Quote from Algo_Design_Kid:
What?
Have you ever licensed or sold/traded a system with another entity? Usually one prerequisite would have to be the Annualized Volatility of gains. Is this your first time?
Your hypothesis (or POV) is lacking a few things. If you are looking for constructive criticism you will need a few more statistics before getting too excited about anything.
Monthly return 1)Skewness and 2)Kurtosis - annualized Sharpe and Sortino ratios. This would include Annualized Volatility of course.
Things like payoff (payout) ratio are useless IMO. I think you still have some things to think about / calculate, good luck on your journey.
I have been where you have before, so if you want a truthful review you need to do some more work my friend. There is most likely some other things that are not coming to my mind so if I can think of them before someone else does I will let you know.
Please, let me explain why I'm focused on Win/Loss ratio and Win Prob. values.
I have developed some trading system during long time and found that system with low trades have perfect quality values, but not works real life. Visit my web site
www.TrendMedium.com, please (TrendMedium is not loss at least, but it's not ready for big capital still).
But if you system have a lot of trades you can forget about another values and concentrated only on two values - Win/Loss ratio and Win Prob.
Another systems values are useless in this case. If you have a lot of trades, good win/loss and win prob - system is stable already and another quality values is only additional info in report.
Analyze of the Win/Loss ratio and Win Prob. values for system generated a lot of trades can give guaranty of the system stability.
Please, give me any system backtested during 10 years, generated more than 30 000 trades with similar Win/Loss ratio and Win Prob. values.
Regards,
Eugene.
PS. I have not trader's licence and I do not like be a trader, but I found good way for get stable system - it's more better that focused on small details.
