is there way to statistically quantify or find an "edge" in a system?

Discussion in 'Automated Trading' started by TraDaToR, Jan 25, 2007.

  1. TraDaToR

    TraDaToR

    Thank you for giving your advice.i was thinking nobody would ever answer.

    ROA is the net profit/ Max Intraday DrawDown.

    It's more of an index of regularity of the returns. It's like a return /risk ratio. I also like to use profit factor in conjunction with the number of trades.

    I think ROA in backtest / ROA in out of sample is a good measure for an edge if it s possible to quantify it through backtest results.
     
    #11     Feb 2, 2007