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Here are some questions that are currently asked to rate a system:
LCD at portfolio level
                       Recovery Time
                       Performance (Compounded annual ROR)
                       Winning Percentage
                       Frequency Distribution of Daily PortfolioReturns
                       Gain/Loss Ratio
                       Average Gain and Average Loss
                       Average Days in a Winning and Losing Trades
                       Strings of Trades – Maximum ConsecutiveWinners &
Lowers
                       Edge per Trade
                                              (average win per trade *
winning percentage)/(average loss per trade * losingpercentage)
cumulative contribution to total profits from the five best trades
impact of the five worst trades
and of course the classicals Sharpe ratio, Sterling ratio etc.
Personally I consider that tests have to be performed over a 5 years period
minimum (one economic cycle) + 5 years blind test.
Jean Jacques Chenier
Alternative Asset Management, Inc.
www.alterama.com
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