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--- "Gary A. Serkhoshian" <sevg@xxxxxxxxxx> wrote:
> Hello all,
>
> 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.
you probably asked the wrong question.
the # of trades a system needs to prove any validity
must be matched by the length of the data and
how did the data behaviour over the tested period.
example -
say you tested a trend following system over
a boom in price and there was only one single long.
>
> 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?
first of all - if a model works, not much twisting
is necessary because strong statistical bias did the
work for you. you can stay in the mkt all the time
and still winning (if your system does long and
short).
get this part first.
>
> 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.)?
you need something better then TS to get this part,
try export your trade results out and play it on
Excel.
for the real time criteria, when the +85% volume
happened, the actual entry price could be gone
already.
you better test with intraday data if "pre-emptive"
order is what you want to do.
>
> I hope this is clear. I apologize if this reads
> like an IRS regulation.
> Thanks in advance for your replies.
>
=====
Lawrence Chan http://www.tickquest.com
Innovative Analytical Software for Trading Professionals
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