It actually is a fairly good way of comparing strategies. I have been cranking through strategy after strategy and forward testing in preparation of going live for round #2 soon, and this formula is one I have been using to help weed out the strategies.
thinking of using this as a intra - trade filter. open profit/(drawdown each position * sum of time in positions) mark brown
Frosty, This was a very inspirational and useful thread. I am following in your footsteps and starting down the path of auto trading. I have just finished preliminary learning of IB api. I have posted C# code testing the IB api and running a naive strategy at my blog. [http://www.arbitragedude.com/?cat=92] I plan to keep a log of my real strategy on my blog as well. Happy Trading ya'all. Regards, ArbDude