Steps in evaluating/testing a system
Posted: Mon Apr 28, 2003 6:51 pm
Hi all,
I'd appreciate everyone's comments on the necessary steps to fully test a system. Assuming I have accurate end of day futures data for the last 20 years and I'd like to test a long term trend following system, here are the steps I think I need to walk through...
1) test base system and assess:
3) Re-run test with the best inputs from step 2 and re-assess the same outputs as in step 1.
I know this is a very broad based question, but I'd like to learn what others are doing to test systems.
Thx,
Jimmy
I'd appreciate everyone's comments on the necessary steps to fully test a system. Assuming I have accurate end of day futures data for the last 20 years and I'd like to test a long term trend following system, here are the steps I think I need to walk through...
1) test base system and assess:
- - returns (monthly, annual, and average per month)
- drawdowns (monthly, annual, max for monthly and annual)
- win/loss ratio
- average winner and average loser
- risk adjusted return (Sharpe and/or MAR ratio)
3) Re-run test with the best inputs from step 2 and re-assess the same outputs as in step 1.
I know this is a very broad based question, but I'd like to learn what others are doing to test systems.
Thx,
Jimmy