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It's late and I've had too much scotch, so one very quick example
which I'll explain the basics of but would like to have someone else
please take a stab at interpreting.
To recap the Robustness Criteria, Condensed Version 1-5:
1. Test on small, mid & large cap stocks in bull, bear & sideways
markets.
2. Evaluate performance on top 20% most actively traded small, mid &
large cap stocks.
3. Graph and evaluate system performance consistency (%profit/trade
and % profit/bar) on select stocks.
4. Perform simulation to estimate probability of profit in 10 trades
(for select stocks).
5. Perform simulation to estimate future drawdown (for select stocks).
For this example I picked a stock, any stock. I think everyone gets
what I mean by criteria 1 and 2 (whether they agree or not), correct
me if I'm wrong. I've posted the output of criteria 3-5 in the
example folder in the photos section. Criterion 3 output is photos 1
and 2, criterion 4 output is photos 3 and 4, and criterion 5 output is
photos 5 and 6. I think the criterion 3 graphs are self explanatory.
On criterion 4, forget how it's calculated for now. It estimates the
probability of profit (and how much) at the end of 10 trades. Unit of
measure is % of starting equity. Looking at the histogram, the
highest bin (the mode of the distribution) is 19.16 -- 29.63 which
means approx 15.5% of the time (y axis) the profit at the end of 10
trades fell in this bin, between 19.16% and 29.63% of initial equity.
The cumulative distribution graph is the histogram in cumulative
form and shows the likelihood that a result falls below the value on
the x axis. For example, 20% of the simulations (of the sum of 10
trades) lost money so you can *estimate* there's an 80% chance you'll
be profitable after 10 trades with this. Same unit of measure for max
dd and those graphs are read the same way. P.S. Each simulation was
1000 runs, so the graphs of criterion 3 show one actual pass through
the data by AB, while the others depict the collective results of 1000
simulated runs (and include my adjustment factor).
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