Average system/strategy return breakdown

Discussion in 'Strategy Building' started by DK_, Nov 7, 2003.

  1. DK_


    Just curious, what distribution of proceeds do you account for when evaluating new strategies?


    average historic return +0.70%
    less commissions -0.10%
    less slippage* -0.25%
    actual return +0.35%

    * you should include the daily liquidity of your market

    Please no dumb responses, flaming, etc. (this place is 85% fools j/k)
  2. DK,

    If you believe this, why bother with your kind of questions? Only fools like me will answer.

    Be good,

  3. DK_


    Perhaps I should have requested nothing off-topic.. like this.
  4. ...not sure why you gave an example in percentages, but I enter into my backtesting software in dollars the known commission and the experienced-to-date market order slippage for a roundtrip. What are you really getting at?

    Very truly yours, Eightyfivepercentfool Fifteenpercentjerk
  5. DK_


    because percentages are relative, dollars are not.

    a $1 commission is reasonable for 100 shares but not 10,000 - same goes for slippage
  6. ...gotcha. Across all my systems I am making something like $33 net per trade per contract after about $12 in costs (no monkey-boy laughs from the peanut gallery please, I make it up in volume). Not amortizing in anything like connectivity, charting fee, computer depreciation, printer supplies, tranquilizers, or anti-diahrreals.
  7. DK_


    right on, thanks!
  8. ...you got anything apropos of your own question that you would care to share? Currently trading? Doing system development via backtesting? Timeframe? Results?
  9. DK_


    I have two parties which are seriously interested in licensing a system I've been working on for quite some time. One is a private investor, the other is a prop firm. (please no heckling) IMHO the results are fantastic and before my next presentation I want to make sure I'm using conservative numbers for commissions and slippage. I have already done extensive work WRT: backtest precision, survivorship bias, downdraws, capital mgmt
  10. ...no offense intended, you sound pretty savvy, but if you were trying to sell me I would want to see all the things the books say, and a few they don't:

    degrees of freedom in the BT

    a z-score or something similar

    distributions of up and down runs in days (hence the need for an anti-diarrheal)

    some measure of signal to noise in the equity curve, like the ratio of slope to standard deviation

    "softness" in the equity curve to a modest range of change in the key parameters

    how many contracts are practical to trade without serious slippage during the time of day the system works

    how good the timing is (does it need stops, reverses, and takes to make it work?)

    experienced slippage if using market orders

    ad nauseam.

    BTW, make an old man feel like shit. What's the timeframe, instrument, and net profitability of your system?
    #10     Nov 7, 2003