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Hi John,
I thought your criteria / analysis was excellent!
Given what you posted, I suspect you may already be familiar with his
work. If not, I recommend to you Tushar Chande's book "Beyond Technical
Analysis: How to Develop and Implement a Winning Trading System" (2nd
edition).
Chande goes through analysis similar to yours. To give you a taste of
it, Chande proposes the following as a benchmark or checklist for a
"good" mechanical trading program. Chande asserts that the following
numbers are typical of the long-term performance of professional money
managers.
Total Entry Conditions / Parameters <= 10
Total Exit Conditions / Parameters <= 10
Number of markets traded >= 10
Test period/data >= 24 months
Equity risked per trade <= 2%
Proportion of profitable trades <= 50%
Average monthly return 1%
Standard deviation of monthly returns 5%
Return Efficiency >= 0.2%
Expected depth of drawdown 20%
Expected duration of drawdown <= 9 months
Proportion of profitable months <= 65%
Expected Return > 13%
Cheers,
Rich
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