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Date/Time: Sun, 28 Feb 2021 00:59:25 +0000



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

[2020-07-05 20:01:11]
User61576 - Posts: 182 | Ending Date: 2021-11-25
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]
User61576 - Posts: 182 | Ending Date: 2021-11-25
Does no one have any input?
[2021-01-18 07:00:59]
Marmany - Posts: 264 | Ending Date: 2021-03-28
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]
GoldSquirrel - Posts: 11 | Ending Date: 2021-04-13
@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]
Marmany - Posts: 264 | Ending Date: 2021-03-28
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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