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Dear MS users,
I am a novice MS user and am looking for ways to compare MS trading systems
but can only think of the methods I outlined below. Any critique and
suggestions would be much appreciated.
1) LINEARITY OF EQUITY.
To include bull and bear periods I run my System tests over the period
09/01/99 to today and judge the effectiveness of my system by the linearity
(semi-log scale) of my equity curve. I aim for a straight line through the
entire period. I am looking for a statistical tests to compare the equity
data (exported from the System-Report, Equity window) in Excel worksheets.
Any tips on statistical methods that can be used will be much appreciated!
2) SYSTEM EFFECTIVENESS: %PROFIT / %MODIFIEDMAXIMUMPROFIT.
This calculates system effectiveness for specific stocks. I set a minimum
price change that I consider worthwhile trading, i.e. 1% and then run a
modified Maximum Profit System that sums all potential trades above a this
percentage, using look-ahead formulas like:
Long: (Ref(O,+1) - O) > 0.01 * O
Short: (Ref(O,+1) - O) < 0.01 * O
I trade the Open, no trade delays.
To compare system effectiveness I then calculate the percentage of
accomplishment for my system to attain this potential profit with:
%Profit*100 / %ModifiedMaximumProfit
3) PROFIT TRACKING CAPABILITY.
Looking at end-profits doesn't tell the whole story so I would like to
calculate a "tracking measure" to tell me how the ups and downs of my
system track the ups and downs of my ModMaxProfit system.
Any ideas on how to do this?
Best regards,
Herman (inexperienced MS user)
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