System performance measurement

[Synergy]

What I'm after is a single number to measure the performance of my short term trading system. I doubt whether there are any hard formulas to measure this, but I'm interested if anyone uses something similar.

What I had in mind was using the following to create a usable single number:

- % of winners
- averge gain
- avg win : avg loss
- median win : median loss
- average hold time

Originally I had simply used average % gained per day held to measure this, but I want to bring the median win:loss into it to try to get a measure of consistency. I can make something up but was wondering what others do.

 

[nizar]

What I'm after is a single number to measure the performance of my short term trading system. I doubt whether there are any hard formulas to measure this, but I'm interested if anyone uses something similar.

What I had in mind was using the following to create a usable single number:

- % of winners
- averge gain
- avg win : avg loss
- median win : median loss
- average hold time

Originally I had simply used average % gained per day held to measure this, but I want to bring the median win:loss into it to try to get a measure of consistency. I can make something up but was wondering what others do.

I personally like and use CAR/max.DD to evaluate any systems I design.

 

[Trembling Hand]

I use a scatter chart to get a visual on the trading. As working out expectancy is only going to give you averages. Not really what you are after in a single performance figure but still I find useful. If you do come up with something make sure you post it. I would be interested in it.

 

[tech/a]

TH that looks a bit ugly!

 

[Trembling Hand]

Really Why? Its from my last GOOD day on the HSI.

 

[tech/a]

Cursory glance had me seeing +20 and -20 balancing with a few outliers above and below.
Closer look reveals more + than - .
While its not obvious from a quick glance I can see why your happy.
My scatter charts have a great deal more trades so are easily identifyable.

 

[Trembling Hand]

Don't want to hijack this thread have posted the results in here of this day for anyone interested. To see what a good day for little old me looks like.

 

[howardbandy]

What I'm after is a single number to measure the performance of my short term trading system. I doubt whether there are any hard formulas to measure this, but I'm interested if anyone uses something similar.

What I had in mind was using the following to create a usable single number:

- % of winners
- averge gain
- avg win : avg loss
- median win : median loss
- average hold time

Originally I had simply used average % gained per day held to measure this, but I want to bring the median win:loss into it to try to get a measure of consistency. I can make something up but was wondering what others do.

Hi Synergy --

If you are using AmiBroker as your trading platform, there are a couple of metrics that are already built in you might look at that reward equity growth, reward equity smoothness, and penalize drawdown: Ulcer Performance Index, KRatio, CAR/MDD, RAR/MDD.

If none of those fit, you can create your own custom objective function and tell AmiBroker to report it for every run. Each of the five items you list are available individually and can be combined by weighting them as you wish and adding them together.

Thanks,
Howard

 

[nizar]

Don't want to hijack this thread have posted the results in here of this day for anyone interested. To see what a good day for little old me looks like.

Wow, you really know how to clean up.
Keep up the good work champ.