Scoring your report data

• 11/27/2021 at 6:07 PM #182426
  nonetheless

  The point is to arrive at a number that represents the aggregate performance of all the given metrics (where higher is better).

  When you prefer a certain metric to be high (eg %win, gain-loss ratio) then I have multiplied by that number. When you want a certain metric to be low (DD, AV.Loss) then I divide by that number.

  The end result doesn’t ‘mean’ anything – it’s just a quick way of aggregating overall performance.

  For example, if the risk/reward appears low, it’s not necessarily a bad thing if it’s offset by a high %win.

  But, as I said, that formula is only my starting point – I put precisely 3 minutes thought into it.

  If you can come up with an alternative, let’s see it! 😁

   

  

  nonetheless

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  11/27/2021 at 6:31 PM #182428
  JS

  @nonetheless It’s not a criticism just a response to your question whether the formula means anything…

  

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  11/27/2021 at 6:54 PM #182429
  nonetheless

  No problem, I didn’t think it was a criticism 😁

  

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  12/02/2021 at 9:18 AM #182663
  Roger

  The MAR ratio is a good way to compare systems in my opinion

  https://www.investopedia.com/terms/m/mar-ratio.asp

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  nonetheless

  

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  12/02/2021 at 10:01 AM #182672
  nonetheless

  MAR = CAGR/DD, so it’s similar to what I’m trying trying to achieve.

  I’ve already got the /DD part, but it could be worth adding CAGR to the mix of other factors, perhaps instead of using duration (which is already implied in CAGR) ???

  

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  12/02/2021 at 11:51 AM #182702
  Roger

  From the PRT report I think CAGR is equal to (Total gains/number of contracts/number of € per point/value of the index) / ((end date of backtest-start date of backtest)/365)

  You need to import the report to Excel to do so

  

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  12/02/2021 at 11:56 AM #182703
  Roger

  For Max DD you also need to normalize it : Max DD norm = abs (Max DD/ number of contracts / number of € per point/value of the index)

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  nonetheless

  

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  12/02/2021 at 1:47 PM #182715
  nonetheless

  Roger wrote:

  For Max DD you also need to normalize it

  that’s a good point – I knew there’d be someone who understood statistics better than me 😁

  In Excel, the formula I use for compound % is (n2/n1 ^(1/p)) – 1

  where n1 is the start value, n2 is the end value and p is the number of compound periods.

  I’d assumed that compound annual gain in PRT used something similar, but I’d have to check.

  

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  12/03/2021 at 12:03 AM #182756
  Roger

  Yes PRT calculates stats in the report too but I prefer doing it myself, because I have not a big confidence in it, for example the sharpe ratios are weird sometimes.

  The difficulty is that a system trades with a fixed number of contracts, and the amount of risk taken is different when you buy 1 contract of Nasdaq at 5000 points and 1 contract at 16000 points

  

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  12/03/2021 at 6:11 AM #182761
  PeterSt

  Roger wrote:

  Yes PRT calculates stats in the report too but I prefer doing it myself,

  Maybe I am not talking about the same, but what I see about these “risk” etc. ratios is that PRT can only calculate them afterwards and applies the math to what happened in practice. This is not really the risk I took – instead it is how it worked out to be (with all being dynamic – just saying).

  

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  12/03/2021 at 10:32 AM #182774
  nonetheless

  Roger wrote:

  when you buy 1 contract of Nasdaq at 5000 points and 1 contract at 16000 points

  this could be fixed so easily if they made the exposure a constant instead of position size – not terribly difficult. As it is, the Risk/Reward is truly meaningless.

  But for present purposes, although the data we get in a backtest report may be ‘flawed’, that’s the data we get. Yes we could export to excel and recalculate everything, but too much hassle for me.

  So the problem I’m trying to solve is not how to get good absolute values that might be relevant outside of PRT, but how to arrive at a workable relative value for comparing PRT backtests.

  I often look at those numbers and think, ‘the gain/loss ratio is good, but the DD is a bit high’ or ‘risk/reward is poor but the %win is good’ etc etc

  What I want is a number that levels that sort of ambivalence.

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