what do you think of the equity curve

Discussion in 'Risk Management' started by robinxing, Jul 9, 2007.

  1. an intraday system trading HSI futures

    it has minus 3 points per trade (slippage+commission)

    a friend shows it to me

    does the system robust?
  2. How did you get the HSI on tradestation?
  3. PaulAB


    3 Points slippage on HSI - Gosh - who are you trading with ?
  4. with owndata and IB api
  5. dtan1e


    i don't think HSI futures is liquid enough for intra-day, while holding overnight, the opening gaps can really screw u
  6. joesan


    It's over-optimization.

    Ask your friend for the equity curve of the same system of longer period, 2-3 years, then you will see the real picture.

    Good system need no reoptimization from time to time. Same system working all the time.

  7. It's over-optimization.

    why do you think so ?

    there are a basket of parameters which generates similar result

    and the pic does not show the best parameter

    just the average result

    the range between the best and worst result is not more than 500 points
  8. joesan


    I have strategies with similar result in the same period, looks great but depending on market situation (which keeps changing for HSI ), may turn out to be fiasco in realtime trading.

  9. at least 200 resulst show similar results

    among them the best is about 4800 the worst 4400
  10. joesan


    Let me try my best :

    Do not stick to the intraday picture, look at broader environment

    #10     Jul 9, 2007