Benchmarking
Posted: Tue Nov 06, 2007 11:45 am
This is the first topic I have started and I am hoping it's strong enough to generate lots of results...
Before I start, let me state that while I don't think there is any such thing as a perfect system, I do think it quite useful to look at the performance of other systems as benchmarks. If you can't beat the risk free rate of return, why would you put the capital at risk in the first place? And, if you couldn't beat a passive index, possible with the addition of a simple set of trading rules, why bother with the cost of trading actively?
So, with that in mind, I'd be interested in knowing what sort of results various traders have had -- in two ways.
First, backtesting versus actual results. I'm aware of the optimization paradox mentioned as mentioned in WOTT, but I am curious but I am intested in a bit more of the specifics. For example, is the variation 5% or 50% ... over a fair bit of time.
Second, general benchmarks. What is a good ballpark of system performance? Are we talking about 20% for the past thee years (as I think Chris67 wrote) or approximately three times the S&P500 as I read by another?
I know there is a lot left unsaid here (risk per trade, markets, initial capital, etc) and it's intentional as I would rather leave things open. If you want to indicate the general system (turtle, ADX, a suite of strategies, etc) fine. But I'm not really too interested in the details as I imagine most people consider them somewhat private.
That being said, I'll start.
I put approximately 100k into two CTA traded systems with zero correlation to each other. The backtesting over the past 3-1/2 years shows:
Average Rate of Return of 72.5%
Max Drawdown 11.6%
Sharpe ratio 2.28
Sterling ratio 3.36
Sortino ratio 5.87
MAR 6.27
The actual results are much less impressive (enough for me to select TB for the next infusion of investment capital allocated to equities), but not worrying.
Results YTD: 1.5% gain
Thanks and good trading,
Corvus
Before I start, let me state that while I don't think there is any such thing as a perfect system, I do think it quite useful to look at the performance of other systems as benchmarks. If you can't beat the risk free rate of return, why would you put the capital at risk in the first place? And, if you couldn't beat a passive index, possible with the addition of a simple set of trading rules, why bother with the cost of trading actively?
So, with that in mind, I'd be interested in knowing what sort of results various traders have had -- in two ways.
First, backtesting versus actual results. I'm aware of the optimization paradox mentioned as mentioned in WOTT, but I am curious but I am intested in a bit more of the specifics. For example, is the variation 5% or 50% ... over a fair bit of time.
Second, general benchmarks. What is a good ballpark of system performance? Are we talking about 20% for the past thee years (as I think Chris67 wrote) or approximately three times the S&P500 as I read by another?
I know there is a lot left unsaid here (risk per trade, markets, initial capital, etc) and it's intentional as I would rather leave things open. If you want to indicate the general system (turtle, ADX, a suite of strategies, etc) fine. But I'm not really too interested in the details as I imagine most people consider them somewhat private.
That being said, I'll start.
I put approximately 100k into two CTA traded systems with zero correlation to each other. The backtesting over the past 3-1/2 years shows:
Average Rate of Return of 72.5%
Max Drawdown 11.6%
Sharpe ratio 2.28
Sterling ratio 3.36
Sortino ratio 5.87
MAR 6.27
The actual results are much less impressive (enough for me to select TB for the next infusion of investment capital allocated to equities), but not worrying.
Results YTD: 1.5% gain
Thanks and good trading,
Corvus