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Cobra, it depends on the time frame. If somebody doesn't mind when his capital is tied up for a longer period the bigger stop loss makes sense. The placement of the stop loss is in context with time frame...Cobra wrote:I need a help:
I designed a system, the back test shows, the bigger the stop loss, the higher the winning rate and for the 10K invested, the bigger stop loss even gets better performance, so it seems the bigger stop loss is not a problem here. However the stop loss reads ridiculous to me, if you think 6*ATR(10) is acceptable, how about 20*ATR(10)? Anyone has better idea to check besides the winning rate, the performance, anything else I can add to judge which parameter is the best to use? I really don't want to use a system with 20*ATR(10) as stop loss.
Simple way is to use: Information ratio/sharpe ratio: http://www.investopedia.com/terms/s/sha ... z1ss9PdK4RCobra wrote:any easy way to measure this?q2model wrote:Cobra wrote:I need a help:
I designed a system, the back test shows, the bigger the stop loss, the higher the winning rate and for the 10K invested, the bigger stop loss even gets better performance, so it seems the bigger stop loss is not a problem here. However the stop loss reads ridiculous to me, if you think 6*ATR(10) is acceptable, how about 20*ATR(10)? Anyone has better idea to check besides the winning rate, the performance, anything else I can add to judge which parameter is the best to use? I really don't want to use a system with 20*ATR(10) as stop loss.
How about volatility of the performance?
Cobra wrote:also the question is how to measure the performance.
The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?
So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?
absolutely. you need to annualize the performance to get a better hold of how successful the strategy is. obviously, you can do this by measuring the CAGR of the system. another often used practice is calculating the sharpe ratio of your system. if your variance is too high, your stop loss too wide, your sharpe ratio will surely suffer.Cobra wrote:also the question is how to measure the performance.
The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?
So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?
MrMiyagi wrote:Yahoo headline over the weekend said we were gonna have a good week
hahaha...then again, all of these systems analysis are fraught with their own sets of subjective opinions (stastically measured opinions of course! ).q2model wrote:Cobra wrote:also the question is how to measure the performance.
The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?
So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?
Not necessarily true -- can you do 15% in the next 4 years? There is opportunity cost as well, if for next 4 years, you can only make like 1%, then you are better off with 60% in 5 years
bear fake out ahead of fed meeting .. bottom todayCobra wrote:with important support broken, now we all know the next target. to me, a little lower low is enough. I don't hope much on the bear side as overall this is not a bear friendly market.
OK, let's define "annualize".jarbo456 wrote:absolutely. you need to annualize the performance to get a better hold of how successful the strategy is. obviously, you can do this by measuring the CAGR of the system. another often used practice is calculating the sharpe ratio of your system. if your variance is too high, your stop loss too wide, your sharpe ratio will surely suffer.Cobra wrote:also the question is how to measure the performance.
The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?
So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?
over 2.5% run today, only showing green shoot. I will buy once it pull back to 5dma (14.62)Petsamo wrote:Anyone wanna short UNG ?
Cobra wrote:OK, let's define "annualize".jarbo456 wrote:absolutely. you need to annualize the performance to get a better hold of how successful the strategy is. obviously, you can do this by measuring the CAGR of the system. another often used practice is calculating the sharpe ratio of your system. if your variance is too high, your stop loss too wide, your sharpe ratio will surely suffer.Cobra wrote:also the question is how to measure the performance.
The simplest way is you invest 10K, if at the end you get 6K, so your performance is 60%, right? But the question is, your 60% in 5 years or in 1 year, so time should be the factor, correct? Therefore in order to compare the performance, I need convert all the return to yearly based, then add them together, correct? The highest return one it the best performance one, correct?
So in this case, you got 60% in 5 years, but I got 15% in 1 year, 1 year performance 15% vs 60% / 5 = 12%, so apparently the 15% 1 year is better, correct?
Assume 260 trading day a year.
you get 1% in 10 days, so your annualized return is 26%, correct?
As for sharp ratio, seems very difficult to write a program to calculate it. I need a simple formular. Nowadays, in my system, because of Pyramid support, I need calculate exact entry, exit, and position. All by myself, I cannot rely on a software that supports all this. So I don't have the sharp ratio.