Traders' Roundtable

I have been running the trial and while it looks OK I do get a lot of error messages - VE seems to want some connection with Internet Explorer, which I don't use for the usual security reasons. Also difficult to move stops with VE (or at least I find it difficult) and as moving stops is a frequent a...

While not in the same league as the Subversion crowd, this is how I keep track of systems (and components of systems) under development: Each system gets a version/revision number placed in the code header, starting with alpha characters until it actually works (a.1, a.2, a.3, etc) then moving to nu...

smodato, the only way to resolve this to your own satisfaction is to test the heck out of it! My preference for such evaluation is to look first at the equity curve to get a feel for the general nature of the MM strategy being tested, then review the statistics in detail. FWIW my findings to date in...

I keep coming back to this basic question: how can I tell if a market is in a trending mode or in a non-trending/sideways mode? If I could answer this question with any degree of reliability then I could match the system to the current market mode. Would anyone care to offer suggestions on how I mig...

Hi K1, I do a lot of testing and one thing that tends to stand out after a while is that there are far more system ideas that don't work compared to the ones that do. Sometimes when I have a real pig in testing I will try reversing the signals on the basis that if is really that bad then it must wor...

Roscoe, how about giving us your comments on the GPF at that link? Hi Hiramhon, I am just amazed that anyone could wrap so many components into one statistic! Still not real sure what to make of it - Kevin's "kitchen sink" comment sums it up rather well. The obvious appeal of having one s...

I just found this interesting composite measure of goodness. Comments?

Two questions that could be asked are I have $15,000 to trade system X, how should I run backtests of X? I have chosen system X, how can I figure out an appropriate starting capital amount to trade X? In my original post I was coming more from the #2 perspective - "how much do I need to fund t...

A question if I may: how should I calculate a starting account size for use in system testing? Several performance statistics require a starting account size (CAGR for one) but I have not seen much discussion on ways of calculating the figure. In the interests of meaningful performance comparisons b...

Thanks Ted, I appreciate the links, and I certainly appreciate this site - some great content presented with wisdom and dignity.

Thanks also to c.f. for making this possible!

Roscoe

Thanks Kevin, much appreciated!

Just posted the corrected spreadsheet (in my prev post above) for anyone who wants to use it.

While we are on this subject, does anyone have any other suggestions for useful metrics?

Roscoe

Attached is an Excel spreadsheet that I have put together to test a few performance calculations as discussed in the thread "Identifying Efficiency in a 3D Matrix", which, by common concensus, has been moved to this thread. Thanks to Kevin for putting me straight on the MAR calc. Contains:...

Inflector wrote:How do you compute the MAR ratio?

CAGR / MDD%

I have posted a spreadsheet here viewtopic.php?p=6468#6468 that has the calc in it as well as a few others. Hope it helps!

Mr Moderator: would it be possible to move this entire set of posts to the "By What Measure? How Do You Know if a System is Good?" topic as referenced above by Ted and c.f.?

In that manner we can continue the discussion without doubling up or missing something. Thanks in advance!

Hi Kevin! Maybe we might also consider the Rod Sharp/Bo Thuman P essimistic R eturn o n M argin (PRoM)? Assume that you one std dev more losers and one std dev more winners that you actually did. Then calculate the total profit using the system's average win and average loss. If, using that assumpti...

Sean, You have hit on a subject dear to my heart, and with the concurrence of the list I feel we could explore this further - what indeed is a usful measure of system of strategy efficiency? In addition to your suggestions, would members care to comment on (and add to) the following brief list: RoA ...

Hi George, welcome aboard! I must repsectfully disagree with Jimmy however: it is my opinion that money management and position sizing are one and the same thing: a strategy to determine the 'optimum' size (as in number of contracts) to take when entering a trade. There are two basic types of positi...

I have been testing Fixed Ratio and some variations of Fixed Fractional, being Tharp's %Risk and %Volatility. One observation: FR (as has been said earlier) puts most of the risk up front, giving the bulk of the risk when there is less to lose - the curve tapers off as the account grows. The curve f...

My background is sort of 'user' only, with some experience (self-taught) in EasyLanguage and Visual Basic. I knew that I would have to commit to learning a language thoroughly in order to develop systems in the manner I wanted, and after some deliberation I selected C++ based on the extensive suppor...

fliesch wrote:Do you use Smartquant (now quantstudio)?

fliesch

No.