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Hi,
I use an additional
parameter to the indexes ( Reward/Risk index Buy/Hold index and others )
and Average win/Average loss ratio. I call it as " Gain Angle" , following
picture explains how I define that angle. This angle contains informations
stocks volatility and system test performance, but as you can see gain angle
directly depends the number of days used in test( closer to right angle better
system or gain rewardind stock). I use this parameter to compare the tests with
equal number of data.
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regards,
taylan sekerci
----- Original Message
-----
From: "Yarroll"
<<FONT face="Comic Sans MS"
color=#c0c0c0 size=2>komin@xxxxxxxxxxxxxx<FONT face="Comic Sans MS"
color=#c0c0c0 size=2>>
To: <<A
href="mailto:metastock@xxxxxxxxxxxxxxxxxx";><FONT face="Comic Sans MS"
color=#c0c0c0 size=2>metastock@xxxxxxxxxxxxxxxxxx<FONT
face="Comic Sans MS" color=#c0c0c0 size=2>>
Sent: Friday, December 07,
2001 7:12 PM
Subject: What gives? System
performance summary
<FONT color=#c0c0c0
size=2>>
Hello List,> > I was just wondering. Does anyone use the Average
Win/Average Loss ratio> from the system's Summary Report? If so,
then how it can be used to any> useful purpose?> > This
might be a weird question to ask, I know. But I was just testing for>
various trading setups. Lets see, Ive got 2 setups that show me the>
following:> > Net Profit Total
trades Winning Trades Losing trades Avg Win/Loss>
-91
2
1
1> 0.91>
587
7
5
2> 0.55> > > I know this is hardly usable since the
1st setup has only 2 trades. But just> as an example...> Setup # 1
has a much better Avg Win/Loss than #2 (0.91 vs 0.55) and yet it> can
well be in the negative...> Setup # 2 has less than breathtaking Avg
Win/Loss but, hey, isn't 587 nicer> than -91?> Does Avg Win/Loss
tell you anything. Or, should it be used only in> conjunction with
something else (for example, Net Profit in the positive AND> a nice Avg
Win/Loss, etc.)> > > I also have a 2nd question. This one
can be a bit tricky...> Lets suppose I'm testing yet another trading
setup. It's more or less ready,> has all those results nicely lined up.
Next step, I want to add a FILTER to> my setup. Lets say this filter is
that the price action takes place above> Mov(C,100,S), whatever. Lets say
I somehow suspect that if I use this> filter, my setup could be overall
less profitable, (some entries after all> have been filtered out), yet
the remaining entries would bring more profit> per good entry than loss
per bad entry.> > Is there any way at all I could figure it out
?> a) Avg Win/Loss? That would be the natural way to go... But
those figures> bring in those weird results as shown above.>
b) a simple Hit Rate? (winners divided by losers) But this is also
hardly> usable... for obvious reasons - you could end up having a lot of
small> winners, and a few large losers.> > Please
Attachment:
Description: "advise.> > Thanks,> Yarroll"
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