QQQ System Test

[Macromnt@xxxxxxx]

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