Total # of trades
Number winning & losing trades
Largest winning trade
Average winning trade
Ratio avg win/avg loss
Max consec Winners & Losers
Avg # bars in winners
Max intraday drawdown
Profit Factor
Account size required
Percent profitable
Largest losing trade
Average losing trade
Avg trade (win & loss)
Avg # bars in losers
Return on account

Paul

grantx · Feb 11, 2008

Miguel,

Everything Paul mentions can be done easily on Excel.

Grant.

shapper · Feb 11, 2008

grantx said:
Miguel,

Everything Paul mentions can be done easily on Excel.

Grant.

Hi,

I prefer to use Matlab ...

Thanks,
Miguel

dcraig1 · Feb 11, 2008

Other metrics of interest:

Sharpe Ratio
Sortino Ratio
% time in market

shapper · Feb 12, 2008

Hello,

Could someone tell me how to calculate the following ... or some information about it:

Gross Profit / Loss
Profit Factor
Account size required
Percent profitable
Return on account
Sharpe Ratio
Sortino Ratio

Thanks,
Miguel

dcraig1 · Feb 12, 2008

Google is your friend.

shapper said:
Hello,

Could someone tell me how to calculate the following ... or some information about it:

Gross Profit / Loss
Profit Factor
Account size required
Percent profitable
Return on account
Sharpe Ratio
Sortino Ratio

Thanks,
Miguel

shapper · Feb 12, 2008

dcraig1 said:
Google is your friend.

It is true! There is only one I wasn't able to find:

Account size required

Any idea?

Thanks,
Miguel

Chorlton · Feb 13, 2008

Trader333 said:
There are quite a lot of possibles and here is a list of those commonly used:

Total Net Profit
Gross Profit / Loss
Total # of trades
Number winning & losing trades
Largest winning trade
Average winning trade
Ratio avg win/avg loss
Max consec Winners & Losers
Avg # bars in winners
Max intraday drawdown
Profit Factor
Account size required
Percent profitable
Largest losing trade
Average losing trade
Avg trade (win & loss)
Avg # bars in losers
Return on account

Paul

In addition, I would suggest actually looking at the Equity Curve. This can normally give you a quick understanding as to how reliable over time the system is.

shapper · Feb 13, 2008

Yes,

The equity curve was one of the items that I was already looking at.

After some research I found Profit Factor to be really interesting.

Does someone usually use it?

Thanks,
Miguel

Chorlton · Feb 13, 2008

shapper said:
Yes,

The equity curve was one of the items that I was already looking at.

After some research I found Profit Factor to be really interesting.

Does someone usually use it?

Thanks,
Miguel

Are you carrying out Monte Carlo Analysis?

shapper · Feb 14, 2008

Chorlton said:
Are you carrying out Monte Carlo Analysis?

No I am not but in fact it is on my plans to try it.

System Analysis

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