It's Friday and it's boring. :( - page 9
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This parameter is what tells you about the potential profitability of the system as a whole.
For me, the profit factor is much more informative, if you take general estimates.
Make the target equal to the stop and see. If the system remains profitable, it's good.
No target. I have already described the general idea of such systems:
We have a signal -> we are in the market.
The signal disappears -> we exit.
Usually the disappearance of the signal means reaching a price point, so it is essentially a trawl.
Trend-following systems are characterised by the fact that they remain operational for many years. This is their essence.
There are no targets. I have already described the general idea of such systems:
There is a signal -> we are in the market.
There is no signal -> we exit.
Usually the disappearance of the signal is reaching some price point, so it is essentially a trawl.
Trend-following systems are characterized by the fact that they remain functional for many years. This is their essence.
And then what the market will give. (again, imho)
The signal is gone - trawl!
And then as much as the market will give. (again, imho)
The trick is that when the signal has disappeared - it is either a guess or a reversal. I.e. the chances are not in our favour in any case.
That's the trick, when the signal is gone, it's either a guess or a reversal. So the odds are not in our favour either way.
unless you're already in the black by the time the signal's gone. Otherwise, why do we need such a signal...
Friday!!!! Wait for me girls))
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For me, the profit factor is much more informative, if you take general estimates.
PF is not informative when reinvesting, so it is impractical. MO reflects the average profit/loss per trade.
If the MO of your TS is relatively constant over time, then it is reasonable to assume that 200 trades on the forward could yield 200 x MO pips.
unless by the time the signal goes out you are already in the black. Otherwise, why would you need such a signal...
That's the thing, the lack of a movement signal is essentially a trawl alarm.
PF is not informative when reinvesting, so it is impractical. MO reflects the average profit/loss per trade.
If the MO of your TS is relatively constant over time, then it is reasonable to assume that 200 forward trades can return 200 x MO pips.
That may well be the case... But I'm primarily interested in the stability of the system. The PF is the best way to judge about it.
Yes, to make it clearer - not just sustainability (PF is not directly related to it), but the probability of long sequences of losing trades.
Another interesting parameter is the recovery factor. But not in its usual form, but for the whole test time. Sometimes it is therefore written not as RF (it is calculated by time), but as P:MD (profit per maximal drawdown). This parameter, by the way, is good to use for estimation/selection of parameters during optimization. Here is a small illustration from tests of my systems:
PF is not informative when reinvesting, so it is impractical. MO reflects the average profit/loss per trade.
If the MO of your TS is relatively constant over time, then it is reasonable to assume that 200 trades on the forwards could yield 200 x MO pips.
MO does not provide information about risk (drawdown), so it is useless for MM and reinvestment in particular.