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Tag Archives: win rate
The Most Important Performance Measure of Trading Strategies
Shortly after my post on Kelly maximization I received a number of emails from traders who are developing systems but are, understandably so in my opinion, a bit confused about which performance criterion or criteria to use when evaluating them. I understand why those … Continue reading
Posted in Trading System Analysis, Trading System Design, Trading System Synthesis
Tagged genetic optimization, genetic programming, payoff ratio, profit factor, risk of ruin, trend following, win rate
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Maximizing Kelly is Equivalent to Maximizing Win Rate
My recent post on optimal trading using the Kelly formula has generated a lot of responses, questions and even challenges. A few readers have asked questions that, as they think, hide the key to the “holy grail” of investing and trading. However, as I … Continue reading
Posted in Trading System Analysis, Trading System Design, Trading System Synthesis
Tagged holy grail, Kelly formula, optimization, win rate
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What Every Trader Should Know About the Win Rate, Profit Factor and Payoff Ratio
Every trader should be aware that there is a formula that relates the win rate of a trading system, also known as percent profitability to some old-timers like me, to its profit factor and average win to average loss ratio, also known … Continue reading
Posted in Trading System Analysis
Tagged payoff ratio, profit factor, profitability, win rate
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Why trend following is hard – a quantitative answer
In this post I will try to demonstrate with a quantitative analysis why trend following is harder than other trading methods that use much shorter timeframes . I will start with the fundamental statement that a trading system is profitable if the sum of its … Continue reading