Hi, I am looking for advice on what the most important back testing objective/metric is from experienced traders. I follow Dr. Bandy for a lot of my ideas and help with programming and testing my own ideas. I follow his mantra of trade frequently, trade often and avoid large losses. But from what I can tell the only metric that shows "number of trades" is Avg. Profit/Loss %** , also known as Expectancy (%) - '(% Profit of winners + % Loss of losers)/(number of trades), represents expected percent gain/loss per trade. But from what I have read about the Sharpe ratio it also accounts for number of trades but in the Amibroker reading backtest report document there is no mention of number of trades. Bandy has mentioned RAR/MDD, CAR/MDD, RRR, CAR25 and K-Ratio but I do not believe any of them take into account the number of trades so I would not be able to compare a system that say trades 120 times in a 10 year period to a system that trades 1000 times in a 10 year period. So from experience what is the best trading statistic to use to determine the best trading system if I need to account for the frequency as an important criteria. I am assuming "expectancy % " but would like a little more guidance.
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@jablom, although this may not directly provide you the desired answers, I suggest to take a look at this interesting presentation that Alan Clement (@HelixTrader) gave recently for the AmiBroker Canada User Group.1
In this session, he presented multiple metrics that he uses to evaluate his trading systems.
The ABCug meetings are normally streamed live, so you can watch and interact directly asking questions to the presenter, but later they share the recording so you can review them at your leisure.
And FYI, one of the upcoming meetings will host Dr. Howard Bandy.
See their site for more information (there you can also find some of the code used in the presentations).
(Finally, I kindly invite you to get the "Verified" badge so you can to continue to post in this section of the Forum).
1) AmiBroker Canada User Group is not affiliated with AmiBroker “the company” in any way.
Thanks for the link, I will check it out!