Few bugs in the system statistics

C2
1

Here are some weird numbers I saw in the “Patient Trader” system statistics:



1. Realism Factor 100.6

How’s that possible? Filling better than ideal?



2. Max Drawdown 30.83% (20070129 to 20070201)

Risk of 20% account loss 0.0%

There’s already a drawdown higher than 20%, but risk is still zero. Obvious bug. And by the way, chart doesn’t show any 30% drawdown.

2
  1. In theory that is indeed possible if the system issues market orders and the fills of the autotraders are better than those of C2. “Ideal” in that case means: immediate execution without the delays that autotraders have. However, that seems not to be the case here, since the reported slippage is 0%. So I don’t understand this either. But there are many valid statistical estimation methods that sometimes yield outcomes that are theoretically impossible, so I would not worry about it too much and simply interprete it as 100%. You should take the Realism Factor lightly anyway.



    2. The advanced statistics display a max DD of 6.2% on basis of the daily values, which agrees with the equity curve as far as I can see. The max DD in the basic statistics seems to be based on a intraday results too. So it can be a quote error or it can be a real intraday drawdown. You can probably (although not surely) find this out by looking to the trade details, find the trade with the largest drawdown, and see whether it agrees with quotes from another source like Yahoo. If it is erroneous you can use the Report Problem link to fix it. Or you can leave it to the vendor to do this whole process.

3

> 2. Max Drawdown 30.83% (20070129 to 20070201)

Risk of 20% account loss 0.0%



That’s nothing, check this out. The system has had 4 different 70%+ drawdowns and yet “Risk of 50% account loss (is) 6.3%”:



Midas (Prudent) Futures



or how about this one:



"Z"



Max Drawdown 460.22% (20050614 to 20050720)



Risk of 100% account loss 0.0%



Or this one (another “Z”), currently down 61% but only 44% chance of

a 50% account loss:



Cumu $ ($61,211)

after typical commission ($63,054)

Risk of 50% account loss 44.2%



or this one (also named “Z”):



Max Drawdown 215.31% (20051207 to 20051212)



Risk of 100% account loss 0.0%



or this one (also name “Z”):



Max Drawdown 99.82% (20060505 to 20060811)

Risk of 50% account loss 6.3%



Or this one (name…“Z”):



Cumu $ ($166,730)

after typical commission ($168,797)



But it has a positive P/L per unit:



P/L per unit $60.45