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[User Discussion] - what is a good measure of a trading system?

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[2020-07-05 20:01:11] #1 [Go To First Post]
User61576 - Posts: 418
how would you measure your backtesting / live results? what is a "good" Sharp ratio for futures systems? what will be a "good" expected Sortino ratio? anything else?

[2021-01-17 08:51:31] #2 [Go To First Post]
User61576 - Posts: 418
Does no one have any input?

[2021-01-18 07:00:59] #3 [Go To First Post]
Marmany - Posts: 303
Look at Profit Factor = (number wins x ave win) / (number losses x ave loss) < 1.0 - stay in Sim > 1.0 - go live > 1.5 - start planning for early retirement!!

[2021-02-23 16:22:29] #4 [Go To First Post]
GoldSquirrel - Posts: 18
@Marmany, Is this metric already in the "Trade Activity log"? I am trying to understand what the difference is between the "profit factor" metric toward the top of that report and the "average profit factor" toward the bottom of the Trade Activity Log.

[2021-02-23 17:37:20] #5 [Go To First Post]
Marmany - Posts: 303
On a monthly basis I log: Win : Loss ratio Ave Win : Ave Loss Profit factor as defined in # 3 and given in line 4 of Activity log Analysis of these gives ideas to improve performance in following month e.g. tighten stops, widen profit target etc The average profit factor in the Activity log is absolute value of Average winning trade / Average losing trade. Similar to the one I use. Would not like to say one is better than the other.

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