Attributes of a Solid System

TabJockey said:

Thanks AlterEgo that's what im talking about.

I have not yet been able to come up with a viable short system, so I always have a negative return in 2008 and 2011.

How many profitable months per year on average is your minimum? At the moment im getting 7-8 but that includes 2008. 10 is probably a good target right?

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For a long only system it probably makes sense to have a 'master switch' that turns the system on and off. May be something really simple like a MA cross-over may work?

Also, the profitable month criteria / comparison is probably not important. After all the boundary of one month to the next are 'arbitrary' as far as your trading is concerned. May be something like the lowest MA of 20 trades would be a better guide?

Well there is already such a filter in almost every system I test, the $ value lost in 2008 is small and the amount of long signals generated after the downturn is minute.

Profitable Months although arbitrary, works well and is easy to understand at a glace. Historical profits are easy, its the consistancy that is hard to achieve.

TabJockey said:

Thanks AlterEgo that's what im talking about.

I have not yet been able to come up with a viable short system, so I always have a negative return in 2008 and 2011.

How many profitable months per year on average is your minimum? At the moment im getting 7-8 but that includes 2008. 10 is probably a good target right?

Click to expand...

I don't really have any particular minimum. I guess 9-10 should be good - backtesting on mine shows around 9.5 profitable months per year over the last 8 years. It also didn't do well in 2008 but finished the year unchanged in value. 2011 is doing well so far, besides the slight hickup in March due to the Japan earthquake, but I'm now back to new equity highs for the year. This is long only system too. I also haven't yet found a viable short system.