|
PureBytes Links
Trading Reference Links
|
The program was written after trading the same rules in real time for
10 months last year.
The avg winner was $994.96...avg loser was $1178.08.
I only trade 1 lots in the test(now 2 lots after the split). I don't do
slip because 95%
of the time my entry /exit is violated so I don't do mkt orders. I'm at
a big firm so commissions are
very low.
I really don't know how to use the risk trailing stop or % floor....any
ideas there??
What I've been doing with other systems is optimizing them every 28 days
and starting
fresh P&Ls. Does this make any sense to anyone??
Mitch
> -----Original Message-----
> From: Scot Billington [SMTP:scot.billington@xxxxxxxxxxxxx]
> Sent: Wednesday, May 13, 1998 10:30 AM
> To: MitchT@xxxxxxx
> Subject: Re: SPU program
>
> >
> > My problem is ...I don't know how these results compare to others.
> >Take a look :
> > Net profit $32400
> > % profitable 62%
> > 192 trades
> > max drawdown $12850
> > Return 252%
> >
> >The only stop I use is end of day exit.When I optimize stops
> etc...the
> >results are much higher.
> >Is using the optimize stops function just kidding myself(
> overfitting)??
> >
> >
>
> I think further optimization would be curve fitting unless you found
> another virgin set of data on which to use the new parameters. I also
> bet
> you developed your ideas on this same set on which you tested it. If
> you
> did, these results are not valid. You must test on data that was not
> used
> in any way to develop the ideas. A few other questions I think you
> should
> answer: How much comm/slippage did you use? Are you doing around 6-9
> trades per day? (If so, your costs are going to be high.) What is
> your
> average winner and loser? How are you deciding position size?
>
> You should also make slight changes in your parameters and show
> basically
> the same results to prove robustness.
>
> sb
>
|