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The best answer that I can think of is Stridsman's
book "Trading Systems That Work". He points out that
virtually all of Tradestation's and Rina's performance data
is flawed. Any reference to $ figures or stats that used $
to calculate them sould not be used. If I remember
correctly, he said that the only TS stats (that use
individual trade profit in calculation)that should be used
are %Wins and profit factor. Omega and RINA have a form
letter that they send to all users that question them on
this issue. The problem is that their letter does not
appropriately deal with the issue.
His book gives EL and Excel code that properly calculate
performance stats. Using TS stats is dangerous to your
financial health.
Russ
---- Begin Original Message ----
From: John Hayden <jhayden@xxxxxxx>
Sent: Thu, 21 Feb 2002 12:07:22 -0500
To: omega-list@xxxxxxxxxx
Subject: what "numbers" indicate a great system
There has been a lot of discussion regarding the
performance of the Oddball
system with no quantification of what good performance is.
What I would
like to ask is what "numbers" would a really great trading
system have? For
sake of argument let us say that you are looking at a 3
minute chart of
cash S&P for the past year.
Is it:
Total net profit?
High percentage of winners - if so what is considered good?
Ratio avg win/avg loss - if so what is considered good?
Profit Factor - if so what is considered good?
Avg Trade (win & loss) - if so what is considered good?
Avg Winning Trade/Largest losing trade - if so what is
considered good?
Average Winning trade - if so what is considered good?
Average Losing Trade - if so what is considered good?
I realize that the above numbers would be subjective
somewhat because
everyone's risk tolerance varies - however there should be
some common
agreement on what numbers in these ratios would indicate a
great system.
Any comments would be appreciated.
John
---- End Original Message ----
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