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I don't trade futures - but the first two things I look at are: does this system
beat buy and hold - and what are the drawdowns (i.e., any system that kept me long
going into the 1987 crash isn't much of a system). I doubt the first has any
relevance for a futures trader - but I'm sure the second is much more important
for you than for me.
Even though I trade intermediate term - not short term - I think the NYSE and the
Nasdaq are totally different animals. I wouldn't create a system on one to trade
on the other. What are you trying to trade? Robyn
Logan467@xxxxxxx wrote:
> 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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