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Ross,
> Would anyone care to share their views on what constitutes
> acceptable system performance: what baseline values they consider
> would make a system a candidate to move from testing into real
> trading?
Well, you probably know my answer, if you read my article at
http://unicorn.us.com/trading/expectancy.html
> Performance Statistics for Position trading:
>
> Statistic Value Description of Stat
> ================================================================
>
> Mathematical Expectancy > 0.6 $ return for $ risked
>
> Opportunity * Expectancy > 2.0 Opportunity = Trades per Year
Huh? An opportunity factor of 2 and an expectancy of 0.6? That's
only 3 trades per year! You want to maximize both.
> Win/Loss Ratio > 2.0 [ AvgWin / AvgLoss ]
>
> Profit Factor > 3.0
>
> Annual Return on Account > 50% account = [(Margin*4)+(MDD*2)]
>
> Net Profit to MDD Ratio > 3.0
>
> Percentage DrawDown < 30%
Actually, opportunity factor pretty much captures all the rest ofse.
tho In my opinion it's the best objective measurement you can u se.
> What I am trying to determine is:
> * what statistics are truly useful; and
> * what base values are considered acceptable.
To me, any expectancy over 0.30 is acceptable for position trading.
I made one (after much curve fitting) go as high as 0.50. The
results are distributed with my ProSizer software. It goes from
$10K to $2 million in 200 trades (which took about 3 years). So the
opportunity factor is very high.
No way I'd ever trade it though. *I* know it's curve fitted.
-Alex
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