You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Your best backtested results
- Thread starter psytrade
- Start date
This post misses an important point about system testing.
You can over-optimize any system to within an inch of its life and tweak out the last 0.001% of profitability. And then go & try to trade it - it falls flat on its face.
Also, to increase profitability, just increase the length of time you are optimizing over.
I counter that it is less important to find a system that yields 500% returns with 20%maxDD, than a system that yields 40% with a 10% maxDD and can consistently be expected to work for the next 6 months.
That's what I am after.
You can over-optimize any system to within an inch of its life and tweak out the last 0.001% of profitability. And then go & try to trade it - it falls flat on its face.
Also, to increase profitability, just increase the length of time you are optimizing over.
I counter that it is less important to find a system that yields 500% returns with 20%maxDD, than a system that yields 40% with a 10% maxDD and can consistently be expected to work for the next 6 months.
That's what I am after.
Did you mean systems that TESTED well or TRADED well?
Try this one:
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=21476
This is a very broad question -- try narrowing it further.
SSB
http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=21476
This is a very broad question -- try narrowing it further.
SSB
I'm using two different systems I developed myself. One is a dip buying system that I did completely from scratch the other is a trend following system based on something I found on the wealthlab website.
The trend following system is customized for both the Russell 2000 and S&P 400 midcap e-mini futures. Either version of the system works well on the other future, but I do have the parameters changed to get the maximum historical profit.
The dip buying system works across a fairly broad array of markets without changes, although I'm now considering whether or not to optimize for some currencies that have had problems in the past.
I don't see a problem with some optimization, but if the system didn't work before the optimization then optimizing it to give a good profit is a bad idea. At least in my opinion to be a candidate for optimization a system should start with a profit factor of at least 1.5.
SSB
The trend following system is customized for both the Russell 2000 and S&P 400 midcap e-mini futures. Either version of the system works well on the other future, but I do have the parameters changed to get the maximum historical profit.
The dip buying system works across a fairly broad array of markets without changes, although I'm now considering whether or not to optimize for some currencies that have had problems in the past.
I don't see a problem with some optimization, but if the system didn't work before the optimization then optimizing it to give a good profit is a bad idea. At least in my opinion to be a candidate for optimization a system should start with a profit factor of at least 1.5.
SSB