Info Bef

Wed, 15 Feb 2012 14:36:57 | Exit Strategy

between , the number of bars each trade was held, the account equity at the start of each trade, the maximum favorable and adverse excursions within each trade, and the account equity on exit from each trade. Most trade-by-trade reports contain the date and time, if applicable each trade was entered, whether a buy or sell was involved that is, a long or short position established , the number of contracts in the transaction, the date the trade was exited, the profit or loss on the trade, and...

Evaluating A System Statistically

Mon, 23 Jan 2012 19:34:02 | Exit Strategy

Now that some of the basics are out of the way, let us look at how statistics are used when developing and evaluating a trading system. The examples below employ a system that was optimized on one sample of data the m-sample data and then run tested on another sample of data the out-of-sample data . The out-of-sample evaluation of this system will be discussed before the in-sample one because the statistical analysis was simpler for the former which is equivalent to the evaluation of an...

Test Methodology

Sat, 24 Dec 2011 18:50:48 | Exit Strategy

In all tests that follow, the standard portfolio is used. The number of contracts to buy or sell on entry, in any market, at any time, was chosen to approximate the dollar volatility of two S amp P 500 contracts at the end of 1998. Exits are the standard ones. All tests are performed using the C-Trader toolkit. The portfolios, exit strategies, and test platform are identical to those used previously, making all results comparable. The tests are divided into trend-following and countertrend...

Which Optimizer Is For You

Sat, 03 Dec 2011 13:53:38 | Exit Strategy

At the very least, you should have available an optimizer that is designed to make both brute force and user-guided optimization easy to carry out. Such an optimizer is already at hand if you use either TradeStation or Excalibur for system development tasks. On the other hand, if you develop your systems in Excel, Visual Basic, C , or Delphi, you will have to create your own brute force optimizer. As demonstrated earlier, a brute force optimizer is simple to implement. For many problems, brute...