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Hi,
One of the most difficult problems I face is to evaluate systems during
development. If we had a proper way to evaluate systems during development
we could save lots of time...
I use the MSBT add-in to test my systems on multiple securities (50-3000)
and at the same time I use it as a stock screen. It is a great way to find
stocks that work with your system.
In Excel I average each of the 50 MSBT columns from the MSBT report and
display the averages in relevant groupings on a single page. I get a nice
overview but I still haven't figured out a mathematical way to massage the
many averages into meaningful performance measurements.
Has anybody worked out a system to do this?
How does one interpret the average P/L ratio (or any other common ratio)
for a 3000-security system test?
One useful test is to calculate the number of improved returns (compared to
B/H), kinda neat to see that 60% or so improved. One can also set a
threshold and see how many stocks improved more than a certain percentage.
If you are using the MSBT I'd like to hear how you use it.
Happy trading,
Herman.
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