X-Trader.net - El Foro de los Traders

Hola como les va?..Bueno espero que muy bien..
Andaba con unas dudas sobre unos resultados que me mando un amigo sobre su sistema de trading que no logro entender ya que no entiendo mucho el tema de procentajes y de que cuantia es aceptable o no. Es decir, ser realista... ASi que buscaba postear los resultados aca haber si alguno me podia decir si estos resultados q tan malos o que tan buenos son.

Solo toma LONGS

Desde ya muchas gracias por la ayuda..

Aca les dejo los resultados del sistema tomado en 43 stocks del merval del 2001/hasta septiembre del 2007

Trade Parameters

Initial Capital: 100,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 10000
Position Size Model: Equal Dollar Units
Trade Size ($ value): 10,000.00
Pyramid profits: Yes
Transaction cost rate (Trade Entry): 0.20%
Transaction cost rate (Trade Exit): 0.20%
Margin Requirement: 100.00%

Trade Preferences
Trading Instrument: Stocks
Break Even Trades: Process separately
Trade Position Type: Process all trades
Entry Order Type: Market Order
Exit Order Type: Market Order
Minimum Trade Size: 0.00
Accept Partial Trades: No
Volume Filter: Ignore Volume Information
Pyramid Trades: No
Use Level Zero trades only: Yes

Trade Summary
Earliest Entry Date in the Trade Database: 21.10.1997
Latest Entry Date in the Trade Database: 12.12.2007
Earliest Exit Date in the Trade Database: 11.12.1997
Latest Exit Date in the Trade Database: 13.12.2007

Start Trade Entry Date: 01.01.2001
Stop Trade Entry Date: 12.12.2007
First Entry Date: 28.02.2001
Last Entry Date: 12.12.2007
First Exit Date: 28.03.2001
Last Exit Date: 13.12.2007

Total Trading duration: 2479 days

Profit Summary

Profit Status: PROFITABLE
Starting Capital: 100,000.00
Finishing Capital: 192,823.70
Maximum Equity/(Date): 95,456.90 (22.11.2007)
Minimum Equity/(Date): -1,812.56 (25.07.2001)
Gross Trade Profit: 176,675.45 (176.68%)
Gross Trade Loss: -83,851.75 (-83.85%)
Total Net Profit: 92,823.70 (92.82%)
Average Profit per Trade: 301.38
Profit Factor: 2.1070
Profit Index: 52.54%
Total Transaction Cost: 12,462.55
Total Slippage: -482.01
Daily Compound Interest Rate: 0.0265%
Annualized Compound Interest Rate: 10.1504%

Trade Statistics
Trades Processed: 345
Trades Taken: 308
Partial Trades Taken: 0
Trades Rejected: 37
Winning Trades: 174 (56.49%)
Losing Trades: 134 (43.51%)
Breakeven Trades: 0 (0.00%)

Normal Exit Trades: 302 (98.05%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 6 (1.95%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)

Largest Winning Trade/(Date): 8,244.40 (16.01.2003)
Largest Losing Trade/(Date): -2,729.84 (17.05.2005)
Average Winning Trade: 1,015.38
Average Losing Trade: -625.76
Average Win/Average Loss: 1.6226

Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 197 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 27 (days)
(Winning Trades)
Maximum Trade Duration: 197 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 27 (days)
(Losing Trades)
Maximum Trade Duration: 117 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 27 (days)

Consecutive Trade Statistics
Maximum consecutive winning trades: 15
Maximum consecutive losing trades: 6
Average consecutive winning trades: 2.68
Average consecutive losing trades: 2.03

Relative Drawdown
Maximum Dollar Drawdown/(Date): 7,684.22 (26.05.2005)
Maximum Percentage Drawdown/(Date): 4.2470% (26.05.2005)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: 7,684.22 (4.2470%)
Capital Peak/(Date): 180,914.45 (08.03.2005)
Capital Valley/(Date): 173,230.23 (26.05.2005)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 4.2470% (7,684.22 )
Capital Peak/(Date): 180,914.45 (08.03.2005)
Capital Valley/(Date): 173,230.23 (26.05.2005)

Performance Summary Report


All Trades
Trades Taken: 308
Total Net Profit: 92,823.70
Average Trade Profit: 301.38
Maximum Trade Profit: 8,244.40
Minimum Trade Profit: -2,729.84
Break Even Trades: 0
Winning Trades: 174
Losing Trades: 134
Percent Profitable: 56.49%
Average Winning Trade Profit: 1,015.38
Average Losing Trade Profit: -625.76

Long Trades
Trades Taken: 308
Total Net Profit: 92,823.70
Average Trade Profit: 301.38
Maximum Trade Profit: 8,244.40
Minimum Trade Profit: -2,729.84
Break Even Trades: 0
Winning Trades: 174
Losing Trades: 134
Percent Profitable: 56.49%
Average Winning Trade Profit: 1,015.38
Average Losing Trade Profit: -625.76

Alguna ayuda por favor ?...

En esos años pasó de 100.000 a 192.000.
Sin ese sistema, comprando a voleo, hubiera sacado mucho mas, el Merval subio desde finales de 2001 cerca de un 1000%


http://es.finance.yahoo.com/q/bc?s=%5EM ... z=l&q=l&c=

pasa que lo que se intento fue filtrar mucho asi no existian los años malos...
Pero si tenes rason..

Entonces fijate si utilizo la estrategia del sistema de unicamente seguir la tendencia si bien da buenos resultados; tiene años de perdidas e el equity curve

Trade Parameters
(RO Strategy1)

Trade Parameters
Initial Capital: 10,000.00
Portfolio Limit: 100.00%
Maximum number of open positions: 10000
Position Size Model: Equal Percent Units
Trade Size (% of total cap): 10.00%
Pyramid profits: Yes
Transaction cost rate (Trade Entry): 0.20%
Transaction cost rate (Trade Exit): 0.20%
Margin Requirement: 100.00%

Trade Preferences
Trading Instrument: Stocks
Break Even Trades: Process separately
Trade Position Type: Process all trades
Entry Order Type: Market Order
Exit Order Type: Market Order
Minimum Trade Size: 0.00
Accept Partial Trades: No
Volume Filter: Ignore Volume Information
Pyramid Trades: No
Use Level Zero trades only: Yes

Detailed Report
(RO Strategy1)

Simulation Summary
Simulation Date: 16.12.2007
Simulation Time: 14:23:36
Simulation Duration: 0.31 seconds

Trade Summary
Earliest Entry Date in the Trade Database: 07.04.1997
Latest Entry Date in the Trade Database: 11.12.2007
Earliest Exit Date in the Trade Database: 13.06.1997
Latest Exit Date in the Trade Database: 12.12.2007

Start Trade Entry Date: 01.01.2001
Stop Trade Entry Date: 11.12.2007
First Entry Date: 04.01.2001
Last Entry Date: 11.12.2007
First Exit Date: 08.02.2001
Last Exit Date: 12.12.2007

Total Trading duration: 2533 days

Profit Summary
Profit Status: PROFITABLE
Starting Capital: 10,000.00
Finishing Capital: 92,684.38
Maximum Equity/(Date): 82,684.38 (12.12.2007)
Minimum Equity/(Date): -2,497.45 (21.11.2001)
Gross Trade Profit: 126,469.62 (1264.70%)
Gross Trade Loss: -43,785.25 (-437.85%)
Total Net Profit: 82,684.38 (826.84%)
Average Profit per Trade: 247.56
Profit Factor: 2.8884
Profit Index: 65.38%
Total Transaction Cost: 5,501.62
Total Slippage: 2,604.45
Daily Compound Interest Rate: 0.0879%
Annualized Compound Interest Rate: 37.8300%

Trade Statistics
Trades Processed: 787
Trades Taken: 334
Partial Trades Taken: 0
Trades Rejected: 453
Winning Trades: 135 (40.42%)
Losing Trades: 199 (59.58%)
Breakeven Trades: 0 (0.00%)

Normal Exit Trades: 326 (97.60%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades: 8 (2.40%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)

Largest Winning Trade/(Date): 7,452.48 (12.12.2007)
Largest Losing Trade/(Date): -857.46 (15.08.2006)
Average Winning Trade: 936.81
Average Losing Trade: -220.03
Average Win/Average Loss: 4.2577

Trade Duration Statistics
(All Trades)
Maximum Trade Duration: 337 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 52 (days)
(Winning Trades)
Maximum Trade Duration: 337 (days)
Minimum Trade Duration: 3 (days)
Average Trade Duration: 86 (days)
(Losing Trades)
Maximum Trade Duration: 167 (days)
Minimum Trade Duration: 1 (days)
Average Trade Duration: 29 (days)

Consecutive Trade Statistics
Maximum consecutive winning trades: 10
Maximum consecutive losing trades: 13
Average consecutive winning trades: 1.96
Average consecutive losing trades: 2.88

Relative Drawdown
Maximum Dollar Drawdown/(Date): 2,902.52 (13.03.2006)
Maximum Percentage Drawdown/(Date): 12.7800% (22.05.2001)

Absolute (Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: 8,116.89 (12.5300%)
Capital Peak/(Date): 64,788.20 (02.12.2005)
Capital Valley/(Date): 56,671.30 (05.12.2006)

Absolute (Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 24.9700% (2,497.45 )
Capital Peak/(Date): 10,000.00 (18000101)
Capital Valley/(Date): 7,502.55 (21.11.2001)

Performance Summary Report
(RO Strategy1)

All Trades
Trades Taken: 334
Total Net Profit: 82,684.38
Average Trade Profit: 247.56
Maximum Trade Profit: 7,452.48
Minimum Trade Profit: -857.46
Break Even Trades: 0
Winning Trades: 135
Losing Trades: 199
Percent Profitable: 40.42%
Average Winning Trade Profit: 936.81
Average Losing Trade Profit: -220.03

Long Trades
Trades Taken: 334
Total Net Profit: 82,684.38
Average Trade Profit: 247.56
Maximum Trade Profit: 7,452.48
Minimum Trade Profit: -857.46
Break Even Trades: 0
Winning Trades: 135
Losing Trades: 199
Percent Profitable: 40.42%
Average Winning Trade Profit: 936.81
Average Losing Trade Profit: -220.03

Short Trades
Trades Taken: 0
Total Net Profit: N/A
Average Trade Profit: N/A
Maximum Trade Profit: N/A
Minimum Trade Profit: N/A
Break Even Trades: N/A
Winning Trades: N/A
Losing Trades: N/A
Percent Profitable: N/A
Average Winning Trade Profit: N/A
Average Losing Trade Profit: N/A

Como años perdedores tiene obviamente el 2001 y el 2006 los demas gana...

Alguna idea ahora, que les parece ?...