new system suggestions

Discussion in 'Strategy Development' started by aus_SPIder, Sep 30, 2006.

  1. just made new system, have paid someone else to backtest it.

    There are some worrying problems i would appreciate your comments on

    1) tremendous deviations in annulized sharp ratios. Top sharp ratio of 5 lowest of 0.2, average 2.

    2) tremendous deviations in annualized profit factors: Top 5 bottom of 1.5. average 2.5

    They system makes use of trending volatiility, yet there have been some decent trendy years in commodities in 03 and 04 in which it has performed relatively poorly. It trades 2 contracts minimum and closes out 1 contract early to approximately breakeven in choppy markets.

    Annual return is approximately 20% P.A on account size equal to 10 times the intial margin. Maximum ddown of 10% in backtesting over 5years over 5 indexes and commodities

    Just wondering whether the system with such huge deviations in sharpe ratio and PF could just be an abberation over those years? its had 8/10 winning years