Is a positive expectancy of 1 ES point/trade considered good?

Jul 25, 2007
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#1
Winning percentage: 69.77
Average winner: 4.15
Average loser: -6.26

My average winner is lower because my scratch trades tend to be 1-2 ticks in the money to cover commissions.
 

Adamus

Well-known member
Mar 25, 2008
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#2
Whether it's good or not depends entirely on whether you can execute your system in the markets, or whether it's just paper trading or backtesting.

And after that's established, there are many ways of expressing the profitability of a system. Different traders have different preferences. It might be the slope of your equity curve, for instance.
 
Apr 5, 2005
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#4
Winning percentage: 69.77
Average winner: 4.15
Average loser: -6.26

My average winner is lower because my scratch trades tend to be 1-2 ticks in the money to cover commissions.
This translates to an approximate profit factor equal to: (4.15/6.26) x 0.6977/(1-0.6977) = 1.53

Meaning that for every dollar lost you make one and a half dollars.

Not good enough. I wouldn't trade anything with a profit factor less that 2.00 minimum.
 

Rhody Trader

Well-known member
Dec 11, 2004
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Massachusetts
www.TheEssentialsOfTrading.com
#5
This translates to an approximate profit factor equal to: (4.15/6.26) x 0.6977/(1-0.6977) = 1.53.
Meaning that for every dollar lost you make one and a half dollars.

Not good enough. I wouldn't trade anything with a profit factor less that 2.00 minimum.[/QUOTE]

You can't make an assessment of "not good enough" without taking into account trade frequency, and I would contend that your "profit factor" is a less useful indication than expectancy (avg win x win%)-(avg loss x loss%). With expectancy you can get to a total expected profit figure by multiplying out by the number of trades expected during a given period. With profit factor you've just got some number.
 
Jul 25, 2007
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#6
There's also the question of trade frequency. A 1 point expectancy might be great if you're doing a couple of trades a day, but probably isn't too exciting if it's one trade a month.

Also, over what timeframe have you developed these results?
It's working out to an average of 12 trades/day.

Results were developed from the last 30 live trading sessions (I was paper trading prior to that).
 
Jul 25, 2007
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#7
This translates to an approximate profit factor equal to: (4.15/6.26) x 0.6977/(1-0.6977) = 1.53

Meaning that for every dollar lost you make one and a half dollars.

Not good enough. I wouldn't trade anything with a profit factor less that 2.00 minimum.
The problem is my profit factor on the long side is 1.0, while my profit factor on the short side is 4.0.

I kept mistiming the epic rally we were sure to have, and when it finally came, I missed both of them.