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Could someone please post me the original post everybody is referring to. I
guess it must have included some file with hints and tips.
> -----Original Message-----
> From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> Sent: Monday, November 22, 1999 5:40 PM
> To: clayburg@xxxxxxxxxx; fritz@xxxxxxxx
> Cc: omega-list@xxxxxxxxxx; Code List
> Subject: RE: CL_Evaluating & Optimizing systems-Oct97,Oct98 WATCH OUT
>
>
> Agreed.....great post.
>
> In backtesting......regarding Max Drawdown.......watch-out
> for Oct 1997 and
> Oct 1998 time-frames !!!
> Your system may be terrific but the max drawdown may have
> occurred somewhere
> in these times of high volatility and drastically fast down-moves.
>
> Don't "kill" your system if it gets "hit" once in these
> "untypical" times.
> Remember...Vic Niederhoffer was bankrupted in Oct 1997....in
> one day.....he
> lost over 40 million.....shorting puts.
>
> Note: I would say August 1987 is another back-testing
> "outlier"......very,
> very few technical indicators could have seen that one coming.
>
>
> > -----Original Message-----
> > From: John Clayburg [mailto:clayburg@xxxxxxxxxx]
> > Sent: Friday, November 19, 1999 9:47 AM
> > To: fritz@xxxxxxxx
> > Cc: omega-list@xxxxxxxxxx; Code List
> > Subject: Re: CL_Evaluating & Optimizing systems
> >
> >
> > 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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