Evaluating Trade Filter Effectiveness - Aussie Stock Forums

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  1. #1

    Default Evaluating Trade Filter Effectiveness

    Hello all,

    Was wondering if I could get some input with regards to a strategy I'm currently trading. The risk/reward is 1:1, so a loss will always balance out the profit on a win.

    So far there have been 221 trades with 155 wins and 66 losses (70%). I have been back-testing a filter which would have changed the result to 172 trades with 131 wins and 41 losses (76%). On face value it seems like a good idea going forward.

    However, on looking closer at the filtered trades there were 49 eliminated trades with 24 wins and 25 losses. Is it still worthwhile to apply the filter? Is there benefit to a system which has increased trade volume? Or am I getting distracted by statistics? Should I just stick with the top level results 70% v 76%?

    Any input from people with experience in this area would be appreciated.


  2. #2
    rb250660's Avatar
    Join Date
    Jan 2013
    日本 - 福岡市

    Default Re: Evaluating Trade Filter Effectiveness

    The higher win rate model is likely to experience a lower number of consecutive losses (losing streak) and may allow you to increase position size while staying within your drawdown limit.

    On the other hand the lower win rate model trades more often and exploits your edge more frequently.

    Do some tests and compare what you think is important like CAGR/MDD or RAR/MDD etc.

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