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Thanks for all who have replied, especially Gary Funck, on my post " An Idea".
I had no idea that Larry Connors originated it, but I'm glad that it was
proven profitable.
On another subject, when you test a system, what criteria do you use? Is it
the percentage of winning trades, Ratio of average win/ average loss, profit
factor, return on account or a combination of these and others? What should
the numbers be for these criterias for the system to be considered a "good"
system? And how long should one back test the system for the system to be
consider "robust"?
What I do is back test my systems on a 60 min basis going back 1 year. Since I
don't know how to create a continuous futures contract onTS 4.0, I use the
indexes
as a proxy for continuous futures contract by changing the "Big Point Value"
in the symbol universe to the corresponding futures' value ( I use the Nasdaq
100 primarily) . Then after optimizing the index, I superimpose the futures
contract on it ( near and past contracts). If it's profitable, I would
considered that to be "good". Then I would change the futures contract from
the nasdaq to the nyse's. If it's still profitable, I would consider that
"good" as well. My reasoning is that the NYSE and the Nasdaq have subtle
differences that would show up if the system is not "good", even though the do
trade in the same direction most, but not all of the time.
Am I doing it right?
Thank you,
Andy
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