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Hello,
I've been following the postings on this forum since I first began
using AB about two years ago, and thanks to the knowledge and sharing
mentality of the posters here, my knowledge of AFL has increased
greatly. I now have a question about trading system development.
I've been getting experience with using the backtester, and I've
identified some promising trading systems, one with a CAR of over
100%! During the backtest, I have limited the number of positions in
the portfolio to 7, to reduce overtrading. However, when I take the
same system from backtesting, and use it as an exploration, I get a
huge number (>200) of trading candidates at the start of each trading
day.
My question is: without asking for details of specific trading
systems, how do other users of AB reduce the number of stock
candidates during the Exploration? During backtesting, I've found that
when I try to constrain the backtester to attempt to reduce the number
of candidates, it reduces the number of backtested trades but also the
percentage of winning trades.
Maybe this is wishful thinking, but for me a winning system is one
that has a winning trades percentage > 50%, with a max system drawdown
> 15%, and generating about 10 stock candidates per day.
I'd be interested to hear of other's experiences and views.
Many thanks,
Paul
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