These results are from approximately 2006 to end of 2011.
Sunday, March 11, 2012
Some Historical Statistics
Here are some details on the strategy I am trading for the contest. These results are all based on historical testing. Please consider them as hypothetical. Once I have enough trades in 2012, I will compare the actual contest results to these values.
These results are from approximately 2006 to end of 2011.
These results are from approximately 2006 to end of 2011.
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Clarification on expectancy figure, is the formula used win%*avg win - lose%*avg loss?
ReplyDeleteUsing this formula, I got
0.56*874-0.44*644 = 206.08
and
0.53*1322-0.47*806 = 321.84
I use expectancy = avg trade / (avg loss)
ReplyDeleteThis puts it into terms of avg. dollars risked (lost)
so 206/(-644) = .32 and 319/(-806) = .39
So, you did it right, except I divide by the average loss. That lets me compare various trading systems more easily.
Win% Lose% Avg Win Avg Lose Divide lose Divide win
ReplyDelete56% 44% 874 -644 206.08 32.00% 23.58%
53% 47% 1322 -806 321.84 39.93% 24.34%
When I divide by the average win, I actually got a more conservative number.
By the way, do you apply a generic money management algorithm for all the systems that you are trading, or do you think it would be better to tailor a specific money management algorithm for each system?
I am not sure the meaning of the number that dividing by avg wins gives.
ReplyDeleteAs far as money mgmt, I keep it simple, and try to use the same for everything. Of course, some schemes will work better with some systems, but when you do that, you are optimizing to an extent.