Analyzing System Back Testing Performance

[SimpleMeLike]

Hello,

I am currently manual back testing some trading system ideas.

After manual back testing 2 or more systems over a +300 sample trades, I do not have the knowledge or experience of how to determine the future profitability of the system and how to determine if the system back testing provides a statically confidence edge for me to trade with real money. Besides saying "system A made more money then system B over +300 trades, so I will now trade System A with real money"

Please recommend a book so I can learn how to analyze a system performance going forward?

Thank you

 

[nonlinear5]

Hello,

I am currently manual back testing some trading system ideas.

After manual back testing 2 or more systems over a +300 sample trades, I do not have the knowledge or experience of how to determine the future profitability of the system and how to determine if the system back testing provides a statically confidence edge for me to trade with real money. Besides saying "system A made more money then system B over +300 trades, so I will now trade System A with real money"

Please recommend a book so I can learn how to analyze a system performance going forward?

Thank you

 

[SimpleMeLike]

Thank you nonlinear5,

For these books, do I need any algorithmic programming skills? I am not ready for this programming adventure yet.

I just manual back test my systems in an Excel sheet.

Thanks,

 

[Slope Trader]

Nonlinear, thanks for this. I enjoyed reading the books by Pardo and by Tomasini & Jaekle, but had somehow missed the book by Fitschen...I've just placed an order for it.

Another offering in this area that is worth being aware of is the comprehensive tome by Perry Kaufman



I also enjoyed a couple of Howard Bandy's books, most recently the one discussing mean reversion systems.