|
PureBytes Links
Trading Reference Links
|
Lawrence Chan wrote:
> #2 - $ gain averages or % gain averages are not dependable
> measures of a good system. It just show how the system's been
> curve fit (all backtesting are some form of curve fit) to the historical
> data without appropriate understanding of the properties of the
> price stream to be traded. Thus trading system with just $ gain
> or % gain numbers looking ok is committing suicide.
But these two numbers together ($Gain & %Win), along with $Loss, give you
the mathematical expectancy of the system, which would seem to be fairly
important.
If not these numbers, then what do you use, Lawrence, to evaluate your
trading system results? Since you have a strong background in statistics, do
you use confidence intervals & the like, Monte Carlo simulations, etc?
Thanks,
Cab Vinton
|