Win/loss ratios
Win/loss ratios
Anyone got an opinion on what kind of win/loss ratio you should be aiming for as a measure of a 'good' system. ie. should wins outweigh (in terms of $) losses by 2 to 1, 3 to 1, etc. Does anyone have a standard threshold below which you junk your current settings and try again?
FYI: I just discovered this forum, and I like what I see I have never really felt compelled to participate in any others I've come across.
I don't personaly keep any hard and fast rules for my back testing. I look at the resulting equity curves from the tests and see if it looks "OK".. I look at drawdowns, length of consecutive losing trades, etc. I also try to make sure the bulk of my wins weren't all grouped during a small window of market conditions, that they relied of some anomoly, etc. (unless you can count on those conditions recurring). If you can live with the resulting equity curves and stats, then I think the "magic numbers" for things like win/loss, winning percentage, etc., are just a matter of personal preferences.
I don't personaly keep any hard and fast rules for my back testing. I look at the resulting equity curves from the tests and see if it looks "OK".. I look at drawdowns, length of consecutive losing trades, etc. I also try to make sure the bulk of my wins weren't all grouped during a small window of market conditions, that they relied of some anomoly, etc. (unless you can count on those conditions recurring). If you can live with the resulting equity curves and stats, then I think the "magic numbers" for things like win/loss, winning percentage, etc., are just a matter of personal preferences.