tag:blogger.com,1999:blog-10019704.post115800774634019384..comments2015-07-09T09:35:29.133+01:00Comments on Fallon Financial Commentary: Odds Maker: Follow UpDeclan Fallonhttps://plus.google.com/109500087332123789222noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-10019704.post-1158112096934920272006-09-13T02:48:00.000+01:002006-09-13T02:48:00.000+01:00Nice analysis of comparable time periods. You sho...Nice analysis of comparable time periods. You show clearly a decrease in the win rate of the same strategy from one period to another. But is the conclusion that the strategy in the second period a worse performer than the first? I notice in one of your scenarios a measure in The Odds Maker results that suggests otherwise.<BR/><BR/>Consider the last two Odds Maker results you show - where The Odds Maker is configured to sell at the open. In the first period the strategy produced a win rate of 70.1149% and an average winner of $0.7907 and an average loser of $-0.5408. Make a ratio of the average winner over the average loser and you get 1.46. Compare this result with the second period. There the average winner was lower at $0.6697 but so was the average loser at -$0.3627. The ratio here is 1.85. This higher ratio in the second period suggests that upon entering a trade, the damage from a losing trade is less severe than the first period, thereby mitigating some risk (consider the average value of what a stop would be). The average winner is less (and there were fewer winners in total), but this - in some cases - can be a fair exchange for less pain resulting from the losses.<BR/><BR/>The verdict on a strategy's value should not rest solely on the first measure within The Odds Maker results. The other metrics, viewed in the way demonstrated here, should be admitted into evidence before judgement is rendered.<BR/><BR/>More <A HREF="http://marketmovers.blogspot.com/2006/09/how-to-build-trading-strategy-using_08.html" REL="nofollow">tips like this one</A> are explained in our recent series on The Odds Maker on our blog.D TradeIdeashttps://www.blogger.com/profile/17107440060676192663noreply@blogger.com