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Serious effort here. So what would your ATS pricing factor look like?

You making assumptions based on one timeframe ("a very low volatility environment") and applying them to an entirely different timeframe. Okey dokey. :D

You don't think 10k trades are a sufficient basis on which to evaluate a system regardless of time span. It's clear to almost everybody here but you who the real amateur is. Welcome to my ignore list, newby timewaster.

And you're the one who thinks a 1-minute timeframe daytrader needs 10 years to experience a regime shift.

So what's the modification? Are we expected to guess? Use telepathy? Joe Doaks (!) answered your question/problem/whatever. MA crossovers work great when price is trending, and being a form of momentum, they don't lag. Individual MAs lag, MA crossovers don't. The problem is chop. Lag...

So you don't believe in different time frames ... interesting. I'm guessing you are new to this.

Thanks. Here's a preliminary pricing factor. Feel free to dissect it. :) (Winrate/(1 - winrate))*(PF - 1)*SQN/sqrt[1000]

Who are Van and Ken? I like what I see of this SQN. Is there a derivation posted somewhere?

Of course winrate is meaningless by itself. I'm not suggesting a pricetag based solely on winrate, I'm just trying to get a price factor based on winrate. You suggest PF but you don't suggest a way to evaluate it as a price factor. I don't know what all the "relevant" performance stats are...

This I completely disagree with. What matters is the number of trades aka your sample size. Time span is meaningless.

Excellent post. :cool:

That's fitting, not overfitting. No offense intended but are you dyslexic?

I don't get your point but it's irrelevant. Trades aren't normally distributed according to Wm Eckhardt.

Prove it.

Here's an excerpt from the 2011 interview by Futures magazine of William Eckhardt: FM: How do you ward off curve-fitting? BE: What most people use to ward it off is the in-sample/out-of-sample technique where they keep half their data for optimization and half their data for testing. That...

The point of the thread is to come up with an objective system of evaluation that would benefit buyers and sellers alike. A fiat declaration that it can't be done is unacceptable, at least to the OP. And I don't know of any OPM market where a system developer would take his system for ready...

" Overfitting generally occurs when a model is excessively complex, such as having too many parameters relative to the number of observations." - Wikipedia

OK how do you overfit 1000 data points with, say, five parameters?

You're putting the cart before the horse. You're trying to declare a system as either worthwhile or worthless without doing an objective evaluation. Maybe this thread isn't for you. This thread is for those thinking about either buying or selling an ATS. If that doesn't apply to you...

Winrate is not a binary event. I said a number between 0 and 1, not a number either 0 or 1. For example, if the winrate was 0.50, the factor would be 1; if the winrate was 0.75, the factor would be 3. And wouldn't overfitting 1000 data points require using almost 1000 parameters? What kind...