國外TS高手是怎麼看performance report的？

國外TS高手是怎麼看performance report的？: "

在TradeStation Forum裡面有好幾個高手，我在他們的文章裡面學了很多，貼一個文章給大家參考一下，下面的文章是有一個叫做OpusTrader 的高手寫的。

Reading & Understanding TradeStation Preformance Report

In order to understand a strategy, you must review many numbers from a performance report. Other numbers not covered are useful but this is a good starter course.

I will base this on a scalping strategy here is the attached Performance Report.

Attachment:DATA/20090106002201TF scalper.xls 22016 bytes


This scalper strategy trades the eMini Futures, this specific report is on 5 min chart for TF (Russell)

Here is how I read the preformance report

First, I look at how many times does the strategy trades on one chart in one day. The reason the more often a strategy trades the more profit it can generate.

Attached example traded 397 trades in the last 3 1/2 months, averaging 5.3 trades per day.

Second, I look at the Avg Trade Amount. It needs to be large enough that slow order fills and/or larger than normal slippage does not kill the profitable of the strategy.

Attached example Avg Trade Profit is $162.32 (with correct commissions and slippage being subtracted from the performance report)
55% of the time this strategy trades 1 contract
35% of the time this strategy trades 3 contracts
10% of the time this strategy trades 5 contracts

Third, I like to see a Profit Factor & Ratio Avg Win-Avg Loss both above 1.5 with the percentage wins above 45%

This strategy had a Profit Factor of 1.83
This strategy had a Ratio Avg Win-Avg Loss of 2.28 (2.28 means breakeven is around 28% Winning Trades)
Percentage Winning Trades was 44.58%

Fourth, I look at the trade list specifically the run-up and drawdowns column to see how many trades made money and how much money before trade was exited at what amount in relation to the run-up and drawdown. I want to know if managing the trades will generate more profits. The example used shows good percentage of trades made a lot higher profits than automated exit point.


Fifth, I also look at the three DD number and I like to see the largest number at 15% or less of the profit and the Max DD at 5% or less.

Total Profit - $64,440
Peak to Valley DD - $8,960 is 13% of Total Profit
Close to Close DD - $7,120 is 11% of Total Profit
Max DD - $3,420 - 5% of Total Profit

Sixth, Looking at the Largest Losing Trade on the report I like 5% or less

Largest Losing Trade that occurred - $2,580 is 4% of Total Profit

Seventh, I review the Length of time in trade. Does the time in trades comply with the Golden Rule "cut your losses quickly and let your profits run"

Avg bars per Trade 5.17 bars
Avg bars per winning trade 7.24
Avg bars per losing trade 3.51 bars

It does comply with the Golden Rule, see how it cuts losses quickly an avg of 3.5 bars and lets profits run an avg of 7.2 bars.

What does this all mean ? It passes the back testing process.

After passing back testing next step is forward testing that strategy live on your simulated account. You want to see if the strategy preformance Live like it preforms in historical testing.

這個交易系統的Performance Report檔案放在這裡：

http://rapidshare.com/files/180936716/20090106002201TF_scalper.xls

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