Profit Factor = (¸Win% x Avg Profit) / (Loss% x Avg Loss)
Expectancy = Win% x Avg Profit - Loss% x Avg Loss
Expectancy = Win% x Avg Profit - Loss% x Avg Loss
New Expert Advisor PROFIT FACTOR 19.39 47 replies
Profit Factor Phase Space 15 replies
Profit Factor OR Expected Payoff...Which is more important?? 5 replies
Profit Factor Target 27 replies
Profit factor : 11.64 2 replies
DislikedUnless I'm missing something, they are the same thing.
To put the poll results in some kind of perspective, a PF > 1.3 is good; above 1.5 is outstanding. Over a minimum of several hundred trades, however, for it to have any real significance.Ignored
DislikedProfit Factor = (¸Win% x Avg Profit) / (Loss% x Avg Loss)
Expectancy = Win% x Avg Profit - Loss% x Avg LossIgnored
DislikedCheers,
If they are the same, positive expectency is not meaningful. Expectency has to be greater than 1 to be profitable.Ignored
DislikedIn order to make money, Expectancy must be greater than 0 and Profit factor must be greater than 1
Expectancy is how much (In average) you expect to make in every trade.
Net profit = Expectancy x Number of tradesIgnored
DislikedProfit Factor = (¸Win% x Avg Profit) / (Loss% x Avg Loss)
Expectancy = Win% x Avg Profit - Loss% x Avg LossIgnored
DislikedProfit Factor = (Win% x Avg Profit) / (Loss% x Avg Loss)
Expectancy = Win% x Avg Profit - Loss% x Avg LossIgnored
DislikedBoth trading methods are equally efficient, as reflected by the PF, but the expectancy is 10x greater, i.e. all it does is reflect the higher position size.Ignored
DislikedOK, agreed, but in that case I believe that PF is the true measure of the efficacy of a 'raw' trading method, because Expectancy factors in position size.
For example:
-- I size my positions at 1 lot, my wins are $600 and my losses $400 over 10 trades. PF = 1.5; expectancy = $20 per trade
-- Now, by making the same trades, but at 10 lots each, my wins will be $6,000 and my losses $4,000. PF = 1.5; expectancy = $200 per trade
Both trading methods are equally efficient, as reflected by the PF, but the expectancy is 10x greater, i.e. all it...Ignored
DislikedIn one of his interview Paul Tudor Jones said he very rarely saw traders with a profit factor better than 2...Ignored
DislikedRemove the outliners who has PF higher than 5 then u may get a more realistic results.
Although I never conduct such a study but I believe individual performance statistic is not normal distributed, I think it could be lognormal distributed, exponential distributed or Pareto distributed.Ignored
DislikedAbout what is the highest realistic PF, I really have no idea. I really want the persons who voted for >50 to post here about how they obtained their values.Ignored
< 1
1
1.05
1.1
1.15
1.2
1.25
1.3
1.35
1.4
1.45
1.5
1.6
1.7
1.8
2
2.5
3
4
5 or above
DislikedI would want anybody with a PF > 2.5 to post their number of trades, and also how they obtained their values. And any Martingale type systems should be excluded from the poll, because their current PF will not have factored in the effect of the yet-to-occur 'death trade'.Ignored
DislikedJust for fun, I went to collective2 (http://collective2.com/cgi-perl/system/grid.mpl) and clicked the 'Forex' button to restrict the search to forex systems only. Then I sorted the list by number of trades descending. Only 20 systems had more than 500 trades, and the highest PF among them was 1.4.Ignored
DislikedIMHO a poll structured something like:
< 1
would provide a more meaningful result.
1
1.05
1.1
1.15
1.2
1.25
1.3
1.35
1.4
1.45
1.5
1.6
1.7
1.8
2
2.5
3
4
5 or above
Ignored
DislikedProfit factor do not reflect the unrealised drawdown. If a system do not close losing trades, its profit factor would remain infinity. An extreme large PF can be produced by non-closing of lossing trades.Ignored
DislikedAll are mechanical systems there, and I believe that in general discretionary trading should give a much higher PF than mechanical systems.Ignored
DislikedI doubt how many of them has a stable PF down to 0.05 precision. If you don't like the options above 5, you can threshold all above-5 options down to 5 in your analysis.Ignored
DislikedProfit factor do not reflect the unrealised drawdown. If a system do not close losing trades, its profit factor would remain infinity. An extreme large PF can be produced by non-closing of lossing trades.Ignored