Probability Distribution Graph Wins & Losses

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Mark

Do you have any plans for allowing FM to plot a Probability Distribution for the Portfolio Wins and Losses.

Similarly the CDF , Cummulative Distribution Function for the Wins and Losses.

It allows you to graphically observe your trading system performance.

For example
To see if their is a bias or positive expectancy toward the wins side of the distribution. As they say - a picture is worth a thousand (report) words.

On a topic that uses the above info :

BTW a normalized system performance measure that calculate and use

((%Wins * win_probability ) - (%Loss - Loss_probability) ) / Ave_trade_size

Ive modified the normal definition of Trade System Expectancy (you normamly divide by largest Drawdown)

I find that the definition using trade size , gives me a normalized figure of expected results that is more accurate than the usual ave win / ave loss ratio

The ratio, doesnt take into account the proabilities of the losses and wins like the one Im doing.

Just thought I'd share this as i find it quite useful.

With thanks.
George

Replies:

• Re: Probability Distribution Graph Wins & Losses Mark 21:00:48 12/22/04 (0)