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> I am curious as to what the common wisdom is on the minimum number of
> trades a system needs in order to consider the resulting data valid.
>
30 is the minimum number of trades to use to see if a system is
even close to being valid.
> Second item for discussion. Once I have some backtested data
> together, is it appropriate to separate above/below average
> winners/losers. To take this one step further, if I were to group the
> trades as indicated (above/below average) and average key measures for
> each group, how much leeway should I give the averages if I want to
> filter out distinguishing characteristics of the above average
> winners?
>
Gary, if you had a lot of experience in this stuff you would know
that out of 30 trades in a system that was about 60 to 65% correct
you would have probably 3 big winners and the rest would be small
winners then a couple bigger losers (but not as big as the big
winners) and a few small losses. So knowing this why would you
want to filter out any winners or losers? Also through experience
you would know that any system that is 55% correct over back
tests will, without a doubt have 10 losers in a row somewhere along
the line.
> For example, if I find on above average winners that volume for the
> entry day is on average +85% of the previous day, would using a volume
> filter of +85% be appropriate for real-time trades taken going
> forward? Is there a more representative calculation than average to
> tell me how a specific group performs for a given measure (volume,
> etc.)?
>
I have never found that on turn days that the volume was high the
day before. The day before is where it is at. Not the first day up.
For instance a couple days ago. On the 8th, I called everyone i
know about buying cattle. No one would listen. Oh well. So you
tell me' what was suspicious about that day that would say look at
cattle for a long? Volume was low. Price nose diving. Then What?
I am sure there are people on here that know what I am talking
about.
> I hope this is clear. I apologize if this reads like an IRS
> regulation. Thanks in advance for your replies.
>
I don't mean to be snotty but the answers to these kinds of
questions are contained in books out there that are readily
available. Read books, lots of books.
bob
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