Traders' Roundtable

Ditto very appreciated and all that. My 2 cents is that the biggest caveat is actually embedded in one of Sluggos comments above: "You might want to ponder that for a moment, in the context of In-Sample vs. Out-of-Sample correlations. (Yes, I realize this post doesn't include Out-of-Sample meas...

Many thanks Ian, IMHO an awesome and valuable contribution. And as far as “amateurish natureâ€

Ditto. Also interested in Sluggo's comment about appropriate goodness function when using an adaptive search method. Makes some intuitive sense but can't profess to understand all the logic links. Also, curious what the concept is behind (RAR * %BarsProfitable/StDev) and what is meant by %BarsProfit...

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Assuming Sluggo trades his 156 market “kitchen sinkâ€

If a man speaks in a forest and his wife isn't there to hear him, is he still wrong?

Why not trade Spot Brent or WTI directly? Scroll down to end of http://www.gft.com.au/sheets/cfd/commodities.asp

Suggest searching for "intraday" in the forum and then follow your nose.

Or set leverage to 100 and be sure to divide risk per trade % by 100 and use your actual account balance.

Have you tried walk forward analysis? Various combinations - eg: In sample for 10 years, followed by out of sample for 2 years, etc?

Unfortunately p34 wasn't one of the preview pages and from what I was able to preview I'm afraid that book is beyond me!

Noticed some test results with negative CAGR but slightly positive expectancy - initially thought formula/calculation must be wrong but now believe it is possible as shown in the attached simple example.

Any thoughts on why it is possible?

Hi Noododahs Thanks for responding. I understand, and have for some time, understood the benefit of looking at trading statistics based on only upside or "good" volatility (eg semi deviation) versus those looking at all volatility (eg Sharpe ratio). My lack of understanding is around, in y...

Sluggo - anticipating a potential response, or a no answer therefore implied response, of "just test it", I did. Based on a few tests, it seems that a 0% min CAGR semideviation threshold results in a lower CAGR, but broadly similar MAR, lower Max DD and shorter longest drawdown than a 15% ...

Thanks Sluggo, funnily enough I was just rereading Google searches for "semideviation ratio formula". My problem is twofold. 1. I get the general concept of risk free rate and why one would, because of risk and personal objectives, want to set a higher than RFR target return, or minimum CA...

Sluggo, you may be wondering about the Subject of the post given the contents of my question. The answer is that I didn't choose the title, Tim did when he moved it from where it originally was, a followup to your post responding to my post in "System for Sale". Quite sensible for Tim to m...

Yes I did and yes I read both of those you identified and others. I get the overall concept. My question relates specifically to the setting of the Threshold parameter. Don't know how to make my question clearer.

See Feature Requests - Automated Walkforward Testing

[MOD]: In reaction to this piece of code in the Blox Marketplace : Semideviation Ratio performance statistic , bobsyd comments: Not sure I understand the point of having the threshold. Notice you set the default at 15. But what if you set the parameter to 0 or to 30. The calculated numbers would ob...

Great post TK - of course I'm biased though! Was writing the below, when I saw your post - think it will still add to what I think is a very important discussion. Re: "binary option" - Yes, but as I understand it (largely from Pardo's EOTS) there are many aspects of curve fitting, all opti...