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At 10:40 PM -0400 9/9/98, Cab Vinton wrote:
>Any hints on how to develop this type of stable systems?
>Presumably, treating a diversified system as one system is one approach
>(e.g., apply your m.m. to the results of a system traded over a portfolio).
>Any other ideas? Types of systems which are fairly stable?
>Ways of measuring the stability of a system? Any number of minimum trades
>to consider? On the order of thousands is probably preferable: so you
>should either have a lot of data to test over, or else trade over short
>time frames ...
Systems with a smoothly increasing equity curve (linearly up and to the
right) tend to be the most stable vs. time. These obviously have consistent
profits over time.
This characteristic can be measured by the Sharpe Ratio. A very stable
system will tend to have a Sharpe Ratio above 2.0.
Bob Fulks
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