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Backtesting Report
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Backtesting Report

  #1 (permalink)
Elite Member
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Futures Experience: Advanced
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Backtesting Report

Hi all,
I would like to deepen terminology of the report backtesting to understand better the results of performance report.
What does means RINA index? It's possible to have the important explain?

Performance Report

Thanks so much,
tradingest

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  #2 (permalink)
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  #3 (permalink)
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Omer עומר / Israel י
 
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RINA Index

The RINA index is a proprietary index that combines Select Total Net Profit, time in the market, and drawdown calculations into a single reward/risk ratio, that can be used to compare strategies The larger the number the more efficient/risk adverse the strategy.
RINA Index = (Select Total Net Profit)/((average drawdown) x (percent time in the market))

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  #4 (permalink)
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Thanks for your very fast answer. A value to consider the good strategy which is?

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  #5 (permalink)
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tradingest View Post
Thanks for your very fast answer. A value to consider the good strategy which is?

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I'm more a fan of the basics :
- MAE/MFE
- Expetency
- Max drawdown

...

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  #6 (permalink)
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rleplae View Post
I'm more a fan of the basics :
- MAE/MFE
- Expetency
- Max drawdown

...

you can explain first and second in your list?

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  #7 (permalink)
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Omer עומר / Israel י
 
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tradingest View Post
you can explain first and second in your list?

Inviato dal mio SM-G900F utilizzando Tapatalk

There are very good wiki pages on futures.io (follow the links below)
if not clear let me know and i will further explain/illustrate

MAE
MFE
Expectancy

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The following user says Thank You to rleplae for this post:
 
  #8 (permalink)
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rleplae View Post
There are very good wiki pages on futures.io (follow the links below)
if not clear let me know and i will further explain/illustrate

MAE
MFE
Expectancy

the first two in your list it' clear...the last you could explain better? The first two could serve to improve risk management...woow great!!

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  #9 (permalink)
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Omer עומר / Israel י
 
Futures Experience: Master
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tradingest View Post
the first two in your list it' clear...the last you could explain better? The first two could serve to improve risk management...woow great!!

Inviato dal mio SM-G900F utilizzando Tapatalk

Expectancy is the value of the chances on win/lose

If your system is 50/50 and a wining trade is 100 and a losing trade is 100, then the expectancy is 0

if your system is 70/30 and a wining trade is 100 and a losing trade is 100, then the expectancy is 40
if your system is 70/30 and a wining trade is 50 and a losing trad id 100, then you expectancy is 5

it translates the statistic win/loss taking into account the value of the win/loss
in other words a 70/30 system with big loser, will be worse than
a system with 20/80 and big winners and small losers

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

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