gain to loss ratio rules

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Viewing 15 posts - 1 through 15 (of 23 total)
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  • 09/17/2020 at 11:08 AM #144522
    ullle73

    what would an okay gain to loss ratio be to run an automated strategy? at least 1.10? 1.20? 1.50? where would be the lowest limit for you?

    09/17/2020 at 12:10 PM #144535
    GraHal

    A low gain to loss ratio can work if you have a decent % of winning trades.

    I use a rule of thumb that gain to loss X % of winning trades needs to be around 100 ish (94 to 96 passes muster ! 🙂 )

    So 1.6 x 60% = 96 is good!

    Also 1.2 x 80% = 96 gives profits over the long term … providing the Algo performance is consistent at minimum 1.2 ish and 80% ish.

    Hope above helps?

    2 users thanked author for this post.
    avatar Andrew74, avatar ullle73
    09/17/2020 at 12:50 PM #144539
    ullle73

    oh wow, that high. Then my systems are way off ^^, but thanks! You have many systems reaching those numbers?

    09/17/2020 at 1:58 PM #144550
    GraHal

    Attached is one I started Monday, very pleased so far but time will tell!? 🙂

     

    1 user thanked author for this post.
    avatar ullle73
    09/17/2020 at 2:48 PM #144555
    GraHal

    Don’t delete any of your Algo after what I said above.

    Get them on Demo Forward Test and see how they do.

    If your Algos meet the rule of 100 – ish above then you be sure to make good profits.

    Attached is another that doesn’t meet the rule of 100 but still made a healthy profit since 6 Aug 20.

     

    1 user thanked author for this post.
    avatar ullle73
    09/18/2020 at 8:57 AM #144627
    ullle73

    wow, those look great! How many strategies you have running at the same time? Any of them you uploaded here on the forum? Or anyone of them you wanna discuss? 🙂

    09/18/2020 at 9:39 AM #144635
    GraHal

    I try and run the maximum 25 on each Account .. on Demo … and here in the UK we can have 2 accounts – SB and CFD – so I run at least 50 Algos on Demo Forward Test.

    1 user thanked author for this post.
    avatar ullle73
    09/18/2020 at 12:24 PM #144652
    ullle73

    so you are not running any algos with real money?

    09/18/2020 at 8:12 PM #144724
    GraHal

    I do have a few on Real Live but I keep switching them off when I can’t monitor them! 🙂

    I manual trade mostly as – until recently – I was always disappointed / didn’t trust Algo performance.

    I am waiting for an extended down period to see if my current Algos perform as well during a downtrend as over the last few months (mostly uptrend) … on the DJI which most of mine are on.

    1 user thanked author for this post.
    avatar ullle73
    01/09/2021 at 3:15 PM #157100
    J.

    Hello GraHal , I see your calculation

    GraHal wrote:

    I use a rule of thumb that gain to loss X % of winning trades needs to be around 100 ish (94 to 96 passes muster ! 🙂 )

    However, I’d like to know the logic around this. Also how many trades should it be backtested on to know it’s a trustworthy system in your opinion?
    I’d like to make a list of criteria that every system should pass, which I can also share on this forum, so people can have a minimum standard for their systems. I think that’d be an interesting and heplful thing to do.

    But for it to happen the logic behind the criteria should also be explained I think. Since you seem quite experienced, I’d like to hear your logic behind the 94 to 96. I’m guessing the higher that number is, the better. And also your opinion about how many trades should be in the backtest. Thankyou.

    01/09/2021 at 9:13 PM #157136
    GraHal

    That should read gain to loss ratio x % of winning trades = 100 ish.

    I use above as a quick way to make a decision re (good) performance figures on a Detailed Report.

    It’s only rule of thumb. so not a  hard and fast rule, and is more rationale than logic, but we need to …

    1.    Win high £££’s per trade when we do win.
      OR
      2.    Win a lot more trades than we lose.
      OR
      3.   Algo might be profitable with a compromise on both 1. and 2.

     

    I like to see 40 to 50 trades before I am comfortable going Live with real money.

    01/09/2021 at 9:48 PM #157139
    Monobrow
    GraHal wrote:

    Attached is another that doesn’t meet the rule of 100 but still made a healthy profit since 6 Aug 20.

    83% in market? Not a fan of Stops? :0 🙂

    01/09/2021 at 10:37 PM #157141
    GraHal

     

    I’ve got a few that are 99.6% time in market.  

    I seem to be doing okay with direction reverse strategies (whatever the correct term?)oh I know … always onmarket.

    Markets either go up or down and so if my strategy profits more than loses then overall it is profitable.

    Okay markets can go sideways, but then not much profit or loss and it’s ready to take that big sudden spike up or down?

    01/09/2021 at 10:45 PM #157143
    Monobrow
    GraHal wrote:

    Markets either go up or down and so if my strategy profits more than loses then overall it is profitable.

    Yeah, im just yanking your chain.

    It seems  to me like the real hardcore traders run without stops but are super active and able to get out when required. My “problem” is that my algo relies on 24/7 data for the indicators to work and so it scares the bezeesus of out of me to run without any stops, im not sure id sleep! Although in reality, that level of extreme event is so rare i guess its not worth worrying out.

     

    what do you guys think? Stops, no stops? Depends etc?

    01/10/2021 at 12:50 AM #157161
    Monochrome

    Depends on timeframe i think?

    Having no stops on a 5min timeframe is a surefire way to go bust.

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