You might very well be a better trader than me, most people on this board probably are, but you don't seem to understand the importance of statistics. Things like sharpe ratio matter. And there are other statistics that can give insight into the merits of your system. This series meets the only criteria you've been willing to give, profit of $5K and max drawdown of $1.8K. Does it look to you like it represents a valuable system you could trust going forward?
Last edited by fluxsmith; February 10th, 2011 at 10:25 AM.
No its not. But again you miss my point. For what I want to present I gave enough information. Why don't you answer my question? You may win a bear.
Do you say that to answer my question you need more info?
I'm surprised we don't see more discussion about this. The metrics on the last 50 trades of a system that takes multiple trades a day would be far more valuable than backtest going back to 1999 that includes the dotcom bust, the crisis..stuff that you can't reasonably assume going forward. If anything if the system performed great over the crash you should be biased to NOT trade it as it is almost a certainty we will not see that level of volatility any time soon.
On the original system buying 25k worth of SPY on sept 1st and holding until now would have given practically the same thing as mentioned. That is why it is not enough information to base things off.
Sharpe ratio is totally overblown IMO too. Viewing historic data as if regimes don't change is just bizarre and not very logical.
If you have two systems that both made an equal profit the last 6 months, however one took 80% shorts and one took 80% longs..the one that took 80% shorts is VASTLY more impressive and has a much higher chance that it is actually exploiting some kind of market inefficiency. That would not be reflected in common metrics though.
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