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Strategies & Market Trends : DAYTRADING Fundamentals -- Ignore unavailable to you. Want to Upgrade?

To: KymarFye who wrote (14212)	9/22/2001 3:19:56 PM
From: fut_trade	Read Replies (1) \| Respond to of 18137

"the systems are virtually untradable, as they rely on taking numerous small profits almost instantaneously on increasingly large positions and without significant slippage." Yes, that's a problem. I like a system that makes one or two trades per day with preset entry/exit points. I have a tick-by-tick simulator where I can enter trades in manually using the system entry/exit points to see if the system is physically realistic. "achieve 90% win/loss pcntgs" I've achieved 80%, but those systems don't make enough trades to give a great annual return. It's number of trades, win/loss %, and net gain/loss per trade that seem to dominate system performance. What function do you seek to optimize when developing a system? At first I just optimized net profits: Chi_squared = profits - losses But I think drawdown should be in there: Chi_squared = profits - losses - annual drawdown * X% where X% is in the range from 0 to 100%.