System Developers Journal Thread: Revisited

Quote from TraderSystem:

What happens with long term systems when a trade lasts for 6 months or more and you have multiple slippage and commission how do you test for that?

Also, when you optimize a system, how do you tell if a set of parameters is robust or not?
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Please, can someone tell me this? Thanks! :)
 
Quote from TraderSystem:

What happens with long term systems when a trade lasts for 6 months or more and you have multiple slippage and commission how do you test for that?

Also, when you optimize a system, how do you tell if a set of parameters is robust or not?
More...

Quote from TraderSystem:

Please, can someone tell me this? Thanks! :)
More...

With reference to the above queries, the answers are as follows:

  • Regarding the trade lasting six months or more with multiple slippage and commission:

    I use the Beta version of TradersStudio. I do "quick testing" without that adjustment, as long as average trades are $400.00 or more which is not an issue.

    When I do the final testing, I make use of the addslippage function to simulate multiple exits and entry due to rollovers.

    In the new Professional version, a new function has been added: "the AddSlippage function".

    This new function allows us to handle multiple slippage adjustment for long trades.
  • In order to tell if a system is robust or not:

    You need to look at the surface of the optimization space. Please see the link given for more information on the same: System Developers Journal Thread: Revisited
 
Quote from Gyles:

With reference to the above queries, the answers are as follows:

  • Regarding the trade lasting six months or more with multiple slippage and commission:

    I use the Beta version of TradersStudio. I do "quick testing" without that adjustment, as long as average trades are $400.00 or more which is not an issue.

    When I do the final testing, I make use of the addslippage function to simulate multiple exits and entry due to rollovers.

    In the new Professional version, a new function has been added: "the AddSlippage function".

    This new function allows us to handle multiple slippage adjustment for long trades.
  • In order to tell if a system is robust or not:

    You need to look at the surface of the optimization space. Please see the link given for more information on the same: System Developers Journal Thread: Revisited
More...

Thanks for the reply! :)
 
Quote from JaiSreeram:

What has happened to Gyles and the rest of the experiment? It was really interesting and very helpful in many ways.
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Greetings to you all for the “New Year 2009”!

Sincere apologies for the long delay as I was away due to urgent work at home. I shall continue the experiment by next week or so.
 
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