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In rate, is that interest rate?
Could you explain the tail volume of the loss distribution a little more?
> -----Original Message-----
> From: rudolf stricker [mailto:lists@xxxxxxxxxxx]
> Sent: den 12 juni 2001 22:08
> To: omega-list@xxxxxxxxxx
> Subject: Re: System Performance (philosophy)
>
>
> On Mon, 11 Jun 2001 15:39:21 -0400, you wrote:
>
> >- 60% or higher
> >- 1 to 1 or higher...
> ...
> >the rest of the stats will come from the 60% and 1 to 1...
>
> More general, the "rules" above come down to "which
> criterions to use to select a system", e.g. in a goal
> function during system optimization
>
> Over the last years, I ended up with the following:
> - number of trades/year
> - profit
> - number of winning / number of loosing trades
> - win/ loss ratio
> - max win
> - in rate
> - tail volume of the loss distribution
> All these criterios (weighted over time and condensed to one
> criterion) turned out to be necessary for me, to select a
> system which is profitable _and_ is comfortable for me.
>
> mfg rudolf stricker
> | Disclaimer: The views of this user are strictly his own.
>
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