Tag Archives: win rate

Strategies With High Win Rate And Lower Payoff Ratio

Maintaining a constant profit factor while lowering the payoff ratio requires a strategy with higher win rate. In general, high win rate strategies are more difficult to develop but when combined with lower payoff ratio usually perform better during times … Continue reading

Posted in Trading System Synthesis | Tagged , , , , , , | Leave a comment

Downtrends in Stocks May Involve a High Proportion of Winning Days

The downtrend in stocks due to the financial crisis is a good example of a situation where a large correction occurs while the proportion of winning days stays high. This can offer bulls a wrong impression of a pending reversal … Continue reading

Posted in Market Statistics | Tagged , , | Leave a comment

Rolling Expectation, Expectancy and Win rate of SPY

The rolling expectation, expectancy and win rate of SPY reveal interesting facts about the dynamics of the stock market.

Posted in Market Statistics, Quantitative trading | Tagged , , | Comments Off on Rolling Expectation, Expectancy and Win rate of SPY

BlueTrend Fund, Trend-Following and Data-mining

The BlueTrend fund returned 45.78% in 2008, in a year that the S&P 500 index fell 37% on a total return basis. However, in recent years the performance of the fund has deteriorated. I first present an analysis of the … Continue reading

Posted in Trading System Design, Trend following | Tagged , , , , , | Comments Off on BlueTrend Fund, Trend-Following and Data-mining

The Market Has Not Seen a Strong Up Day for Longer Than It Has Not Seen a Strong Down Day

It is a fact that the S&P 500 hasn’t had a -2% drop in the last 68 days but it also hasn’t had a 2% rise for 193 days. The market has given bears plenty of room to escape.

Posted in Market Statistics | Tagged , | Comments Off on The Market Has Not Seen a Strong Up Day for Longer Than It Has Not Seen a Strong Down Day

Risk of Ruin For Dummies

A good percentage of  traders and investors get ruined because they are deceived into believing that they can be profitable in the longer term even if they are wrong more often than they are right provided they win multiples of what they lose, on … Continue reading

Posted in Risk Management | Tagged , , | Comments Off on Risk of Ruin For Dummies

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 , , , , , , | Comments Off on The Most Important Performance Measure of Trading Strategies