glider
59 posts
msg #35996
- Ignore glider |
5/13/2005 11:05:47 PM
Does anybody have an opinion on the relationship between ROI & Win/Loss ratio? I've noticed when backtesting some filters, a very high ROI will result in a low W/L ratio. Example: ROI = 500%, W/L = 35%/65%. I think a good balance between these two indicators would give better and more consistent results. Example: ROI = 150%, W/L = 65%/35%. Any thoughts?
glider
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corsino
259 posts
msg #36000
- Ignore corsino |
5/13/2005 11:38:02 PM
glider
I think that you have to consider the number of picks too. For example, I have a filter with a win/loss ratio of 86/14 and an ROI of 2294%, but it has only picked 7 stocks since the beginning of the year. So maybe a group of good percentage filters is advisable,rather than just depending on one filter.
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glider
59 posts
msg #36001
- Ignore glider |
5/14/2005 2:32:53 AM
Corsino,
Good point. Thanks for the comment.
I've found that downloading the trades to an excel spreadsheet, adding a few extra columns for Number of shares, Total gain/loss with a running total etc. gives a more realistic % return. It's always lower than the ROI but still a good return.
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abbabb1tt
18 posts
msg #41162
- Ignore abbabb1tt |
2/12/2006 6:18:36 PM
Corsino:
What is the filter you have that returns only seven stocks, but had the great ROI? Please post. Thanks!
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guru_trader
485 posts
msg #41438
- Ignore guru_trader |
2/21/2006 1:13:10 AM
I know Corsino has a bunch of SUPER filters ... I would love to see the one's he actually trades.
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