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Re: Rating trading systems



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Onno,

thanks you for this interesting results.

On Mon, 10 Jan 2000 20:10:51 +0100 (CET), you wrote:

>The best system I have developed is the one for the Dutch stock index (AEX).
>I used period 1990-1998 for optimalisation.
>
>Period 1990-now:
>Maximum profit: 5972 points (=100%)
>My best trading system: 2118 points (35%)
>
>The rest of my trading systems score 5 to 15%. 

First: Do I assume right, that you used "reinvest 100%" in your tests,
which is a Built-in MetaStock feature?

If so: Imo this is not a very good measure for the profitability of a
trading system, because _the sequence_ of the trading results has an
important influence on the global result. This makes the results
doubtfully in terms of generalization.

Imo, a _constant investment per trade_ should be used in system test
to avoid those "immanent & uncontrollable weighting" over time.
Unfortunately, this is not implemented as a standard feature in
MetaStock.

Secondly: Did you trade the AEX directly? 

If so: Probably, this cannot be done in reality. So what about
switching to options of the AEX, just to compare your results with my
DAX results ...

mfg rudolf stricker

BTW: Did you do anything into the direction of generalization control?
| Disclaimer: The views of this user are strictly his own.