Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

maildigger

Which System Would You Prefer?

Which System Would You Prefer?  

8 members have voted

  1. 1. Which System Would You Prefer?

    • A
      2
    • B
      6


Recommended Posts

*both systems traded in may & june

*both systems trade the US indices

*no overnight risk

*max daily risk = 2.5% of capital

 

 

A)

40% winners

60% losers

expectancy/contract = 0.6 point

 

made 23%

 

B)

60% winners

40% losers

expectancy/contract = 3.25 point

 

made 8%

Share this post


Link to post
Share on other sites
Guest forsearch

C. Neither.

 

Without knowing the per trade stop-loss limit for each, I wouldn't trade either.

 

-fs

Share this post


Link to post
Share on other sites

If you read the "System Developement with Acrary" thread on elitetrader and Evidence Based Technical Analysis, it seems the best way to judge a system with our current tools is to run monte carlo simulations of the same hold time as your systems to see that your system does much better than random.

If you were to find that both systems have an edge better than random then you would probly want to check for the correlation between the systems themselves. If they are strongly correlated then you would want to go with the system with the better sharpe I would think.

If the systems are weakly correlated togather then you might want to run both at the same time if they have an edge better than random.

Share this post


Link to post
Share on other sites

Well, I mean i guess you could just trade the one with the better sharpe ratio.

To me the biggest issue though is only testing on trades in may and june. I think you really need to question if that is a robust enough test as those two months had pretty similar volatility, trend/rangebound characteristics to them. Right now its pretty impossible to say if your system is exploiting a characteristic of the market or simply gets lucky under the specific trade characteristics from may/june.

Share this post


Link to post
Share on other sites

Are you talking automated or discretionary though? For discretionary, I would think the key is to simply keep very good metrics on your performance and also judge your trading against some measure of volatility like the VIX. Who knows, maybe there is nothing wrong with you method but you either get scared with a jump in volatility or the method fails from lack of volatility. How exactly you would do that though I'm not sure.

For automated I just don't see anyway around monte carlo simulations against either detrended and/or "de-volatilized" data. If your just doing historic backtest with optimizations I don't see how you can get around the fact that you will never know if you have an edge or if your simply curve fitting to the trend/lack of trend, volatility/lack of volatility that is present in the data your testing against. Even if your not using optimization, you can't know if your system has a real edge or if you have just got lucky as far as the situation goes with the data your testing against. You need something to test against thats not the data itself(ie..10,000 random trades from a monte carlo engine)

Share this post


Link to post
Share on other sites
Maybe I should ask another question! How would you compare (on which criteria) 2 systems and determine which one is better?

 

Damn, well I'd have to go with forsearch and say "Neither" as well. I guess it depends on what your acceptable win ratio or profit target is!

 

Any system that had at BEST --40% Losing trades, I'd keep trying to find a better "edge"

 

I could flip a coin and get nearly the same results with quite a bit less mental strain!

 

Sledge

Share this post


Link to post
Share on other sites

I would also have to know what the average risk is and the average loss is on both systems.

 

How can we evaluate the advantages of a system with understanding the risk?

 

In all of my systems that i created over the years (more methodologies than "systems") I only started getting successful after I started looking at the market from a viewpoint of where can i get into a move with the lease amount of risk.

 

BE RISK AVERSE PRIMARILY, and PROFIT HUNGRY SECONDARY.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • Question: To those that had/have cancer, what were the signs that made you think “something is not right here” to make you go see a doctor? Answer: So, 5/25/2018, I woke up, got ready for work, and as I walked to my car, I started gagging. Like something was stuck in my throat and I needed to clear it. And then it went away.   But 10 minutes after that, I was T-boned at 40mph on the driver side door. But what made me see a doctor was while my muscles felt better and bruises were going away, the gagging still continued, I started having fevers, my neck felt swollen, I was having such a hard time breathing, and I'd have random sharp pains in my chest, but not from where the seat belt saved me.   2 weeks after the accident, I finally see an urgent care doctor, who looks me over, tells me I'm fine, but luckily requests a neck X-ray. And I ask for a chest X-ray, which he rolls his eyes but let me have (most of my pain was in the neck, so I understand).   The very next day, he calls and says “So, that chest X-ray shows there's a 4 inch mass on your heart and lungs, and your lungs have been filling up with fluid, as well as in your pericardial (heart) wall. We need you to come in tomorrow.”   Turns out the big mass, due to the accident, caused my heart and lungs to tear and fill with fluid, the swollen neck and gagging was caused by 2 metastasized tumors, and the fevers and weight loss were symptoms. Stage 4b Hodgkin's Lymphoma.   But thankfully, we went very aggressive with chemo (and had a lot of bad side effects that don't normally happen to patients), and now I'm about 16 months cancer-free. Yay lucky X-rays! Rachel Jurina, Quora Source: https://www.quora.com/To-those-that-had-have-cancer-what-were-the-signs-that-made-you-think-something-is-not-right-here-to-make-you-go-see-a-doctor   Profits from free accurate cryptos signals: https://www.predictmag.com/  
    • As a man, the reality of life is the harshest part. I don’t mind looking older or becoming weaker over time; it’s nature.   Have you ever heard that the only people who will be loved unconditionally are women and children? Men will only be loved as long as they can provide until they are no longer needed. It doesn’t matter if you already did your best to get your kids to the best school or get the best things for them, if you stop before they’re done with it, there will be no thank you. The only thing they will remember is that they have to quit school at 15, ignoring all the previous 15 years of life you provided for them. The only people who will accept you, no matter what, are your parents. But in this situation, you might be that ungrateful child.   EDIT: Wow, I didn’t think this would get so much attention.   For those who disagree, I can only say that everyone has their problem. If you don’t get the chance to face such a thing, be grateful. Remember, sometimes what you throw in the garbage is something that someone wishes ever to have.” – ElZee, Quora   Profits from free accurate cryptos signals: https://www.predictmag.com/    
    • The good thing i had noticed so far is that the traderpot value is also on the rise..
    • yup its a gradual rollout the right way in my opinion, its really good and its exciting for the sto in 2027
    • there is no avoiding loses to be honest, its just how the market is. you win some and hopefully more, but u do lose some. 
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.