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Backtesting Report

  #1 (permalink)
 
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 tradingest 
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Hi all,
I would like to deepen terminology of the report backtesting to understand better the results of performance report.
What does means RINA index? It's possible to have the important explain?

Performance Report

Thanks so much,
tradingest

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 rleplae 
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RINA Index

The RINA index is a proprietary index that combines Select Total Net Profit, time in the market, and drawdown calculations into a single reward/risk ratio, that can be used to compare strategies The larger the number the more efficient/risk adverse the strategy.
RINA Index = (Select Total Net Profit)/((average drawdown) x (percent time in the market))

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 tradingest 
Milan, Italy
 
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Thanks for your very fast answer. A value to consider the good strategy which is?

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rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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tradingest View Post
Thanks for your very fast answer. A value to consider the good strategy which is?

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I'm more a fan of the basics :
- MAE/MFE
- Expetency
- Max drawdown

...

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 tradingest 
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rleplae View Post
I'm more a fan of the basics :
- MAE/MFE
- Expetency
- Max drawdown

...

you can explain first and second in your list?

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rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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tradingest View Post
you can explain first and second in your list?

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There are very good wiki pages on nexusfi.com (follow the links below)
if not clear let me know and i will further explain/illustrate

MAE
MFE
Expectancy

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  #8 (permalink)
 
tradingest's Avatar
 tradingest 
Milan, Italy
 
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rleplae View Post
There are very good wiki pages on nexusfi.com (follow the links below)
if not clear let me know and i will further explain/illustrate

MAE
MFE
Expectancy

the first two in your list it' clear...the last you could explain better? The first two could serve to improve risk management...woow great!!

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rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
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tradingest View Post
the first two in your list it' clear...the last you could explain better? The first two could serve to improve risk management...woow great!!

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Expectancy is the value of the chances on win/lose

If your system is 50/50 and a wining trade is 100 and a losing trade is 100, then the expectancy is 0

if your system is 70/30 and a wining trade is 100 and a losing trade is 100, then the expectancy is 40
if your system is 70/30 and a wining trade is 50 and a losing trad id 100, then you expectancy is 5

it translates the statistic win/loss taking into account the value of the win/loss
in other words a 70/30 system with big loser, will be worse than
a system with 20/80 and big winners and small losers

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 tradingest 
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This value which you wrote are present into performance report Tradestation or need calculate separately. I don't never seen

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Last Updated on November 15, 2015


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