Re: Probability Distribution Graph Wins & Losses

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In Reply to: Probability Distribution Graph Wins & Losses posted by George R on December 22, 2004 at 18:50:23:

: Mark

: Do you have any plans for allowing FM to plot a Probability Distribution for the Portfolio Wins and Losses.

: Similarly the CDF , Cummulative Distribution Function for the Wins and Losses.

: It allows you to graphically observe your trading system performance.

: For example
: To see if their is a bias or positive expectancy toward the wins side of the distribution. As they say - a picture is worth a thousand (report) words.

:
: On a topic that uses the above info :

: BTW a normalized system performance measure that calculate and use

: ((%Wins * win_probability ) - (%Loss - Loss_probability) ) / Ave_trade_size

: Ive modified the normal definition of Trade System Expectancy (you normamly divide by largest Drawdown)

: I find that the definition using trade size , gives me a normalized figure of expected results that is more accurate than the usual ave win / ave loss ratio

: The ratio, doesnt take into account the proabilities of the losses and wins like the one Im doing.

: Just thought I'd share this as i find it quite useful.

: With thanks.
: George

Hi George,

Thanks for the idea. I'm always looking for ways to help make Fund Manager
more useful. This isn't something I've considered (or even known about)
up to this point. Thanks for sharing.

Thanks,
Mark
--
Mark Beiley
Fund Manager, portfolio management software for Windows 95/98/ME/NT/00/XP/2003

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