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Kevin's TST Combine Journal

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  #11 (permalink)
Legendary Market Wizard
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jinhar View Post
Thanks for the simulator, here is what i got .

-Jinhar


I have never seen real money performance that good. Pretty awesome!

Just for reference, many pros (CTAs) consider a number of 1.0 - 2.0 a good factor for annual % return / maximum % drawdown, especially over a 3-5 year period. Your 1 year number is at 40.

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  #12 (permalink)
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kevinkdog View Post
I have never seen real money performance that good. Pretty awesome!

Just for reference, many pros (CTAs) consider a number of 1.0 - 2.0 a good factor for annual % return / maximum % drawdown, especially over a 3-5 year period. Your 1 year number is at 40.

Thanks my knowledge with stats is very limited I will have to take your word on it , I just used a smaller sample for analysis will use larger set later on and see what that produce over different simulations. happy trading and thanks again for this tool.

jinhar

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  #13 (permalink)
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jinhar View Post
Thanks my knowledge with stats is very limited I will have to take your word on it , I just used a smaller sample for analysis will use larger set later on and see what that produce over different simulations. happy trading and thanks again for this tool.

jinhar

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I would recommend putting all the trades in the list (column A on the left), as that will give more meaningful statistics. The simulator only pulls 1 years worth of trades (in your case, you indicated 1000 trades per year, or 4 per day), so it should be drawing from the whole population of trades, not just a subset.

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  #14 (permalink)
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kevinkdog View Post
I would recommend putting all the trades in the list (column A on the left), as that will give more meaningful statistics. The simulator only pulls 1 years worth of trades (in your case, you indicated 1000 trades per year, or 4 per day), so it should be drawing from the whole population of trades, not just a subset.

I did put each trades just this system is new one which m currently using so data is less then old one, the old system had more.data then this ... no.point to analyze half data..

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  #15 (permalink)
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Here is the larger set .. Thanks.

jinhar

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  #16 (permalink)
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jinhar View Post
Here is the larger set .. Thanks.

jinhar

That is still really good. Is that more than 1 year's worth of results? If less than 1 year, results might be misleading, since the simulation is for a year.

I typically use 5-10 years worth of data.

Are you trading this currently with real money?

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  #17 (permalink)
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kevinkdog View Post
That is still really good. Is that more than 1 year's worth of results? If less than 1 year, results might be misleading, since the simulation is for a year.

I typically use 5-10 years worth of data.

Are you trading this currently with real money?

Yes trading live ... I haven't traded for 10 years .. So i cant say much about that only trading for half of what you suggested till what i can tell for 4+ years i am using same methodology just changing filter sets the smaller data set first simulation is latest set of filters applied on last years system so far performance is better then last same showed by your simulator too now i can go ahead more confidently... as i said stats are something i am not great at you made a tool available i just used it .. only thing important for me is making profit consistently till that's there m good. Thanks for taking time and analyzing the data.

Thanks.

- Jinhar

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  #18 (permalink)
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I am afraid it might be off-topic from your Combine thread,

here is my stat, list contain 214 trades spanning over 34 months , since May-2010 to March -2013.

Can you explain why

1) Ruin is coming zero ?
2) why graph of Annual Rate of return - Start Equity decreases exponentially ( look so from diagram ).

any suggestion for tweak ?

PS : for 2)...is that so Simulator adjust Start Equity to profit re-invested level ?

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  #19 (permalink)
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devdas View Post
I am afraid it might be off-topic from your Combine thread,

here is my stat, list contain 214 trades spanning over 34 months , since May-2010 to March -2013.

Can you explain why

1) Ruin is coming zero ?
2) why graph of Annual Rate of return - Start Equity decreases exponentially ( look so from diagram ).

any suggestion for tweak ?

1. In your case, "ruin" is going from taking your account down to $40,000 within a year's time. Since your result is "0%", it is saying that the probability of you hitting "ruin" within 1 year is basically zero.


2. Your annual rate of return will decrease as your starting equity increases, since the program assumes you are trading 1 contract throughout the year. (If you are good at excel macros, you can easily add your own position sizing to this). So, think of it this way: If you start with $100,000 and make $25,000, your return will be 25%. But double your equity (not your size), and you'll start with $200K, still make $25K, and your return will be $12.5%.

Hope this helps!

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  #20 (permalink)
Al,India
 
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kevinkdog View Post
1. In your case, "ruin" is going from taking your account down to $40,000 within a year's time. Since your result is "0%", it is saying that the probability of you hitting "ruin" within 1 year is basically zero.


2. Your annual rate of return will decrease as your starting equity increases, since the program assumes you are trading 1 contract throughout the year. (If you are good at excel macros, you can easily add your own position sizing to this). So, think of it this way: If you start with $100,000 and make $25,000, your return will be 25%. But double your equity (not your size), and you'll start with $200K, still make $25K, and your return will be $12.5%.

Hope this helps!

Ok got that.

If i choose stop trading level to some think like 75K to 85K , near good comparable to 100K, then ruin will eventually grow up .

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