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Re: What to expect from a trading system ?



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Henry,

I pondered this question recently after developing a quasi day trading
system titled MONS.  It trades a basket (would you believe over 30?) of
commodities.  My original goal was to have a system that did well over the
basket for diversification, with a profit factor over 2.0 and with a ratio
of winning trades over 60%.  Well I couldn't achieve that through
backtesting but got somewhat close.  In June I decided to enter a campaign
and trade it on a small scale with real money.

Through today, I had 34 individual trades, one contract each, with a 54.8%
win/total ratio, a profit factor of 1.88 and an average net trade of $98.80.
The latter two numbers could have been much higher if I hadn't screwed up
with some operational problems of putting on stop losses, copying down
numbers wrong, etc..

I hope this answer helps you and also demonstrates the value of checking
real money trading results with simulated (and sometimes optimized)
TradeStation system results.

Marlowe


-----Original Message-----
From: Henry Amand <back@xxxxxxxxxxx>
To: omega-list <omega-list@xxxxxxxxxx>
Date: Monday, August 09, 1999 11:35 AM
Subject: What to expect from a trading system ?


>Hello, i have a question for you since you have more experience
>in this than i have.
>
>What is the highest percentage i should ask from a system before
>i start trading it ? When testing i come to a nice 60% but, being with
>optimalisation, and optimalisation is always for the past, that seems
>to be a little low. Ofcourse i can imagine if that 60% of the trades
>make, say an average of 25 points and the losses make only 5 points
>it's a good system.
>
>But, ofcourse that can go fairly fast to 40% winning and then it is not
>that good anymore.
>
>So what should i expect when backtesting ? and what should i aim for ?
>
>Thanks in advance,
>
>Greatings
>
>Henry Amand
>