Glad to hear I have may have been on the right track. When I test a system out, it needs to be able to kick randoms ass over my testing period with a small standard deviation to prove consistency of edge. This is not only in pnl terms but also with regards to drawdowns and the means of MAE & MFE and there ratios. Also I like to seeing if a particular strategy can work over multiple markets with different conditions to eliminate all possibility of curve fitting.
I must be missing something looking at all this on mobile devices. Which one of you has a 100% hit rate?
Not exactly, I wrote research function which tests all combinations of my selected filters and returns the one with the highest hit rate (hit rate = % change from day of signal for x periods). The histogram I posted is the result of one such test for just one security (long only), so when I test the basket I intend to trade I suspect I'll get different results for every security in the basket. Any critique of my process thus far would be appreciated.
It sounds like typical curve fitting and I think you will find you are wasting your time. I recommend reading globalarbtrader's material online or his book.
Here you go: http://www.systematictrading.org/blog I recommend his book it can help you avoid typical mistakes and it is simple enough for someone like me to understand.