I'll make a few points: 1. The "net profit" is probably the worst measure of performance, because it does not account for risk whatsoever. Max DD is also misleading, because it relies on the certain sequence of trades which is really irrelevant. In a Monte Carlo simulation, the trades are shuffled. On this shuffled sequence of trades, Max DD will be different every time, yet the trading strategy is the same.
2. I use Profit Factor and PI almost exclusively, and Kelly once in a while. All three (Profit Factor, PI, and Kelly) normally go together. That is, the strategy with a high PI tends to have a high profit factor and high Kelly. 3. The larger the number of trades and the smaller the number of strategy parameters, the more statistically significant are the results. Also, PI by its very definition acts as a statistical significance test. 4. To evaluate the robustness of the strategy, look at its performance when the best strategy parameters are changed by 15% or so. Is the strategy still profitable, or has it lost all of its merits? --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
