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Stephanos:
You might be interested in taking a look at <A
href="http://www.wealth-lab.com";>www.wealth-lab.com. There are quite a
few systems in the public section that you can evaluate in terms
of statistics that you are interested in. Wealth-lab's programming
language incorporates script, so some of the programs would be difficult or
impossible to duplicate in MS (AmiBroker would work, if you have that).
Registration is required, but it is free.
Bill
<BLOCKQUOTE
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----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
SR
To: <A title=metastock@xxxxxxxxxxxxxxxxxx
href="mailto:metastock@xxxxxxxxxxxxxxxxxx";>metastock@xxxxxxxxxxxxxxxxxx
Sent: Wednesday, October 24, 2001 10:40
AM
Subject: What a realistic system should
look like?
Hello dear friends.There has been a long discussion
about the criteria, which a good systemshould meet. What is missing - I
think - is a comprehensive summary of ourexpectations, a "code" of such
criteria expressed in plain numbers. Suchsummaries have already been
proposed by experts or "experts" (they are foundin magazines, web sites,
books). They are often presented as "objective","scientifically defined"
goals, but in my opinion the features of a "good"trading system can only
be subjective, depending on different trading styles(expectations of
profitability, risk management, etc). So, what I would liketo see is some
statistics about our subjectively defined criteria, in orderto know how
far from the average expectations my own systems are. I guessthat such
statistics would be quite useful to every one of us, but in anycase would
be very useful to me. Therefore, I am kindly asking each one ofyou to
define your own criteria, completing the following table with valuesand/or
providing additional criteria or comments.Though I could hardly see
any ethical objections to my request, I prefer tostate that your
contribution will not be used for commercial reasons. I amneither a
professional analyst nor a professional trader.Nevertheless, I have worked
a lot on technical analysis simply because Ilove to do so. In fact I like
analysis much more than trading.Needless to say, we are not talking
about "ideal" systems here, as suchthings simply do not exist. We are
talking about realistic systems, whichyou would feel comfortable enough to
trade with, systems that you wouldconsider reliable enough, profitable
enough, safe enough.Since there are obvious differences between
short-term, medium-term andlong-term systems, one may want to provide
different standards for each kindof system, by copying the following table
and providing different values foreach kind. If one or more fields are not
important enough for you, then donot provide values for them.In
case you take the time to provide such help, please do not try to
guessother members' opinions, or what an objectively good system would
look like.Instead, describe your own standards below.Kind of
system: ---------- (short, medium, long)Regarding system
report:Annual gain should be at least ----%Total trades should be
no less than ---- and/or no more than ----Profitable trades should be at
least ----% of total tradesSystem close drawdown should be less than
----%System open drawdown should be less than ----%Max open
trade drawdown should be less than ----%Profit/Loss index should be
at least ---Reward/Risk index should be at least ---Buy/Hold index
should be at least ---Add more criteria below if you
like.Regarding optimization (avoiding over-optimization and
curve-fitting):Total optimization tests should be less than
-----No more than --- variables should be optimized.Add more criteria
for optimization below if you like.Regarding system
testing:The above system should be back tested on more than -----
bars, or on morethan -- years of dataand/orit should have been
successfully traded (with real trades) for morethan ----- (specify
the period)Add more criteria for system testing below if you
like.Any help would be very much appreciated.Thank you all in
advanceStephanos
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