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hi,
Some points of importance in my opinion are:
- if your system has a high number of winning trades (percentage wise) than the average %loss of the losing trades is usually high with respect to the average %win of the winning trades.
- the less frequent a system trades usually results on average in larger winning and larger losing trades (percentage wise) which makes the system less sensitive to the effect of slippage
- Systems that trade frequently usually have the number of winning trades lying closer to the number of losing trades. Also the average winner is closer to the average loser. These systems make money because the winners are slightly better than the losers. Because the trades are so numorous it makes money. However, these systems are very sensitive to slippage and only by entereing and exiting using limit orders such systems work (in my opinion) and can they be accurately tested.
These findings might sound simple in the ears of seasoned system developers so I am eager to hear some other "points of importance".
Currently I am testing systems that both enter and exit using limit orders. Wonder if there are known pitfalls for these type of tests since in my opinion slippage may be ignored in this case.
rgds, Ed
----- Original Message -----
From: YEA RIGHT
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 03, 2004 1:20 AM
Subject: [amibroker] system % rule of thumb?
What realistically tradeable winning % does everyone here shoot for
when developing and backtesting a system?
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