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I fail to see how even these two systems can be compared. At the end of the day, random is exactly that, random, and for system 1 which incorporates two random factors, the results returned could potentially range from -100K to 100K, depending on the iteration chosen. For the results of a singular iteration from system 1 to be compared to a singular iteration from system 2, which also incorporates a random exit, is to my line of thinking, a meaningless exercise, akin to comparing two "stabs in the dark".


I am of the opinion that even for long term trending systems, some entries are consistently better than others. ASX has documented some code in Amibroker in his blog for testing the effectiveness of entries alone, using the Edge ratio (derived from the Turtles Trading book ??) which is I believe gives a very good indication as to the edge that your entry provides.


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