Posts: 116
Joined: 6/16/2004
Location: Sydney, NSW, Australia
User Profile 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 |