Help With Evaulating Intra-Day Trading Systems

nonlinear5 said:
Well, it's your money, but I don't think it's ready. Your stats show the Sharpe ratio of 0.22, which is way too low. They also indicate that the average profit per trade is just 2 ticks, as if it's a scalping system, yet you said that you use 60-minute charts. Scalping 2 ticks from the 60-minute chart does not make sense to me. Too many red flags!
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Morning nonlinear5,

Thanks for the advice. I will keep on going and learning as I go. I will not be applying money to any strategy yet. i am low on capital anyway.
 
truetype said:
The markets tend not to care whether you find your loss "acceptable" or not.
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True, but that wasn't actually the context of the "acceptability" being discussed, here: the frames of reference mentioned/discussed above were more like "someone assessing his own system with a view to deciding whether to trade it" and "what other individuals would find acceptable". ;)
 
Thanks HobbyTrading for the explanation. Very interesting and good learning:

Just to make sure I understand your comments, I have some questions.

HobbyTrading said:
Using at first some portion of available historical data (e.g. 3 years) to curve-fit and then check on the remainder of the data (e.g. 7 years) whether the chosen parameter combinations works well is one way to become aware of curve (over)fitting.
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So after I check the curve fit parameters (from testing on 3 year data) on the out of sample (e.g. 7 years) data, and the results are bad, does the mean the curve-fit parameters from 3 year data was over fitted? Just trying to get the terminology correct.

Thanks
 
Xela said:
Because it speaks to security of funds - about the most significant aspect of investing.






Because he's an experienced, perceptive, educated client? The less sophisticated a potential investor is, the more interested s/he will be in profit potential as the primary consideration, I think.





Unless you're avoiding automation, I recommend the Kevin Davey book already mentioned above. In a world of questionable vendors and authors, he's unmistakably "one of the good guys". I also recommend Michael Harris (see below), and I'd say that the fact that you're asking specifically about intraday systems isn't necessarily terribly relevant, here: the principles are mostly (not entirely, granted) the same, regardless of the trade durations.





Nowadays I have "our people" to do this, and they know far more about it than I do. In all my independent/retail-trading past, the first three things I ever looked at were - in this order - drawdown, drawdown and drawdown (I was trading my own limited funds, and wouldn't have been able to continue to make a living at all, if I'd risked losing significant chunks of it!).





Well, "robustness" in its broadest sense ... but that's not much of an answer, is it? More a way of re-wording the question! I recommend Michael Harris's Profitability & Systematic Trading as a not-too-long and highly readable answer to this.

But there's never certainty.

Trying to read between the lines of your post above, I suspect that Ralph Vince's excellent book The Mathematics of Money Management: Risk Analysis Techniques for Traders will perhaps be particularly helpful to you (and he posts here sometimes).
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Another thing about drawdowns; fine when you are a young turtle. but once you turn 50or even 49, you may not have as much time to recover?? See??,????? Drawdowns to 50 day moving average are fine, juts make sure its not 50%. 5 minute chart is one of the most hated least profitable, but suit yourself. Wisdom is profitable to direct........
 
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