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I have found the following measurements to be of value
1. linearity of log-equity curve. (just as you propose). I use R^2 test
2. avg trade - stdev(all trades) should be posivitive (this is actually
pretty hard)
3. profit/max_drawdown should be larger than 5 for longer term systems.
This one is flexible.
Just me two cents ...
Allan
--- Herman van den Bergen <psytek@xxxxxxxx> wrote:
> 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)
=====
---
Allan Havemose, Ph.D.
havemose@xxxxxxxxxx
havemose@xxxxxxxxx
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