Include in sim and port performance statistics including on the sortable pages a new
P/L indicator. P/L = Total Profitable Trades Dollars / Total Losing Trades Dollars. In Totals include realized and unrealized (or report the three combined/realized/unrealized separately).
For profitable strategies this will be a number > 1 and for losing ones <1.
For example $250,000 winners, and $100,000 losers the P/L = 2.5
This is one indicator I use quite a lot together with Annual Return, Alpha and Sharpe. The P/L indicator, to me, is one of those indicators that, if I trust it has predictable value, makes me more certain in the quality fo the system and makes me expect less unpleasant surprises.
As with many other indicators this one is quite independant from the other ones already available on P123. Like you can have sims with similar Annual return and Deviation etc. but P/L can be very different. In fact in many cases I have run sims with quite good other indicators that I did not like because of the low P/L.
I really like systems with P/L > 2.5, 3, 3.5
Vlad
Results: Total score: 66, # of Votes: 20, Average: 3.3
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Requested by: vladinvest
On date: 12/05/05
Category: Portfolio

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