|
PureBytes Links
Trading Reference Links
|
FWIW, I have come to believe that in the world of
trading systems, # of trades in a backtest has very little
correlation to how well the system will do going forward,
until the sample size becomes larger than is often
possible. Over the past 9 years, we have tested many
many hundreds of systems, and traded over 100 different
ones. All the ones we trade/traded had excellent backtest
results. Some had many hundreds of trades, a few had less
than 20. I believe that there is probably little or no
positive correlation between the number of trades in the
backtests and the realtime success of those 100+ systems.
We do trade a very simple stock system which tested
extremely well on hundreds of stocks and continues to hold
up very well on probably 500+ trades realtime.
Backtest runs on this method included thousands of trades.
regards,
rich
At 11:48 AM 7/15/00 -0500, Simms wrote:
>My experience is that 100 is minimal.....300+ trades is better.
>
>> -----Original Message-----
>> From: Brian [mailto:bnm03@xxxxxxx]
>> Sent: Friday, July 14, 2000 11:21 PM
>> To: List, Omega
>> Subject: RE: A question about system design.
>>
>>
>> The magical number of 30 comes from sadistics (statistics) where 30 is
>> considered a minimum sample size for any valid (statistical)
>> analysis. You
>> really should try to acquire at least 30 trades. I've seen systems that
>> backtest great across 10-15 trades but then quickly fall apart in
>> real time.
>>
>> > -----Original Message-----
>> > From: Ross S Bond [mailto:ross.bond@xxxxxxxxxxxxx]
>> > Sent: Friday, July 14, 2000 6:54 PM
>> > To: VBatla@xxxxxxx; omega-list@xxxxxxxxxx
>> > Subject: Re: A question about system design.
>> >
>> >
>> > From my reading to date 30 to 40 trades over the portfolio is considered
>> > statistically relevant.
>> >
>> > Ross
>> > ----- Original Message -----
>> > From: <VBatla@xxxxxxx>
>> > To: <omega-list@xxxxxxxxxx>
>> > Sent: Saturday, July 15, 2000 6:30 AM
>> > Subject: A question about system design.
>> >
>> >
>> > > In testing a system I understand that you need at least 30 - 40 trades
>> > before
>> > > you can accurately evaluate it.
>> > >
>> > > What if you have a system that only trades 10 - 15 times over
>> a 15 year
>> > > period? The one I'm testing holds close to that frequency over
>> > 38 markets
>> > > that I tested it on. About 75% of those markets show a profit. The
>> > question
>> > > is: should the system make 30 - 40 trades per market or per portfolio
>> > before
>> > > it can be taken seriously?
>> > > [Of course all of the parameters are the same for
>> each market.]
>> > >
>> > > Thanks in advance for any opinion,
>> > >
>> > > Vince
>> > >
>> >
>> >
>>
>
>
>
|