How will you rate this system?

Discussion in 'Strategy Building' started by macgibby, Oct 9, 2005.

  1. macgibby


    Attached are the results for my system for time period April 2005-October 2005, day-trades only, no overnight positions.

    Is this a good system or am I missing something?
  2. robbob


    There's not enough info to tell if the system would be viable or not. Other things you need to look at...

    Are your assumptions for slippage correct?
    Always err on the conservative side.

    Since the system looks like its "long only" how does it test out during the bear market of 2001-2002 (assuming the system trades US stocks or equity index futures)?

    Was the system tested on EOD or intraday data? There can be nasty suprises if you are testing an intraday system using EOD data.

    I'd also run a Monte Carlo analysis on the trades to get an idea of the maximum drawdown to expect for the system.

    If all that checks out, I'd trade it w/ small position sizes to make sure that all the assumptions in the backtest were correct.

  3. macgibby


    thanks robbob

    I tested on intraday data, and because I only have intraday data for last 6 months I can't test it in 2001-2002.

    Slippage and commissions are included.

    This specific system is long only.

    any other comments?
  4. I think for someone to give an honest opinion, you have to provide more details. Like what is the system trading...futures, stocks? Show an equity chart. How much optimization did you do, how many parameters are there? Etc. Otherwise, there's just a lot of guessing/opinions.

    I see a drawdown of $17K so you really should use at least $100K in equity to be able to withstand another similar or worse drawdown as opposed to the ''pretty'' $20K figure at the top of the picture. That stuff only fools newbies.

  5. macgibby


    System trades stocks only.

    There are 4 parameters (I don't know if it's a lot or not). Not much optimization, I just wrote a code based on what I see happening in the markets, tried to keep it simple.
  6. How many stocks does this system trade and more importantly, *how* were these stocks selected to be traded?

  7. macgibby


    It has no more then 10 open positions, and trades any stock that fits certain criteria in the morning.

    Also, I don't think you can trade this system with more then 100K because slippage will be too high. But it's good for generating some cash...
  8. Okay, without disclosing ALL details of this system of yours, how or what did you use to get to these 10 stocks? For example are they culled from some IBD list? Do you use a stock screener at the end of the day for tomorrow's list? Or are they a completely fresh screen performed each morning from the entire market universe?

  9. I don't think you understand things here. Your ''system'' had a hypothetical $17K drawdown. You NEED to have $100K to be able to withstand a very similar drawdown if not one 2-3 times as large since your testing is of very limited duration. I didn't say *trade* the $100K, I said HAVE $100K in your account.

    Additionally, what *kind* of a system and what kind of stocks are not able to take a measly $100K? Are these penny stocks?

  10. macgibby


    It's a fresh screen performed at eod and each morning and there are about 10 that qualify, could be less of course.

    As far as 100K - I agree with you, you definetly need to have enough cash, what i was saying is that since it's for day-trading purpose with one entry and one exit it obviousely won't work if you want to buy 50,000 with .20c stop.

    Overall, I'm just asking for comments if this looks decent or great or crap.
    #10     Oct 9, 2005