Re[2]: What Constitutes Acceptable System Performance?

[Ross Bond <Ross.Bond@xxxxxxxxxx>]

Hello Alex,

AM> Well, you probably know my answer, if you read my article at
AM> http://unicorn.us.com/trading/expectancy.html

Thanks for the article Alex, I appreciate your insight.

I am currently coding your version of Expectancy - I have been using
the Ryan Jones version up to now. Am I correct in assuming that your
version is more conservative than Jones' in that it disregards the
outliers? Sounds sensible to me.

>>  Opportunity * Expectancy   > 2.0  Opportunity = Trades per Year

AM> Huh?  An opportunity factor of 2 and an expectancy of 0.6?  That's
AM> only 3 trades per year!  You want to maximize both.

No, not just Opportunity - in Tharps terms this is called 'Expectancy
score' and the calc is [(trades per year) * Expectancy].

Ross