Generally speaking, I agree with you that 33.33% is a bit too low. In fact, the ratio is about 50% for the last 10 years on system tests, and about the same for 1999 on real life trading. I want to give the system more time for 2000...
Another thing I would like to point out is that in real life trading, I do use stop. Say, if I go long today and Dow moves higher tomorrow by more than 80 points, I will place a stop order to make sure I can at least get out even in the worst case. For instance, I went short dj99h on 11/29/99 at 10980, it moved down 92 points next day, in my favor. On 01/13/00, I went long at 11672, it moved up 163 points next day. Since the system itself does not use stop, both trade ended up with losses. Of course, using stops may decrease the ratio , but overall performance should improve.
When i develop systems, I try my best to avoid overoptimizing. This is the tough part, I have to control myself. |
