Forum Archive Index - February 2003

["ryanrite" <ryanrite@xtra.co.nz>]

Interesting win and loss rate
Athol
----- Original Message -----
From: "Phaedrus" <Phaedrus@techemail.com>
To: <Sharechat@sharechat.co.nz>
Sent: Wednesday, February 26, 2003 2:49 PM
Subject: [sharechat] Technical Trading Systems.


> Let me give you some statistics on a completely mechanical short-term
trading system that I have been running on selected Nasdaq stocks for nearly
two years :-
>  147 Trades/23 months
>  86 wins
>  61 losses
>  Hit Rate 58.5%
>  72 Longs
>  75 Shorts
>  Average Win 10.47%
>  Average Loss 4.6%
>  Overall average return/trade 4.2%
> Note: These figures do NOT include brokerage. The reason I have left this
out is because at a flat rate of, say, $20 per round trade, trade size is a
critical factor in determining profitability. For example, with $400 trades,
brokerage amounts to 5%, and the system loses money. At the other extreme,
with a trade size of, say, $400,000, brokerage is 0.005%, and can be totally
ignored.
>  I developed and tested this system by exhaustively backtesting over many
stocks and many years. Actual results have not been quite as good as the
backtests, but are nevertheless acceptable. The worst aspect of this system
is the fact that losses seem to come in runs. At one point I had 8
consecutive losing trades. At another, 11 out of 13 trades were losses. It
takes a lot of faith to persist with any system giving such results. The
faith comes from backtesting - I knew that drawdowns of this type occur with
this system, and I knew that overall, it was robust and profitable.
>                Phaedrus.
>
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