two peak market: exit after the second peak. positive autocorrelation: in a down trending market, exit whenever the market is lower, as its will be even lower the next period
No stops will kill you !!! Stops in will help greatly but to do it business like lots of capital is needed!!!
For example if we have a histogram of returns with one peak at, let's say, +$1000 and one at -$1000, it doesn't follow that by setting a stop somewhere around, let's say, -$500, we will increase the expectancy of the system, as far as I can see - the price paths are hidden in histograms which is why you need a histogram that discovers the path..... I like to graph MAE and MFE relative to bars since entry.
> Quote from science_trader: > 0.4% a day, Sharpe ratio (if one can rely on that) around 5... > Any more comments about backtesting ? >> Vow. >> Yearly return of more than 200% with Sharpe ratio of 5. >> Is this for single-strategy or a portfolio of strategies? Vow 1,000,000 times, indeed. And a voom on top. Is that one frontal lobe removed... or two? Da Dood claims he triples his wad every year... But here he is at Mook City Central groveling for credibility every day. The mind boggles and reels.
Portfolio of 6 strategies. Actually this is more around 150%/year as it is not always very easy to really compound geometrically.
Of course you would need paths in a perfect world. Usually pdf and autocorrelations of strategy returns will be fine.