How to compare trading systems (推荐给大家)

biorjin

These were two candicate systems before I was trying to make my very first autotrader.

At first glance, you would think the left one is better: much higher winning rate, more profit.

But if you really know something about trading systems, you should know system H on the right actually is better.

Yes, I picked system H for 3 reasons, Can anyone list them for me?

maomi

less exposure -> less risk
less trade on both long and short sides - left profit run strategy.
higher return for both long and short side than the system on left.

black

what's the max drawdown? how smooth is the equity curve?

biorjin

Good, you got 2 right

further question, do you know why fewer trades are better for autotraders?

less exposure -> less risk
less trade on both long and short sides - left profit run strategy.
higher return for both long and short side than the system on left.
maomi 发表于 2009-8-19 23:21

ajs

今天才看见哈，俺新手，说错了请老大指正，1 资金运作效率，2交易频率，3风险与回报的比率。

biorjin

MDD 5.2% for the left. 2.1% for right
sharp 2 for left, 4.8 for the right

what's the max drawdown? how smooth is the equity curve?
black 发表于 2009-8-19 23:25

maomi

hehe, thanks  BMW lao da!
fewer trade --> less commission;
the system on left hand side seems catch a smaller trend than the one on right, as less bars held for each trade.

snowball2009

BMW Laoda, IMHO here are the reasons:

1. Fewer trades: 212 vs 2173
2. Betty rish adj. return
3. Less exposure %

biorjin

commission has been counted in the result.

but slippage is not, this is why.

slippage could be a big problem in real trading, especially for a system whose winning trades only hold a little over 4bars by average

hehe, thanks  BMW lao da!
fewer traders --> less commission;
the system on left hand side seems catch a smaller trend than the one on right, as less bars held for each trade.
maomi 发表于 2009-8-19 23:33

black

Good, you got 2 right

further question, do you know why fewer trades are better for autotraders?


biorjin 发表于 2009-8-19 23:27

1. emotion.
2. you can go play golf

summer123

the data from backtest. is real trading stuck w/ the system indeed?

biorjin

you are pretty much right on the money

BMW Laoda, IMHO here are the reasons:

1. Fewer trades: 212 vs 2173
2. Betty rish adj. return
3. Less exposure %
snowball2009 发表于 2009-8-19 23:35

biorjin

autotrader means the computer has the full control of your trades. only thing you need to do is setting trading period and some perimeters

the data from backtest. is real trading stuck w/ the system indeed?
summer123 发表于 2009-8-19 23:38

biorjin

anyone noticed the trade spread btw long and short?

我是谁

BMW  you are really a nice gentleman.
I believe 好人有好报
To take your quizz  my  guess  is：
1，  H  has higher "risk adjusted return%".  For the same amount of risk,  you get higher return
2,     H  has less trades.  So you can trade in a more relaxed way,  also save comission fees.
3,     H  has  more "avg.  bar  held  for winners".   So  your position will give you green        color  for a longer time  which has more cardiac benefit and makes you a happier trader .

seabiscuit

天哪，我还在读你给的第一本书呢，还没读完。你，你，怎么就考试了？好像还不在范围内

amd2k

anyone noticed the trade spread btw long and short?
biorjin 发表于 2009-8-19 23:44

I guess what BMW saying is like this.

when buy signal,                             bid 988.25 |  988.5 ask
after 4 bars, sell signal comes         bid 988.5   |  988.75ask

In the real trade if you use limit order, you order are very likely not being filled in 4 bars.  
from backtesting result, you can get 0.5 point profit, but in the real trade you may end up using market order to buy and sell, which means no profit and loss commission fees.

Am I right?

Bencat

1# biorjin

thanks.

silverness

thank you