Suggestions needed about amount of data needed.

Discussion in 'Data Sets and Feeds' started by blox87, Aug 7, 2010.

  1. One More Thing...

    When the markets and my models synchronize - I usually get about 17% a day.

    When they are out of whack - I loose a ton.

    The trick (and I am still researching and getting closer to a solution) is knowing which model to engage in each market.

    What is even more difficult, is being able to see how market dynamics change by understanding price/volume/time/trade and trade size differentials among the various classes of traders out there.

    Markets are schizophrenic, their personalities change - sometime quite suddenly.
     
    #11     Aug 9, 2010
  2. One other thought: since your win rate is very low, I would try to remove the top 5% of the winning trades and see how the system does. Unless the system remains profitable, I'd consider it suspect.
     
    #12     Aug 9, 2010
  3. @vikana

    Good point vikana - dropping 5% of winning trades is a good idea.

    My win to loss ratio is roughly 42% win and 58% loss.

    The important thing here is to properly manage the trade.

    The average duration of my wining trades is roughly 4 times longer than that of a loosing trade - so when I am making money, I keep the trade in play - and when loosing, I detect it early and get out.

    If you do this properly, win/loss ratio becomes less significant.
     
    #13     Aug 9, 2010