With this two systems (#QQQIBSM1 and #SPYLS1) we get a nice and stable equity curve with a MDD of 14.62%
ETF (mostly) trading system development
- Thread starter QuantpTrader
- Start date
And..... with only one (almost even) losing year!
This system does look like it has potential. The code appears to be in Amibroker. But, if you've optimized over all the data, then these trades are in-sample and the result is curve fitted. Not trying to be critical, just saying ...
Brooks
Brooks
You are refering to the first or second system? Or both?
September is usually most bearish month of year, agreed.
Here in another week's time.
I'd have concerns with one or both systems if 100% of the historical data was used to optimize the input parameters and no historical data was set aside for out of sample testing.