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Backtesting Report
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Backtesting Report

  #11 (permalink)
Elite Member
Milan (Italy)
 
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tradingest View Post
This value which you wrote are present into performance report Tradestation or need calculate separately. I don't never seen


This value is not present into Performance Report Tradestation.
Back to talk about values MAE and MFE. You can explain my graph? Here are the links

MAE
MAEpercent

MFE
MFEpercent

Thanks so much

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  #12 (permalink)
Trading Apprentice
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I would compare your sharpe ratio of .67 to a benchmark like buying and holding the S&P. For the last 6 years SPY has a sharpe ratio better than 1 so you would have been better off just buying and holding SPY instead of trading this system over the past 6 years.

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  #13 (permalink)
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justrandom View Post
I would compare your sharpe ratio of .67 to a benchmark like buying and holding the S&P. For the last 6 years SPY has a sharpe ratio better than 1 so you would have been better off just buying and holding SPY instead of trading this system over the past 6 years.

I don't understand. You can explain more simply to comprehend better

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  #14 (permalink)
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tradingest View Post
This value which you wrote are present into performance report Tradestation or need calculate separately. I don't never seen

Inviato dal mio SM-G900F utilizzando Tapatalk

Also known as... Net Average Profit Per Trade

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  #15 (permalink)
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kevinkdog View Post
Also known as... Net Average Profit Per Trade

Ok...therefor it's present.

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  #16 (permalink)
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Why aren't present all my trades in the graph MAE.
There is a reason?

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  #17 (permalink)
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tradingest View Post
I don't understand. You can explain more simply to comprehend better

You can get SPY' 3/5/10 year sharpe ratio from Morning Star
SPDR® S&P 500 ETF (SPY) ETFs Risk and Morningstar Rating

If you are not doing better than buying and holding an index then you shouldn't trade just to trade. With a sharpe you can compare two return streams so you can compare your system to an index. If trading commodities you could use the CRB index or something like that.
This page is a good reference with some python code:
https://www.quantstart.com/articles/Sharpe-Ratio-for-Algorithmic-Trading-Performance-Measurement

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  #18 (permalink)
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tradingest View Post
Ok...therefor it's present.

A number that I have found more meaningful is "Tharp Expectancy" developed by Market Wiazard Dr. Van Tharp.

Tharp Expectancy = avg net profit per trade/ (-avg losing trade)


Anything below 0.10 is tough to trade. I have found good system in the 0.10 to 0.25 range. The higher the better.


Note though that all these performance numbers are meaningless if the strategy was improperly developed.

It is easy, for example, to create an overoptimized strategy with great numbers. You'd likely never know that this was done just from the Performance Report.

So, be VERY careful evaluating reports from strategies you did not create...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #19 (permalink)
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kevinkdog View Post
A number that I have found more meaningful is "Tharp Expectancy" developed by Market Wiazard Dr. Van Tharp.

Tharp Expectancy = avg net profit per trade/ (-avg losing trade)


Anything below 0.10 is tough to trade. I have found good system in the 0.10 to 0.25 range. The higher the better.


Note though that all these performance numbers are meaningless if the strategy was improperly developed.

It is easy, for example, to create an overoptimized strategy with great numbers. You'd likely never know that this was done just from the Performance Report.

So, be VERY careful evaluating reports from strategies you did not create...

Here is my Performance Report and the value which you explain above is 0.26. This mean that is great!!

Attached Files
Register to download File Type: xlsx @GC_daily.xlsx (17.3 KB, 10 views)
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  #20 (permalink)
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tradingest View Post
Here is my Performance Report and the value which you explain above is 0.26. This mean that is great!!

That is indeed a good number, but it does NOT mean it is a good strategy. For example, you have 82 trades. How many rules and variables are in your strategy, and how much optimizing did you do? If you used 1 optimized variable to get that, I'd conclude one thing, but if you have 5-10 optimized variables my conclusion would be different.

Also, is this an in-sample report, or an out of sample (or walkforward) report? Again, how that report was created becomes VERY important...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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