Backtest Report Review

Hi, I have the following 2 Backtest Reports based on 2 different formulas. One of them has higher net profit % but has higher Max. Drawdown and lower Risk-Reward Ratio. While the other one has lower new profit % and has lower Max. Drawdown and higher Risk-Reward Ratio. Can you please guide me which is the better system solely in terms of metrics? Also, request your inputs and criticisms on the system. Thanks.

image

image

@SGR1995,

Better is subjective.

It depends on how you want to trade and what you can trade.

Are you a Risk Taker, and can handle big draw down numbers? Is a big drawdown % going to scare you?

Another way of looking at it might be to look at the equity curve and see if you can handle it.

You might also want to get some of Dr. Bandy's books @howardbandy and learn about the Objective Function.

1 Like

@SGR1995 IMHO both systems have a significant problem. Your "expectancy" is 0.1% in the first and 0.07% in the second, and overall 40% winners and 60% losing trades. The 40/60 ratio is not a problem, often seen with long term trend following type of systems. But the 0.1% or less?

You have not mentioned anything specific about either system and if you have included slippage and commissions. But if you haven't both of those numbers are very low and both systems will likely be losers in real trading.

1 Like