I have been doing a little back-testing of late and have been obtaining some mixed results due mainly to my limited knowledge of Amibroker's Formula Language, not so much my trading knowledge. I feel that during this trial and error journey of mine, i tend to drift aimlessly. Hence bringing me to ASF.
I wanted to gauge from people - who have successfully backtested (then traded that system) - what kind of stats they aim for when backtesting.
- They will only accept a MaxDD of 50% if there is a CAR of 30%+; or
- They wont trade a system that has a MaxDD greater than 20%; or
- They wont trade a system that has a standard error of greater than X%; or
- They look for a sharp ratio of X; or
- They look for a profitfactor of X+
I would be keen in knowing the following:
1. People's thoughts on what they look for as realistic targets in their backtest results
2. Criticism on the backtest results attatched - pros, cons or anything that stands out.