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Yes, this is the same system. I'm looking to trade a variety of markets with
the same parameters for each. To me the ultimate absence of curve fitting is
a system that works on almost everything without changing any of the
parameters. >>
A manager I know of trades five different systems over 35 - 40 different
markets. All
<< the same parameters for each market per system and all markets on all
systems. The worst drawdown I've seen in that portfolio is around 14,000. Th
is system was tested on data that goes back to the beginning. Some as far
back as 1949. >>
Thank you all for responding!
Vince
<<
Some ideas:
1) if necessary, generate more backtesting data using existing data plus
trend and range offsets
2) 30 trades x 38 markets >= 1000 trades.
That should be enough !
I believe the portfolio can be used to evaluate the system just as well
(even better) than a single symbol.
BTW: is this that same system ?
> -----Original Message-----
> From: VBatla@xxxxxxx [mailto:VBatla@xxxxxxx]
> Sent: Friday, July 14, 2000 3:30 PM
> To: omega-list@xxxxxxxxxx
> 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
>
> >>
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