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Hmm... You might be right! Why not just rank using the sharpe ratio indeed? I will ponder this question tonight... Thanks, nice to hear some re-assurance. I see where you're going with your question. Good one. I have 6 CPUs doing the math on rigorous high-detail back/fwdtesting tick data...

Yes, you're right, i'm trying to find the most 'efficient' system. If you say you don't think that's a bad thing, do you mean that it would be a good idea to give a score to each system simply by doing: Score = AverageDailyProfits * SharpeRatio ? By most 'efficient' i mean that i expect my...

When I ask "how would that be linear" i mean that if i get a slightly higher AVG on System2 than System1 and also System2 has a slightly higher sharpe ratio, with standard deviation in play, i'm not sure it would be linear. Or maybe it would, and i'm just bad at math? Meaning, my worry is...

Hehe, you posted an instant after I mentioned sharpe ratio, so you have my question to your answer already. How would that be linear? My goal is to give a specific "score" to each system. Do you think i should use an abritrary "risk aversion" curve (for the multiplier to the shapre which...

Yeah. I know what you mean. For example systems with huge stops get a returns distribution curve which has the biggest peak at a slightly positive value, another smaller peak at the one stop level (negative), smaller peak at 2xstop, and another smaller peak at 3xstop, etc. This is assuming a...

I mean, if i just did: Score = Average Daily Profits * Sharpe Ratio that wouldn't be quite relevant as i would need a linear scoring system. that wouldn't be linear. or would it?

Heh, you guys are coming up with the same solutions I considered. @DontMissTheBus Yes, conditional is interesting but consider having values of: +11,+11,+11,+11,-3000. Is that system still better than system2? Guess not. Maybe I didn't phrase my question properly though. Common sense would...

This is a question for those good at Math and probability. It has to do with probability distribution and probability mass function. Now, let's say we have two trading systems; System1 and System2. Each places trades for 5 days and these are the end of day profit results: System1: 1...

Hmm, ok what EU debt exposure is she talking about? Is it likely that she really does have some insight into other firms debt exposure or she's just using that as an excuse for shutting down? I didn't care much about the rest of the post, just that.

Still no reply, I see? I was expecting some strong statements from the main two opposing camps. intradaybill and MAESTRO. Got anything for me? ;)

Uhh somewhere between 50 and 1150 i think. 753.21 is about the mean value according to my incredibly complex statistical analysis.

LoL doomsday predictions are always fun. Ok ok let me do my one... err, how about... in 30 days! no no wait, i was joking. February 10th 2012. There. 10022012 as us europeans would say.

:D Didn't see it before! I don't find it weird, just kinda funny really. The platform designers aren't that important, i'm more concerned with how weird the signal providers are. The C2 guys just relay stuff. Last time i used a system i had this guy (system admin) constantly mention "God" in...

Yes it is mostly a masturbatory exercise, I agree. But still, like i said, it's just an idea and not a very good one, I admit. I feel there are lots of scams in the industry, and others might be prepared to do it. If not with algos, then with discretionary trading. Yes, those communications are...

True, the discussion is getting pretty pointless very fast. I was just saying it could be done. So many scams out there...

How will they know? The bank can simply say the algo underperformed. Is that reason enough for a subpoena you think? I think not. The SEC is easily corruptable on these cases.

Ok C2 or prop firms, doesn't matter. Some prop firms will buy signals (in case you didn't know) and have their traders interpret them or act upon them in a slightly different way, thus dispersing the signal and making it harder to detect. Yes, the algo is low risk and profitable, but as i...

Well ok, collective2 is small but imagine selling this to prop firms. Legal risk is minimal short of a subpoena.

A commercial such as a big retail bank with an investment division creates a daytrading algo that works consistently. It only works with a limited capital, like most algos. Too much capital and it becomes detectable and countered by other algos. The bank takes it's algo and puts it on collective...

I've read ALL of the posts within this thread from the start. There have been some great interesting debates, minus the pissing match somewhere down the middle. Anyway, I have a question which pretty much makes the original question obsolete and should answer the most important thing Here it...