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> There's been much discussion about what stats are most relevant,
> so I thought it might be informative to see how others would
> interpret this list to pick the "best" overall set of statistics
> and why.
> BBBO VARIATIONS TEST FRIDAY 12/7/01
> Test No. % ProfitablSharpe RaProfit FacAvg. W/L Net Max DD
> 1 48 4.37 2.00 2.17 146k 14.8k
> 2 46 5.90 2.23 2.56 171k 19.1k
> 3 46 5.86 2.22 2.52 167k 19.5k
> 4 49 5.97 2.28 2.37 174k 18.5k
> 5 45 6.21 2.28 2.70 176k 14.7k
> 6 46 6.31 2.31 2.75 178k 12.6k
In every measure except %profitable (which is not all that important,
especially for such a small difference), #6 is the clear winner. I
would also look at average $/trade, but I'd bet it's highest (or
close to it) for #6.
Before I put much weight on it, though, I'd have to see how long of a
test this was and how many trades it encompassed, and how the system
behaved on other stocks. It would also be useful to see how each of
the variants behaved on out-of-sample data. Is #6 more curve-fit?
Gary
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