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Ronin
28% annualised gain sounds good but with 52% drawdown I personally would find it hard to trade - but we all have our own parameters and limitations that shape the way we trade. That's what makes the market!

Some thoughts;

One of the problems of comparing / testing systems is that position size can make such a big difference to results. For example tech's system had maximum number of open trades set to 100. So there is not really any limit to the number of trades that would be taken, pyramiding is set to "Yes" and position sizing is 2% risk. If trades were limited to 10 the results could be totally different. Not saying that there is anything wrong with tech's test. The number of positions would probably be self limiting, although since pyramiding is on it may be possible to have 20 plus trades at any one time even with 14.5% position size limit.

But the point is that position sizing alone can easily double / half returns and drawdown. So comparing systems can be difficult unless position sizing is kept constant for comparison purposes. One can tweak a system substantially playing with position sizing, as many of us have already discovered.

With AB I use an #include<TestParams.afl> statement and put position sizing strategy in a separate AFL file so I can be sure the position sizing strategy doesn't vary.

I really like the concept of a random system as a benchmark - if a system isn't better than random why trade it? Also the random system approach shows the natural bias of the markets over the last 10 years or so - and probably much longer.

A trader can use this natural bias in their favour. Adding some simple things, like ASX.G's simple momentum filter, or maybe a more dynamic stop, can narrow the range and slide the results up the X axis.

The idea of not optimising at all seems quite strange to me, but then it is probably easier to do in AmiBroker than Metastock. Everyone optimises, even by just looking at a chart and picking the values that they think will work best. ASX.G's already mentioned the power of AmiBroker's 3D optimisation charts. Walk forward testing is also a good approach to see how a system performs out of sample - it's even more valid when the walk forward is for real!

I usually test in AmiBroker using random entry and exit prices. Open price trades can be reasonably difficult to achieve, especially as trade size grows.

The last month has been a pretty good test of any long only system, as well as a humbling experience for us overconfident, over-optimised, mechanical system traders! A 10% to 20% drawdown doesn't look like much on paper , but give back thousands of dollars and you get a different perspective. I just think of the trades I will make over the next 20 years and everything falls into place.

regards
stevo

<blockquote data-quote="stevo" data-source="post: 193982" data-attributes="member: 2970">Ronin28% annualised gain sounds good but with 52% drawdown I personally would find it hard to trade - but we all have our own parameters and limitations that shape the way we trade. That&#039;s what makes the market!Some thoughts;One of the problems of comparing / testing systems is that position size can make such a big difference to results. For example tech&#039;s system had maximum number of open trades set to 100. So there is not really any limit to the number of trades that would be taken, pyramiding is set to &quot;Yes&quot; and position sizing is 2% risk. If trades were limited to 10 the results could be totally different. Not saying that there is anything wrong with tech&#039;s test. The number of positions would probably be self limiting, although since pyramiding is on it may be possible to have 20 plus trades at any one time even with 14.5% position size limit.But the point is that position sizing alone can easily double / half returns and drawdown. So comparing systems can be difficult unless position sizing is kept constant for comparison purposes. One can tweak a system substantially playing with position sizing, as many of us have already discovered. With AB I use an #include&lt;TestParams.afl&gt; statement and put position sizing strategy in a separate AFL file so I can be sure the position sizing strategy doesn&#039;t vary.I really like the concept of a random system as a benchmark - if a system isn&#039;t better than random why trade it? Also the random system approach shows the natural bias of the markets over the last 10 years or so - and probably much longer. A trader can use this natural bias in their favour. Adding some simple things, like ASX.G&#039;s simple momentum filter, or maybe a more dynamic stop, can narrow the range and slide the results up the X axis.The idea of not optimising at all seems quite strange to me, but then it is probably easier to do in AmiBroker than Metastock. Everyone optimises, even by just looking at a chart and picking the values that they think will work best. ASX.G&#039;s already mentioned the power of AmiBroker&#039;s 3D optimisation charts. Walk forward testing is also a good approach to see how a system performs out of sample - it&#039;s even more valid when the walk forward is for real!I usually test in AmiBroker using random entry and exit prices. Open price trades can be reasonably difficult to achieve, especially as trade size grows. The last month has been a pretty good test of any long only system, as well as a humbling experience for us overconfident, over-optimised, mechanical system traders! A 10% to 20% drawdown doesn&#039;t look like much on paper <img src="data:image/gif;base64,R0lGODlhAQABAIAAAAAAAP///yH5BAEAAAAALAAAAAABAAEAAAIBRAA7" class="smilie smilie--sprite smilie--sprite1" alt=":)" title="Smile&nbsp; &nbsp; :)" loading="lazy" data-shortname=":)" />, but give back thousands of dollars and you get a different perspective. I just think of the trades I will make over the next 20 years and everything falls into place.regardsstevo</blockquote>

[QUOTE="stevo, post: 193982, member: 2970"] Ronin 28% annualised gain sounds good but with 52% drawdown I personally would find it hard to trade - but we all have our own parameters and limitations that shape the way we trade. That's what makes the market! Some thoughts; One of the problems of comparing / testing systems is that position size can make such a big difference to results. For example tech's system had maximum number of open trades set to 100. So there is not really any limit to the number of trades that would be taken, pyramiding is set to "Yes" and position sizing is 2% risk. If trades were limited to 10 the results could be totally different. Not saying that there is anything wrong with tech's test. The number of positions would probably be self limiting, although since pyramiding is on it may be possible to have 20 plus trades at any one time even with 14.5% position size limit. But the point is that position sizing alone can easily double / half returns and drawdown. So comparing systems can be difficult unless position sizing is kept constant for comparison purposes. One can tweak a system substantially playing with position sizing, as many of us have already discovered. With AB I use an #include<TestParams.afl> statement and put position sizing strategy in a separate AFL file so I can be sure the position sizing strategy doesn't vary. I really like the concept of a random system as a benchmark - if a system isn't better than random why trade it? Also the random system approach shows the natural bias of the markets over the last 10 years or so - and probably much longer. A trader can use this natural bias in their favour. Adding some simple things, like ASX.G's simple momentum filter, or maybe a more dynamic stop, can narrow the range and slide the results up the X axis. The idea of not optimising at all seems quite strange to me, but then it is probably easier to do in AmiBroker than Metastock. Everyone optimises, even by just looking at a chart and picking the values that they think will work best. ASX.G's already mentioned the power of AmiBroker's 3D optimisation charts. Walk forward testing is also a good approach to see how a system performs out of sample - it's even more valid when the walk forward is for real! I usually test in AmiBroker using random entry and exit prices. Open price trades can be reasonably difficult to achieve, especially as trade size grows. The last month has been a pretty good test of any long only system, as well as a humbling experience for us overconfident, over-optimised, mechanical system traders! A 10% to 20% drawdown doesn't look like much on paper :), but give back thousands of dollars and you get a different perspective. I just think of the trades I will make over the next 20 years and everything falls into place. regards stevo [/QUOTE]

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