is this a definition of robustness

Discussion in 'Strategy Development' started by ProgrammerGuy, Sep 11, 2007.

  1. "The Strategy" -> normally holds positions for 10-20 minutes.

    Scenario 1: you test 10 stocks. It does well on ABC, and XYZ, but bad on the other 8 stocks
    Scenario 2: you test 10 stocks. It does well on ABC, and XYZ, but kinda good on the other 8 stocks.

    I was wondering what the peanut galary thinks on this one. Would you say that Scenario B is more robust of the strategy than scenario A WHEN TRADING STOCKS ABC, AND XYZ. When trading at the intraday level does the fact that the strategy does well on other markets indicate that it is likely to hold up / do better?

    I hear that this is important, but I've always hear when trading on the intraday level it doesn't matter.
  2. the notion robustness is a very important characteristic. MORE SO for a supershort trading system. You must analyse total result of your system. And it must not powerfully change when we changed the parametr of strategy. I advice to trade only futures on INDEX of the exchange on which you trade for intraday sistem.