Defining Success

[edbar]

Quote from tradecalm:

... which generates results, consistent with the results of an identical strategy prior to it being automated.

That is it.

I run multiple unattended automated traders and there is no way to "manually" trade them. You would go crazy.

My measure of a successful automated strategy is does it make more money in profits than it loses. That is not always easy to measure as you could have losing positions that are open, while at the same time closing positions and locking in profits all month. But if the net account value continues to grow month over month then it is successful.

Ed

 

[fullautotrading]

Success, i think, must be defined in terms of measurable results.

I would define successful a strategy using the following the following metrics ("AvgProfit" indicates the average P&L over a given unit of time):


1. Ratio: AvgProfit / | min P&L ever seen |
positive and maximum possible

AND (especially for futures folios)

2. Ratio: AvgProfit / | max position ever seen |
positive and maximum possible

(possibly as percentages)

In particular, the strategy with systematic maximum positive (2) would be my preferred ( | max position ever seen | would be a proxy proportional to margins, which are difficult to compute in simulations).

Tom