Evaluation of the systems performance
- This topic has 14 replies, 3 voices, and was last updated 5 years ago by
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These might be of interest:
https://www.prorealcode.com/topic/average-gain-per-1-code-snippet/
https://www.prorealcode.com/topic/annual-percentage-returns/
On a separate note I’m not sure of the maths in your examples:
Index: 4.12 (4.19 * 1.29) surely 4.19*1.29 = 5.41?
and
Index: 1.94 (3.66 * 0.73) surely 3.66*0.73 = 2.63?
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It shouldn’t be too difficult to count the number of days by adding 1 to a variable every time date <> date[1] and to also count trades by adding 1 to a variable every time that strategyprofit <> strategyprofit[1].
Then use these in your index calculation.
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Perhaps something like this:
1234567891011121314151617if countofposition > countofposition[1] thentrades = trades + (countofposition - countofposition[1])endifif strategyprofit <> strategyprofit[1] thenaveragegain = strategyprofit/tradesendifif opendate <> opendate[1] thendaycount = daycount + 1endiftradesperday = trades / daycountindex = averagegain * tradesperdaygraph averagegain as "average gain"graph index as "index"1 user thanked author for this post.
Interesting and useful, I’ll read the Topic again later.
Wouldn’t it be sooo much better if there is a tool in PRT than enabled some degree of System Performance Comparison.
Even being able to sort the performance stats in columns would be a start … I believe / hope V11 has this?
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Yes GraHal it would be great. Imagine if we could do a personal quality index calculation in our strategy and then have the results shown in the optimisation results table – then we could sort the results based on that personal index calculation. We could compare drawdown to run up or to total gain or to win loss ratio. The options would be endless and the results far more useful.
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GraHal – I’ve sent a suggestion to PRT via the link that you provided as I’ve never done it that way before so it will be interesting to see if anything happens. I think I’ll use it every time I have a suggestion from now on just to double my chances of something that I actually want appearing in the platform!
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what mean for exemple a index value of 10 compare to 5?
Having an index is one thing – knowing what it means is another thing altogether!
For example you could have a strategy that has one trade a day with a return of £1000 for every £1 staked and then another strategy that has 1000 trades a day with a return of £1 for every £1 staked. The index score would be the same so which is better? The answer I guess is that both are strategies that each of us would love to have but the one we personally use is down to our own individual trading style.
Only by comparing lots of strategies can we understand what an index score really means and what minimum score level we are happy to accept.
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