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Recovery Factor : Is it important?

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Dua Yong Rew
5438
Dua Yong Rew  
is it important? what is a good value?
phi nuts
2184
phi nuts  
doshur:
is it important? what is a good value?
What did you mean by recovery factor ?. Recovery factor of account balance from losing ?, recovery factor of EA suddenly not running for n minutes ? 
Documentation on MQL5: Standard Constants, Enumerations and Structures / Environment State / Account Properties
Documentation on MQL5: Standard Constants, Enumerations and Structures / Environment State / Account Properties
  • www.mql5.com
Standard Constants, Enumerations and Structures / Environment State / Account Properties - Documentation on MQL5
Moses Olawale  Ajayi
2398
Moses Olawale Ajayi  
doshur:
is it important? what is a good value?
I don't understand the question
Dua Yong Rew
5438
Dua Yong Rew  
I mean the recovery factor I see in the strategy tester report
Dua Yong Rew
5438
Dua Yong Rew  
anyone?
Achmad Hidayat
14767
Achmad Hidayat  
doshur:
anyone?

According to MQL5 documentation and Metatrader5's help. Recovery factor mean value reflects the riskiness of the strategy - the amount of money risked by the Expert Advisor to make the profit it obtained. It is calculated as the ratio of a profit obtained to the maximal drawdown;

Thus, the greater the value of the recovery factor, the better.

Dua Yong Rew
5438
Dua Yong Rew  

i develop some strategies

for those which is profitable, meaning profit factor > 1.0, I get recovery factor ranging for 0.x to maybe 4.x

so it is a little confusing how exactly does recovery factor values stand out

graziani
1969
graziani  

It is a kind of a description of a strategy.

When you compare strategies, it can be used to see difference between strategies.

When you develop a strategy, it is irrelevant.

Rogerio Figurelli
Moderator
40371
Rogerio Figurelli  

I totally agree with Achidayat: the greater the value of the Recovery Factor, the better. 

But in my opinion, perfect is the enemy of good and each strategy has a Recovery Factor range that is more appropriate and realistic.

Furthermore, I believe that there is a proper balance between several relevant parameters, such as Drawdown, Profit Factor, Recovery Factor, Sharp Ratio, etc. that are appropriate for each strategy or Expert Advisor under test.

 

Steven Theobald
852
Steven Theobald  

Now I see what the Recovery Factor is and I love it as a metric.   

As Achidayat points out, it appears to be taking the maximal draw down on the whole balance of the account as the denominator and using the total balance on the account as the numerator. 

I think this and Sharpe may be some of the most important metrics for followers to see and compare since the objective of the signal following service first and foremost is DON'T LOSE MY MONEY.  Only then can we achieve the second objective which is MAKE ME SOME MONEY.

Is there any way to sort signal systems by this metric or Sharpe or ProfitFactor?  (Or only sortable by growth, equity, price, subs, date created)

Rogerio Figurelli
Moderator
40371
Rogerio Figurelli  
TalonTrader:

Now I see what the Recovery Factor is and I love it as a metric.   

As Achidayat points out, it appears to be taking the maximal draw down on the whole balance of the account as the denominator and using the total balance on the account as the numerator. 

I think this and Sharpe may be some of the most important metrics for followers to see and compare since the objective of the signal following service first and foremost is DON'T LOSE MY MONEY.  Only then can we achieve the second objective which is MAKE ME SOME MONEY.

Is there any way to sort signal systems by this metric or Sharpe or ProfitFactor?  (Or only sortable by growth, equity, price, subs, date created)

As far as I know there is no way yet to sort by this metrics, but in terminal signals folder you have more options than web, for example DD, pips, avg pips, etc.
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