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Gaius Marius wrote:
>
> Can some of the more experience systems developer answer a few questions?
>
> Of all the criteria on the systems report in TS, what would you consider as
> an important criteria in developing a trading system?
Hi Gaius,
1. Avg win/loss
2. Profit Factor
3. Max DD
4. Win %
In that order. In general a good system will yield a winning percentage
commensurate with the length of time in the market and the size of the
profits sought. The Avg w/l should be no less than 1.0 . with a
profit factor of 2.5 or better. As a final test for the system, run
an "optimization" routine accross all variables. Then pull the
entire optimization grid in to EXCEL, and find the "mean" of all
fields by adding them up and dividing by total number of items in
the field. All categories should be net positive. Here are good examples
of expected figures from two different types of systems:
System 1: Short - term.
Win 70% or better
Avg W/L 1.50 or better
Profit factor : 3.0 or better
Max DD : Less than 1/4 total net profit
System 2: Long-term
W % 45% or better
Avg W/L 3.5 or better
Profit Factor 5.0 or better
Max DD : Less than 1/4 total net profit
Regards,
Walt Downs
CIS Trading Cos.
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