Your priority should be to minimize the losses in this directionless market. Is their anyway you can test your strategy from 1965-1980, that may help you.
I also agree that the SR of 1.3 is too low. Most people look for huge return figures but miss out on the fact that lower returns but higher SR's can be leveraged up to the same drawdown levels to achieve higher returns. Major investment banks require a minimum SR of 2 for short term prop trading when testing. Besides, low volatiltiy makes life much easier day to day.
boxter, Since I'm still couple of days away from trading this system, I'm toying with different position sizes, with which I managed to raise the SR to slightly over 1.5 I'm aware that the value over 2 would be a good thing, but considering the nature of my system I believe that raising it further would be difficult without changing the entire exit logic. (The system chooses stop and target levels completely autonomous from me based on volatility, which greatly affects the variability of returns )
I haven't read all the posts on this thread, but what I can say looking at your equity curve is that your system has worked very well for a short period of time and that all the rest is random. I wouldn't bet a cent on that one.
Maybe you will want to download the free code for the two systems "Nosewhistle" and "Earwax", which are over on the Turtle Trading Software bboard. These two systems are programmed for Wealth-Lab, just like your system. You can run all three of them on bunches of different portfolios with plenty of different position-sizing approaches, and see how well your new system stacks up against these two freebies in a variety of situations. The source code and the various Wealth Lab output statistics are shown on this web page http://turtletradingsoftware.com/fo...s=0&postorder=asc&highlight=nosewhis*&start=0
actually, after having spend quite some time with quantifying outputQuality, i more and more think that no fancy ratio can beat an experienced look at an equity curve.
It's all about statistics : you reduce a set of data to a single statistic (mean, standard deviation, ...) and loose information at each step. Looking at the whole set of data can tell you far more than looking at a single statistic. In finance, it is even worse as the set of data are very often unstationnary.
stock systems with a sharpe ratio around 1 on a data set which is not cleaned against survivorship bias are problematic. i believe that you finally much more directly "feel" sharpe ratio rather than profit factor once you are trading ...
Still here... I'm not posting because there is no need, all I wanted were some opinions...which I got, also I answered all of the questions that were directed to me. P.S. If you take at least a rudimentary look at the strategies horribilicus mentioned you will see there is no similarity.