Collective2 notes

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http://signaux-forex.collective2.com/cgi-perl/board.mpl?want=listmsgs&boardid=9323885&threadhilite=7607&displayblock=8_7

Average adverse excursion factor

It means: on average, what is the maximum % that trades move into a
loss. It should say Adverse "Excursion" ... not "Execution." I'll take
a look and double-check.

See http://groups.google.com/group/futures-trading/browse_frm/thread/feaf8edc016b8a0a
as reference for similar idea

http://www.collective2.com/cgi-perl/system/grid.mpl
Look for Shape ratio above 2 to filter results, it only results in
about 20 systems out of hundreds. The right most column contains the
Average adverse excursion factor.

http://en.wikipedia.org/wiki/Sharpe_ratio

http://www.trade2win.com/traderpedia/Maximum_adverse_excursion

Adverse Excursion

http://www.fxstreet.com/education/glossary/adverse-excursion#
The floating (potential) loss attributable to price movement against
the position in any one trade. A Maximum Adverse Excursion is a metric
developed by John Sweeney to measure the negative price performance of
a series of trades before the trades closed with profit.

For example, a trade closed with 50 pips in profit but during the time
it was open, at one point, it was losing 100 pips- that was the
Maximum Adverse Excursion for that trade. This metric is used to
determine reasonable stop-loss levels based on backtested results.

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http://www.tradebullet.com/

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On Dec 15, 10:40 am, backspace <stephan...@gmail.com> wrote:
> http://www.tradebullet.com/

E-RATIO.

http://www.automated-trading-system.com/e-ratio-trading-edge/

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Geometric Average Holding Period

The handbook of portfolio mathematics: formulas for optimal allocation
http://tinyurl.com/2cfyg36

When evaluating a system make sure the author didn't run 1000 MT4 ea's
and only presented you with the winning 5 out of
1000. His broker must also not be Russian based but NFA registered if
possible. Russian brokers are uploading fake statements to http://www.myfxbook.com
. All portfolio math would be meaningless in such a situation.
Portfolio math can only be meaningful in evaluating the weighted
average of all 1000 trading systems of an individual trader.

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System to watch:
Forex Special
17months of equity growth, not a single month in negative equity:

http://www.collective2.com/cgi-perl/system43497041

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ON closer inspection ,the risk is unacceptable. Some of the trades
generates a draw-down of 70 pips for a gain of 10 pips. Only a few
adverse trades is enough to wipe out the gains. Draw-downs should be
in a one to one correlation 10pips down for 10 pips gain.

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Last trade was Wednesday and it was a winning trade. 94% success rate
is very good in spite of some steep draw-downs. Keep an eye on this
signal provider, 19 months of steady gains with not a single loosing
month is very good.

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As posted elsewhere the most important factor is the adverse-excursion-
ratio, which measures the draw-down to the gain. This system generated
many trades with 10 pip gains
and 70 pip draw-downs, which eventually will blow the account with
even a 100% success rate.

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As predicted in April the system won't make it:
http://www.collective2.com/cgi-perl/system43497041 had steep pip
losses in May and June, it shows just how difficult it is to trade the
markets.