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Gary:
Terrific post. The optimizer in TS can be the best or worst tool in the
box, depending on how you use it.
Your section on the dangers of optimization should be required reading in
Trading 101.
One thing I look at also is the number of consecutive losing trades. Seems
like most people will abandon a system after 3 - 4 consecutive losses.
I also mentally construct a net profit - drawdown ratio. Could do this is
in Excel but haven't bothered.
As a parameter, I like to see a system with at least 3x net profit to
drawdown.
John Clayburg
Gary Fritz wrote:
> Recently I've written up some "how to test systems" comments for a
> few people. I decided this would probably be valuable for a lot of
> folks, so I expanded it and (hopefully) made it more generally useful.
>
> If you are a system-development expert, please feel free to comment!
> I think I have a pretty clear understanding of the optimization
> process, but I'm very willing to learn more.
>
> Hope it's helpful,
> Gary
>
<<snip>>
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