Adding parameters to an existing system?

Discussion in 'Strategy Development' started by FlyingSoros, Jun 15, 2010.

  1. Hi all,

    I have an existing system that's losing money 6 days in a row recently...

    What can I do about it?

    I experimented with a new stop mechanism. It adds two parameters to the system, one is the threshold, the other is the window size.

    Of course it improved the system, but it only improved Sharpe ratio marginally.

    What do you think of this new stop mechanism? Do you think I should put it on at the expense of adding two more parameters?

    Any thoughts?

    Thanks a lot!
  2. Retief


    What did the previous back test show? Is six losers in a row that unusual for the system? What percentage of the trades should be winners based on the back testing?
  3. 8 losers in a row now. The previous backtest shows out of all those losing days consecutive runs, there is only < 2% that are 8 losing days in a row.

    It's a common trend-following system with winner traders % > 40%.

    But shall I believe the backtest and maybe the markets have changed completely?