One of the Fortune Cookie systems has these statistics:
APD Ratio -0.02
Cumu $ $31,462
How is that possible? I thought the numerator was the sum or mean of all profits. What I remember is that only the trades with a "no calc" in their DD & risk column are discarded. Could it be that there is a bias and that profits get a "no calc" more often than losses?
I think you get a lot of No Calcs when the length of trade is too tiny (like, 1 minute)
So if the profitable trades are all in a short time frame, that would bias the result. I think it would be better to set the DD at 0 in these cases.
A semi-related observation/question:
Is FC’s low ADP any indication of the percentage of limit order entries that are actually filled?
No. It is based on the trades that were actually made according to C2’s best case fills. If orders are not filled at C2 or in your account that should not influence the APD.
