OmniTrader Forum : Portfolio Simulation Mode : Deleting Thread PortSim Statistics RoT

aztrix

Veteran

Posts: 116

Joined: 6/16/2004
Location: Sydney, NSW, Australia

Subject : PortSim Statistics RoT
Posted : 9/28/2021 10:38 AM
Post #48313

Howzit Folks?

I'm comparing different strategies, filters, exits, settings, etc. and altho I have a rough idea, I would appreciate the opinions of the experts regarding RoT (Rules of Thumb) when it comes to analysing PortSim Statistics.

I guess what I'm interested in finding out is what your priorities are e.g. ROI, Max Drawdown, Calmar Ratio, Percent Profitable, Win-Loss ratio, Max Consecutive Wins:Max Consecutive Losses, etc. to name a few. And what thresholds you use for RoT above or below which you would not consider it tradeable e.g. Ann ROI > 10%, Ann MDD < 5%, Calmar Ratio > 2.5, etc.?

I realise this depends on trading style, risk appetite, account size, etc. but I believe any info valuable to stop chasing phantoms 😄

I'd appreciate your thoughts on the subject

Cheers
Aztrix

P.S. I've listed the stats for reference below:

Equity
Starting Equity
High Equity
Low Equity
Final Equity

Equity Analysis
Net Profit
ROI
Max Drawdown
Max Drawdown %
Max Drawdown % Date
Largest Loss On Equity
Profit Factor
Return-Drawdown Ratio
Modified Sharpe Ratio
Avg Ann ROI
Avg Ann MDD
Calmar Ratio

Position Size
Max Size
Max Size $
Min Size
Min Size $
Avg Size
Avg Size $

Trades
Number of Trades
Percent Profitable
Win-Loss ratio

Largest Win
Largest Win %
Average Win
Average Win %
Max Consecutive Wins

Largest Loss
Largest Loss %
Average Loss
Average Loss %
Max Consecutive Losses

Average Profit
Average Profit %

Average Invested %
Profit Standard Deviation

Simulation Parameters
Max Longs %
Min Longs %
Max Longs
Max Shorts
Percentage of Equity