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----- Message d'origine -----
De : Bilo Selhi <citadel@xxxxxxxxxxxx>
À : pierre.orphelin <pierre.orphelin@xxxxxxxxxxxxxx>; L_Omega <omega-list@xxxxxxxxxx>
Envoyé : mercredi 16 août 2000 05:10
Objet : Re: Bund-futures tradingsystem
> Pierre,
> would you be so kind as to post a system report of
> such system tested on unseen data.
> bilo.
I have used the same example than in the Safir-X 3.1 evauation version.
The indicators are:
slowk(10), slowk(20) and their first difference.
I trained this on a small part of the Dax futures 30 min.
This training part is highlighted by the yellow portion of the equity curve ( train data are shifted to the left, see post II)
The white part is unseen to the trained system.
Results expressed in Dax big points
Here are the results:
( performance summary attached)
9938 dax points on unseen data ( white part of the performance summary)
max DD 592 points
#of trades 2357. (Starts to begin to be a serious number for statistics).
Sincerely,
-Pierre Orphelin
Neurofuzzy Logic tools for TradeStation
Free evaluation versions and competitive upgrades available
web: http://www.sirtrade.com
Attachment Converted: "c:\program files\qualcomm\eudora\attach\snap115.gif"
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