A Comment and a suggestion ... - DrawDowns ... I could be wrong but I suspect most people can't tolerate 28% DD's ... To bring that number down to the point where at least some people would be comfortable with it using real money one would I think have to cut it half. Doing that with an existing system by restricting how invested one is will result in the CAR being reduced to the square root of its original number.
- Objective Testing ... Take your data, cut in half ... Optimize your system over half of the data and then test the parameter values on the other half. This rudimentary view of out of sample testing will give you some idea of what you are likely to experience in real trading as opposed to totally in sample results. --- In [email protected], "intermilan04" <[EMAIL PROTECTED]> wrote: > > Since I have optimized my system between 1996-2006, I guess the > answer would be the same time period. > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > That doesn't answer my question ... > > > > In the development of the system what range of data ( time period ) > > did you use ? The same time period ? An earlier one ? > > > > --- In [email protected], "intermilan04" <intermilan04@> > > wrote: > > > > > > The numbers are the result of backtesting my system with > > > NASDAQ and NYSE tickers (around 7000 tickers) between > > > 1996/1/1~2006/1/1. > > > > > > --- In [email protected], "Fred" <ftonetti@> wrote: > > > > > > > > Are the numbers you posted in sample or out of sample ? > > > > > > > > --- In [email protected], "intermilan04" <intermilan04@> > > > > wrote: > > > > > > > > > > I know it depends on what you want personally for risk/reward, > > but > > > > I'm > > > > > curious as to what other people's systems (developed in > > Amibroker) > > > > are > > > > > performing like. You don't have to share your code or the idea > > behind > > > > > your system (unless you want to), but I'm curious. > > > > > > > > > > Over the last 10 years, say, what is your annual profit %, max > > > > > drawdown, % winning trades, etc.? > > > > > > > > > > I have a long system that has returned around 110% since > > 1996. Its > > > > > winning % is 47%, and the system drawdown is 28%. It is a > > > > > reversal-based, swing-daytrade system. > > > > > > > > > > > > > > > Please note that this group is for discussion between users only. To get support from AmiBroker please send an e-mail directly to SUPPORT {at} amibroker.com For other support material please check also: http://www.amibroker.com/support.html Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> To unsubscribe from this group, send an email to: [EMAIL PROTECTED] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
