Risk / Reward plays against batting average and yeilds profit or loss. The graph says it all. The real measure of success is consistency.

Based on your cv the question seems a bit rhetorical. What is your point?

I raised this question to compare others performance with my results to rightly evaluate

It's all about the reward risk ratio. A good

model should not go lower than a 3 to 1 ratio

The same i have or near to 2.5 to 1 but my strategies and techniques are most advanced in technology and time analysis, I need to do and adopt toooooo much and then it becomes possible, just thinking about others, how competitive, sensitive and challenging is to maintain consistency

Ok, over the last year my AW system was 32.7 Return on-8.72 Max DD. Acceptable or not, it was all I got.

Keith Its Superb :) I attentively appreciate you. I know what it means.

20% per annum with 5% risk OR 40% per annum with 10% risk would be the same.

ideally the return is always proportional to the risk.

the calmer ratio in both cases is same which is 4.

@Michael Aaron: With all due respect, reward to risk ratio is insufficient and over-rated IMO. In fact, I've done quite well with RTR ratios < 1 for more than a decade. It's really about "expectancy" (aka "average trade): (probability of gain and size of expected gain)-(probability of loss and size of expected loss) .

Regarding the question asked, I have found it is very realistic to create strategies that generate annual ROMADs (avg annual returns / max drawdown) above 2 with live capital. But you need to discount your hypothetical results quite a bit. Live trading always under performs over the long term since the worst drawdown is normally in the future and not in the past, and execution "gremlins" interfere too.

True scott.

No risk reward ratio in the world can help you , if the expectancy is negative :)

Sortino & sharpe ratio of trading model must be ideal & advantageous, then risk/reward is further considered, Relying on risk/reward ratio without consistency is paltry (haha, my goodness!).

Reward to risk ratio no longer useful determinant. All investments managed at initial risk assumed and the risk manageable to lower risk and risk free overtime. Consequently, reward to risk ratio only an indicator at early stage but ignored thereafter.

@Zubair, If your interest is a self evaluation of your strategies performance levels to get a relative idea of your personal bench marks of

these strategies, then I have I some thoughts. First is that these are personal to me and not meant to apply to any one else.

The typical norm measures used today to value a strategy’s performance are so extremely vague that they do not have any value what so ever.

If you try to use these values, you will get the same old results.

General thoughts for your consideration:

Single symbol strategies.

Asset class.

Symbol in that class.

Initial capital per symbol.

Trade Size.

Compounded or no.

Strategy style ( intraday or other)

Period of evaluation time(more importantly is the period of time truly relevant)

Std. Deviation of the Equity curve

Drawdown percentages

Does the strategy require crutches such as profit targets or stop loss.

(see next post )

Has there been a proper evaluation of the nuances of the platform and code put in place for this.

Has there been a proper evaluation of the nuances of the broker.

Was minimum slippage used . (plan for the worst and hope for better)

Was the percentage of time in the market evaluated for the style of strategy.

Etc.

Basically, what I am trying to say is that high levels of performance are found in different much smaller details than the smoke and mirror measurements used by the retail.

all the best

James Hudson Thanks for bothering to write here. comments are valuable & noted.

Exactly Ashok Kumar A - simply an issue of leverage, the ratio is identical. The question as stated appears to be a non sequitur.