How can I tell if my system is ROBUST

Discussion in 'Trading' started by Aafwintb, Sep 7, 2001.

  1. mmillar


    I'm not saying RSI should make money. Aafwintb asked a question about the 'robustness' of systems and, as an example, said should he use an RSI of 6 with x statistics or an RSI of 12 with y statistics. My comment was that choosing between 6 or 12 is not the most important thing. When looking for a 'robust' system you need to ensure that a wide range of input values are profitable i.e. 1-30 not just 6 and 12. In that way as the market changes in the future you are still likely to make money. You can replace RSI with anything.
    #21     May 9, 2004
  2. mmillar



    Ryan Jones' book 'The Trading Game' has a couple of very good chapters on Optimization and Robust Statistics. The book is actually about money management so you probably wouldn't want to buy it just for those chapters.

    #22     May 9, 2004
  3. OK
    #23     May 9, 2004

  4. Why do use the product of these three ratios, what does it mean, what does it express? Why do you consider 1 to be a cut-off level for this product?? What would be the value of this product for an "exceptioanlly good sytem;' in your estimation?
    #24     May 21, 2004
  5. imo it means you have a good positive expectation and you won't be eaten alive by commissions and slippage. when you start getting below 1, on paper you might be profitable but in real live trading, unexpected events like slippage could hurt you.
    #25     May 21, 2004
  6. Isn't "percentage win/loss" essentially the same as "ratio win/loss"??

    Seems like you only need to know that ($win/$loss)*(#win/#loss) is > 1
    #26     May 21, 2004
  7. if you were just using those two, then i would want my result to be much higher that 1 say in the 2+ range. I use all three and I use the 1 because when I am developing a trading system, it is so easy to be conned into believing something will work and most of the time it won't work into the future.
    #27     May 21, 2004
  8. Pedro



    What do you think about this trading software website

    All curve fitting or what?

    Has somebody experience with them?
    #28     May 21, 2004
  9. For clarity which two are you referring to PF & % Profitable OR % Proftable and Avg win/Avg Loss OR PF and Avg Win/Avg Loss?
    #29     May 21, 2004
  10. PF and Avg Win/Avg Loss?
    #30     May 21, 2004