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Ken,
Although I don't disagree with your list of “bad ones” per se I characterize and look at these somewhat differently ...
1. Too narrow a market timeframe test so as not to cover both bull and bear periods. IMHO those that adopt the practice of writing systems to test only bullish periods or only bearish periods are asking for trouble.
2. Too few signals for the results to be statistically significant. Personally I like to have systems that show lots (read hundreds) of signals that occur end to end NOT side by side. What I mean by that is if I have a system that potentially trades 100 different things ( Like the individual stocks of NDX ) and over the course of time they generate 1000 trades but lots of those trades overlap in time then to my way of thinking these overlapping trades do not constitute end to end trades and therefore do not count.
3. As far as the remainder of your list goes, to me this all comes down to the robustness of the system which can mean several things but the simplified explanation to me means it either does well on out of sample or it doesn't. I don't particularly care if a system has too many variables ( what is too many ? 3 ? 30 ? 300 ? ) or the increment is too small ( what is too small ? 5 ? 0.5 ? 0.05 ? ) or the system can be used only on one segment of the market(s) i.e. I'd be quite happy having a system that I could trade S&P e-mini's with if it worked well in & out of sample even if it couldn't be used for any other thing.
Fred
> A "bad one has....
> ....too many variables
> ....too short a time period
> ....to small an increment in the optimizing variable
> ....too few issues/too many issues
> ....each stock/or future has its own optimized parameters
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