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CML Efficiency Score™
At Money Marketplace Laboratories (CMLviz), we developed a standardized reward to hazard measurement for backtests identified as the CML Efficiency Score™ (ES).
The ES normally takes the typical trade return from each and every triggered backtest (the ‘reward’) and divides it by the utmost drawdown (the possibility).
The max drawdown is calculated as the major open-to-trough drop in the worth of a backtest for every new opening trade.
Our look at is that an CML Effectiveness Score earlier mentioned .8 is incredibly good and above 1. is excellent. A number above 1. suggests that the normal return is in truth much larger than the optimum realized loss.
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3-12 months Backtest Success: Pre-earnings momentum in Micron Know-how Inc
Listed here are the final results of a extensive stock placement held for 14 calendar times analyzed around the previous 3-years in Micron Technology Inc the moment the two specialized needs have been met:
| MU: Lengthy Stock for Two-Weeks | |||
| % Wins: | 50% | ||
| Wins: 3 | Losses: 3 | ||
| CML Performance Score™: | 1.21 | ||
| Return: | 22% | ||
The mechanics of the Inventory TradeMachine® are that it takes advantage of conclude of day costs for just about every again-exam entry and exit (each individual bring about).
We see 3 wins and 3 losses with a overall backtest return of 22%. So, when the get price is not fantastic, the common return has been very fantastic.
Even more, we notice an CML Performance Score™ higher than 1.00, which is great.
A single-Yr Backtest Benefits: Pre-earnings Momentum in Micron Technologies Inc
Here are the effects of that exact trigger, but concentrated one just the past yr:
Whilst the win fee about 1-12 months is nonetheless 50%, we once again notice an CML Performance Score™ higher than 1.00, which is outstanding.
Future Ways
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Threat Disclosure
Earlier results are not necessarily indicative of long term outcomes. The chance of decline in trading can be sizeable, diligently consider the inherent risks of such an financial investment in mild of your economical affliction.
You should take note that the executions and other data in this short article are hypothetical, and do not mirror the affect, if any, of specific market variables this kind of as liquidity and slippage.