Artificial Algorithmic Systems Real Trading

Month summary:
I'm down to 97k, so that's about 6% loss in October. Main index went up a lot but that's mainly because large moves in large caps.
So far (since end of July) I'm down about 3% and indexes are at about the same level.
I don't want to this to look like I'm trying to change my benchmark, but... had I bought every traded share at the end of July, I would be down about 4%. So in other words, my results are like trading randomly.
 
System 230904_41122_B sold ADV at 1.105
System 230913_22290_B bought 2419 shares of VVD at 0.824
System 230913_22290_B bought 3834 shares of STS at 0.52
System 230904_41122_B bought 35 shares of PTG at 56.4
 
Alis said:
Month summary:
I'm down to 97k, so that's about 6% loss in October. Main index went up a lot but that's mainly because large moves in large caps.
So far (since end of July) I'm down about 3% and indexes are at about the same level.
I don't want to this to look like I'm trying to change my benchmark, but... had I bought every traded share at the end of July, I would be down about 4%. So in other words, my results are like trading randomly.
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Either that or you have not had enough sample size to determine the expected return.

I kept questioning my day trading system because I can't disprove the null hypothesis: That the results could be produced by a random system without positive expectancy.
 
ironchef said:
Either that or you have not had enough sample size to determine the expected return.
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Number of trades in training period is around 100+ (depending on the system), verification period: ~200, test period: ~250 (highest 400, lowest 195). Each of periods is 5 years (actually test period is almost 6 years by now).
 
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