Metrics For Longer Term Systems

This topic is empty.

Viewing 5 posts - 1 through 5 (of 5 total)

Author

Posts
September 14, 2020 at 3:09 am #102046

TerryDunne
Participant

Hi all,

I’m now working on longer term systems – weekly & monthly – as many of you have already done and implemented, so I’m hoping to benefit from your advice

The stats are so bad compared to MOC/MR systems, which makes me think that perhaps I shouldn’t be choosing and allocating cash for longer term systems using metrics such as Sharpe Ratio.

I’d be interested to know what people use, is it good old Expectancy? Or perhaps people are still using Sharpe Ratio? Maybe something altogether different?

I’d welcome your suggestions.

Thanks all!

Terry

September 14, 2020 at 5:31 am #112157

GlenPeake
Participant

Hi Terry

I’ll look at (depending on the type of system, generally in this order)

CAR/MDD
% Winners vs Losers
Profit Factor
Payoff Ratio

….and if a have a few variations of the same system I’m building and much of the statistics are fairly similar, then perhaps use something like the Sharpe Ratio as a ‘tie-breaker’ and go with that variation…..

I don’t have a strict policy of ‘Sharpe Ratio’ has to be a minimum of X etc etc

But I guess it also comes down to personal preference and what you’re comfortable trading etc.

What sort of system are you building? What do the stats look like atm??

September 14, 2020 at 6:26 am #112158

Nick Radge
Keymaster

I agree with Glen. Rarely will you get a high Sharpe with any style of trend following system.

MAR ratio > 0.8 and CAGR > 15% are my two benchmarks

September 14, 2020 at 11:52 pm #112159

TerryDunne
Participant

Hi Glen,

I have four longer term systems in prototype mode at the moment, two using the the WTT structure and two using monthly momentum.

All four systems have CAGR in the high teens (on average via Monte Carlo) with draw downs in the 20%-30% range. Sharpe ratios are around 0.3.

September 14, 2020 at 11:59 pm #112160

TerryDunne
Participant

Thanks Nick – benchmarks I can use, will review tonight!
Author

Posts

Viewing 5 posts - 1 through 5 (of 5 total)

You must be logged in to reply to this topic.

What We Offer

Resources

Members

The Chartist