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Professor Stephanos:
Thank you for an excellent lecture. You can post any time, I'll read them
all
Lionel Issen
lissen@xxxxxxxxxxxxxx
----- Original Message -----
From: "SR" <raftsp@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxxxxxxx>
Sent: Wednesday, October 24, 2001 9:40 AM
Subject: What a realistic system should look like?
>
> Hello dear friends.
> There has been a long discussion about the criteria, which a good system
> should meet. What is missing - I think - is a comprehensive summary of our
> expectations, a "code" of such criteria expressed in plain numbers. Such
> summaries have already been proposed by experts or "experts" (they are
found
> in magazines, web sites, books). They are often presented as "objective",
> "scientifically defined" goals, but in my opinion the features of a "good"
> trading system can only be subjective, depending on different trading
styles
> (expectations of profitability, risk management, etc). So, what I would
like
> to see is some statistics about our subjectively defined criteria, in
order
> to know how far from the average expectations my own systems are. I guess
> that such statistics would be quite useful to every one of us, but in any
> case would be very useful to me. Therefore, I am kindly asking each one of
> you to define your own criteria, completing the following table with
values
> and/or providing additional criteria or comments.
>
> Though I could hardly see any ethical objections to my request, I prefer
to
> state that your contribution will not be used for commercial reasons. I am
> neither a professional analyst nor a professional trader.
> Nevertheless, I have worked a lot on technical analysis simply because I
> love to do so. In fact I like analysis much more than trading.
>
> Needless to say, we are not talking about "ideal" systems here, as such
> things simply do not exist. We are talking about realistic systems, which
> you would feel comfortable enough to trade with, systems that you would
> consider reliable enough, profitable enough, safe enough.
> Since there are obvious differences between short-term, medium-term and
> long-term systems, one may want to provide different standards for each
kind
> of system, by copying the following table and providing different values
for
> each kind. If one or more fields are not important enough for you, then do
> not provide values for them.
>
> In case you take the time to provide such help, please do not try to guess
> other members' opinions, or what an objectively good system would look
like.
> Instead, describe your own standards below.
>
> Kind of system: ---------- (short, medium, long)
>
> Regarding system report:
>
> Annual gain should be at least ----%
> Total trades should be no less than ---- and/or no more than ----
> Profitable trades should be at least ----% of total trades
> System close drawdown should be less than ----%
> System open drawdown should be less than ----%
> Max open trade drawdown should be less than ----%
> Profit/Loss index should be at least ---
> Reward/Risk index should be at least ---
> Buy/Hold index should be at least ---
> Add more criteria below if you like.
>
> Regarding optimization (avoiding over-optimization and curve-fitting):
>
> Total optimization tests should be less than -----
> No more than --- variables should be optimized.
> Add more criteria for optimization below if you like.
>
> Regarding system testing:
>
> The above system should be back tested on more than ----- bars, or on more
> than -- years of data
> and/or
> it should have been successfully traded (with real trades) for more
> than ----- (specify the period)
> Add more criteria for system testing below if you like.
>
> Any help would be very much appreciated.
> Thank you all in advance
>
> Stephanos
>
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