If I understand you correctly, you're suggesting that a more objective measure of the performance of a strategy -- as determined during backtesting or optimization -- could be obtained by comparing the strategy's results with the maximum possible outcome of trading against the market movements over that same time period.
Is there some references to how this is implemented in other systems? Does this already exist somewhere? It isn't immediately clear to me how to even determine what the maximum possible outcome is for a given set of data. I suspect an iterative or fractal-based approach would be required here. On 21 Aug, 19:10, Chronos Phenomena <[email protected]> wrote: > Hi Guys, > > I'm wondering you ever considered to implement abouve performance > measure... The idea is simple... what is the maximum possible profit > during the day (go short when it's falling, go long when is > rising).... imagine that you have ability to see the future.... > > Now devide actual profit with this one and you will get very good, > objective and consistent performance measure.... > > Any thoughts? --~--~---------~--~----~------------~-------~--~----~ 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 -~----------~----~----~----~------~----~------~--~---
