Strategy Performance Report - Should this system be traded?

#1
Hi
Over the past few days I have tested quite a few systems in Tradestation 2000i. I tested them on 30-min bars on data from Jun 2008 to Feb 2011. I tried to perform 'Walk Forward' testing on the systems as per the following in-sample (optimized) and out-of-sample periods - (5 sets of 12 months of in-sample periods with inputs optimized. Followed by 4 month sets of walk forward testing using the parameters of the previous in-sample period)

In Sample (IS) Period 1 - Jun'08 to Jun'09
Out of Sample (OOS) Period 1 - Jul'09 to Oct'09
IS 2 - Nov'08 to Oct'09
OOS2 - Nov'09 to Feb'10
IS3 - Mar'09 to Feb'10
OOS3 - Mar'10 to Jun'10
IS4 - Jul'09 to Jun'10
OOS4 - Jul'10 to Oct'10
IS5 - Nov'09 to Oct'10
OOS5 - Nov'10 to Feb'11

The trading system which used 3 parameters (inputs) gave the following results when tested on the instrument Bank Nifty (Spot) 30 minute chart, with 12 points per trade considered for Slippage and Commission -



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My specific question is - Should this system be traded?

Generally, what criteria, if satisfied by a system would deem it fit to be traded in live markets?

Is it necessary that the performance be replicated over a basket of instruments, or is it sufficient that it performs well on one instrument over a long period of time?

Are there any serious disadvantages to pure systems based trading that make it unusable completely inferior to discretionary trading?
 
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#2
Hi
Over the past few days I have tested quite a few systems in Tradestation 2000i. I tested them on 30-min bars on data from Jun 2008 to Feb 2011. I tried to perform 'Walk Forward' testing on the systems as per the following in-sample (optimized) and out-of-sample periods - (5 sets of 12 months of in-sample periods with inputs optimized. Followed by 4 month sets of walk forward testing using the parameters of the previous in-sample period)

In Sample (IS) Period 1 - Jun'08 to Jun'09
Out of Sample (OOS) Period 1 - Jul'09 to Oct'09
IS 2 - Nov'08 to Oct'09
OOS2 - Nov'09 to Feb'10
IS3 - Mar'09 to Feb'10
OOS3 - Mar'10 to Jun'10
IS4 - Jul'09 to Jun'10
OOS4 - Jul'10 to Oct'10
IS5 - Nov'09 to Oct'10
OOS5 - Nov'10 to Feb'11

The trading system which used 3 parameters (inputs) gave the following results when tested on the instrument Bank Nifty (Spot) 30 minute chart -



Uploaded with ImageShack.us




My specific question is - Should this system be traded?

Generally, what criteria, if satisfied by a system would deem it fit to be traded in live markets?

Is it necessary that the performance be replicated over a basket of instruments, or is it sufficient that it performs well on one instrument over a long period of time?

Are there any serious disadvantages to pure systems based trading that make it unusable completely inferior to discretionary trading?
This is a very average system. The success rate is 50% or less and to be profitable in actual trading the system must give consistantly average win/average loss factor of 3:1 or more. In a volatile counter like Bank Nifty Fut it is very essential . hope that you have considered commissions and taxes into calculation...if not then the system parameters will look more unattractive.

Just my views....not saying that money cannot be made on this method but it will be tough in my opinion.

Smart_trade
 
#3
Thank you, I appreciate your response.

Can you also comment on the right methodology of systems testing. This system was optimized on Return on Account values in the in-sample period. Are Profit factor and RoA the best criteria to judge systems?

If a system gives an average out-of-sample Profit factor of > 3, would you then say it is a system with a healthy positive expectancy?
 

iamaaditya

Active Member
#4
Thank you, I appreciate your response.

Can you also comment on the right methodology of systems testing. This system was optimized on Return on Account values in the in-sample period. Are Profit factor and RoA the best criteria to judge systems?

If a system gives an average out-of-sample Profit factor of > 3, would you then say it is a system with a healthy positive expectancy?
I don't know if my reply is little too late. But learning never stops.

Right Methodology of system testing... hmm.. well there are few. Depends upon your computing power and the amount of historical data you have.

though I can tell you all the steps and do's and don'ts I think I will inadvertently paraphrase Pardo (The Evaluation & Optimisation of trading strategies) and Pring (Breaking the Black Box). I honestly request you to read above two books on priority. (Also Howard Bandy's both books are great, if not classics)
Testing Strategies is much deeper than doing few backtest/optimisation/WFA, there are so many factors you should take into a/c, (else you will never be able to see Live Trading results anywhere similar to BackTest).

I also suggest you to use Strategy Trader (from FXCM), import your BNF data and do the backtesting in it, it has one of the most comprehensive Reports (havn't seen TS so can't compare with it).

if OOS Profit Factor is above 3 its good but what about Drawdown, I also suggest you to look into Sharpe Ratio and also run up PL. also try looking into Adjusted Net % profit (which penalises loss trades). play more with K ratio and Ulcer performance index..

also doing Monte Carlo is suggested once you think you may have controlled the MaxDD beast, this will give you clear picture.

Also remember to optimise not only TA parameters but position size (Opt f, Vince) and SL and Trailing Profits.

If you have more queries feel free to ask..
I would also suggest reading elementary statistics (chi,t,etc) to maximise your understanding.

cheers
 
#5
Hi
Thanks for your reply.

Since the time of that post, I have, incidentally, read both books by Bandy and the one by Pardo that you mentioned, and enjoyed all of them thoroughly.

The RoA metric in the Tradestation report gives a ratio of Net Profit to Max Drawdown, and that is what I used as an objective function. I will look to work on Strategy Trader's demo account. As for Monte Carlo, I have been struggling with Amibroker for a couple of months now, and hope to get around to using Monte Carlo after I gain more understanding of the workings of the tons of AFLs I have to test.

The metrics you mention regarding position size etc, are also something I will be able to use after I get more comfortable with Amibroker programming.

Incidentally, I did live trade two systems which had a backtested OOS Profit Factor of > 2. I live traded for the period of Apr 1 to Jun 30, 2011. The following were the in-system results, and the actual live results. Both systems are on Bank Nifty Spot 30-min data, traded on Bank Nifty Futures.



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The system performance is after considering 12 points for slippage and commission. The actual performance is after considering all brokerage, commission costs etc.

The reason why the actual performance is inferior is partly because of the system considering some beginning-of-the-day rates that were impossible to get filled at, and partly because of negative slippage caused by difference between the BN spot and BN future rates while entering and exiting the trades. (and in one case, in System 1, where I chose not to take a trade on a news day, which caused a big opportunity loss)

With this performance, I'm as yet dicey about whether even System 1 should be traded. Please let me know what you think.

Thanks
 

iamaaditya

Active Member
#6
Hi
Thanks for your reply.

Since the time of that post, I have, incidentally, read both books by Bandy and the one by Pardo that you mentioned, and enjoyed all of them thoroughly.
If so may I suggest for further readings : "Beyond Technical Analysis: How to Develop and Implement a Winning Trading System" by Tushar Chande and "Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals" by David Aronson. Highly informative and stuffed with wealth of knowledge. (saves hours)

The RoA metric in the Tradestation report gives a ratio of Net Profit to Max Drawdown, and that is what I used as an objective function.
Also trying using other parameters for objective function, some of the tests will surprise you !

The metrics you mention regarding position size etc, are also something I will be able to use after I get more comfortable with Amibroker programming.

Incidentally, I did live trade two systems which had a backtested OOS Profit Factor of > 2. I live traded for the period of Apr 1 to Jun 30, 2011. The following were the in-system results, and the actual live results. Both systems are on Bank Nifty Spot 30-min data, traded on Bank Nifty Futures.


The system performance is after considering 12 points for slippage and commission. The actual performance is after considering all brokerage, commission costs etc.

The reason why the actual performance is inferior is partly because of the system considering some beginning-of-the-day rates that were impossible to get filled at, and partly because of negative slippage caused by difference between the BN spot and BN future rates while entering and exiting the trades. (and in one case, in System 1, where I chose not to take a trade on a news day, which caused a big opportunity loss)

With this performance, I'm as yet dicey about whether even System 1 should be traded. Please let me know what you think.

Thanks
First the main reason automated system trading works is because it prevents the human infallibility (ofcourse compromises on human brains' vast knowledge and experience)
(and in one case, in System 1, where I chose not to take a trade on a news day, which caused a big opportunity loss)
you never know which trade could be the decisive one for the portfolio and thus making a big difference in live test and backtest, this reminds me what about your strategies Select Profit Factor ? (calculated by removing the outlier trades, so that we reduce the dependency on big trades , in such systems you can afford to second guess your strategy if needed (but still it is not a good idea). Always go back to drawing board if you find your ulcer index (your and not strategies) rising, (he he)

Ofcourse if you had given the complete report I could have given a better look on the evaluation metrics (if you don't want to share it publicly, PM me). Going by what I see, System 2 is out of question, and I am sure you agree.

System 1 is not a reject for me, but I would not trade it at current state. I am sure thru optimisation or looking at the code something could be modified to enhance on it. (These kind of exercises are not always futile and believe me sometimes results bring in accidental smiles, if you know what I mean).

Regarding WFA,
I would like to know what was difference in the market during OOS4 and OOS5 ? From sloppy to bull ? (since there was no period data cant' see my charts). If you don't see OOS5 a clear downtrend in Profit Factor is visible which is not a good sign. (If you can recall Pardo's book, he says, Evaluation Parameters , Equity and other financial data, all could be technically analysed as if a price data).

Bottom-line, try some variations with System 1, may be find out during which kind of market the startegy works at optimal. Dont' forget to see the maximum consecutive losers (which systemically isn't a great parameter, but by experience I find, counter intuitively that if this number is large (yes large), I am able to trade the strategy for longer duration (since I know inspite of long consecutive losers the strategy is profitable, ofcourse this doesn't mean that you would want such a scenario).

One more concern regarding the buy price and close price, see to it that you aren't giving the system a (+) bais by using favorable prices, I generally use worst price or generally buy price for me is like ( 0.5*C + 0.5* H + L)/2 (for longs only). (this only if the avg bar size is significantly smaller than the profit I am looking for)

Also I like Jez Liberty's Blog (Au.Tra.Sy), some good and current stuffs.
 
#7
If so may I suggest for further readings : "Beyond Technical Analysis: How to Develop and Implement a Winning Trading System" by Tushar Chande and "Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals" by David Aronson. Highly informative and stuffed with wealth of knowledge. (saves hours)
I read Evidence Based Technical Analysis a few months back. And not only is it a great book for traders, in general it is one of the most knowledge enhancing books i've ever read. My favorite trading book so far. I do have Tushar Chande's book in my next to read list. Thanks.


Also trying using other parameters for objective function, some of the tests will surprise you !

First the main reason automated system trading works is because it prevents the human infallibility (ofcourse compromises on human brains' vast knowledge and experience)
(and in one case, in System 1, where I chose not to take a trade on a news day, which caused a big opportunity loss)
you never know which trade could be the decisive one for the portfolio and thus making a big difference in live test and backtest, this reminds me what about your strategies Select Profit Factor ? (calculated by removing the outlier trades, so that we reduce the dependency on big trades , in such systems you can afford to second guess your strategy if needed (but still it is not a good idea). Always go back to drawing board if you find your ulcer index (your and not strategies) rising, (he he)
Yeah, I learned to not mess with even a single trade in trend following systems that day. I did look at Profit without the outlier profitable trades and 'Adjusted Profit Factor' figures before selecting the systems.

And yeah, I'm trading very small quantities, to take care of my ulcer index :)


Ofcourse if you had given the complete report I could have given a better look on the evaluation metrics (if you don't want to share it publicly, PM me). Going by what I see, System 2 is out of question, and I am sure you agree.

System 1 is not a reject for me, but I would not trade it at current state. I am sure thru optimisation or looking at the code something could be modified to enhance on it. (These kind of exercises are not always futile and believe me sometimes results bring in accidental smiles, if you know what I mean).
I've uploaded the complete report for System 1's live performance for the months of Apr-Jun, on 4shared. Here's the URL - http://www.4shared.com/document/DX-5aq01/BNF-S1-Apr-Jun11.html

(I'm not sure of traderji's forum rules. So, if the link is removed, you can find the file through my username - tradesmyth - on 4shared)


Regarding WFA,
I would like to know what was difference in the market during OOS4 and OOS5 ? From sloppy to bull ? (since there was no period data cant' see my charts). If you don't see OOS5 a clear downtrend in Profit Factor is visible which is not a good sign. (If you can recall Pardo's book, he says, Evaluation Parameters , Equity and other financial data, all could be technically analysed as if a price data).
The partial report that I posted in my original post has the historical results for System 2. I have also uploaded the complete Historical Report for System 1 on 4shared -
http://www.4shared.com/file/Kg_ZaYYv/BNF_Sys1-Historical_Report.html

This will probably give you a far better idea so you can comment. In this system, there wasn't really a downtrend in the Profit Factors over the course of testing, but the outlier was a huge one.

Bottom-line, try some variations with System 1, may be find out during which kind of market the startegy works at optimal. Dont' forget to see the maximum consecutive losers (which systemically isn't a great parameter, but by experience I find, counter intuitively that if this number is large (yes large), I am able to trade the strategy for longer duration (since I know inspite of long consecutive losers the strategy is profitable, ofcourse this doesn't mean that you would want such a scenario).
That's an interesting point about max consecutive losers. Will keep in mind. About 'kind of markets the strategy works well in' - it's a trend following system being traded on 30 minute bars, which carries positional trades overnight and exits on a trailing stop. So, in trending markets, and markets where prices move in the direction of the overnight gap, it works well. In very range bound markets, it remains out of the market. And in choppy ones it gets massacred.

One more concern regarding the buy price and close price, see to it that you aren't giving the system a (+) bais by using favorable prices, I generally use worst price or generally buy price for me is like ( 0.5*C + 0.5* H + L)/2 (for longs only). (this only if the avg bar size is significantly smaller than the profit I am looking for)

Also I like Jez Liberty's Blog (Au.Tra.Sy), some good and current stuffs.
I'm sorry, I don't fully understand this point. The system is coded in a way that it enters on a breakout, and hence the buy price for a long is when a high price gets pierced. I'm unsure if it's possible that the system can still get favourable prices. Maybe you can explain a bit more?

Will check out the blog. Thanks a ton for taking the time to answer, man.
 

iamaaditya

Active Member
#8
I had a look at the reports. Thanks for uploading.

Most of the parameters look good, now I am more positive about the strategy but I would still not trade it in the current form.

My biggest concern is the low win% (inspite of good profit factor).
Problem with low win% is that the probability of consecutive losers is much high, say even for 10 consecutive losers (if I do dirty math in my mind around 1000 times than that for winners, for 33% win). If you do the Monte Carlo you will understand better.
I understand your average win is much greater than avg loss and thus it makes up for the low win%, and even if you argue that there is very very small probability of continuous losers till your equity goes 0, but when you trade this and if say (god forbid), you are that unlucky millionth man (going by common man's fallacy) and if your series of trade turn out to be on the wrong side, you will only have hindsight knowledge and empty pockets. (It will be a good learning with very high cost, and considering that the CAR is not that great the risks you are taking is not being justly compensated, (remember MPT)).

May be I guess you are setting the tight stop loss thus getting more number of losers and smaller losses, but that is not the best way to getting the steady equity curve leave alone good profit factor.
I would suggest you to allow for more movement (loosen the SL) and then carefully study all the wining trades and add a filter to prevent (some, if not all) losing trades. (watch carefully the behaviour bar by bar).
Since your trade is already trading with higher churning I believe you could lessen the number to trades for better Profit Factor (selectivity is the key).

There is another concern, since it is 30min TF and not intraday (i.e holding overnight) , how do you manage gaps ? For me personally for such small TF gaping is a big issue, since the Profit size is comparatively smaller, gaps play bigger role, and believe it or not, most of the times gaps are on unfavorable side. Do take a note of this if you want your backtest to be as close to real results.

since your exit efficiency is poor (not adding very in order to be polite he he), look at MAE and MFE and see what would be the best place to put TP and SL (Normal distribution should help) (trailing stops are trickly but if you manage to use them well could give you better returns, see Chandelier exits for e.g, love them)

Another thing, you aren't using Scale In / Out. (pyramiding) You are missing big profits, From Donchian, Larry (Williams), Richard Dennis, to our Great Saint (Sree), and yours truly, are big advocates of pyramiding (as it is basic understanding that it is impossible to time the markets perfectly and more often market tries to false shake you out). Look into it. (if portfolio size doesn't allow you multiple contracts, look at other instruments, but don't' miss out on pyramiding, all my current system uses it and for all of them without it the profits would decrease). (pyramiding is not only for long TF trades but also intraday , see MiniFlow trades by Saint).

Time constraints puts me to stop here, but will discuss further and please throw light on your findings or opinions about ideas discussed here.

cheers
 
#9
My biggest concern is the low win% (inspite of good profit factor).
Problem with low win% is that the probability of consecutive losers is much high, say even for 10 consecutive losers (if I do dirty math in my mind around 1000 times than that for winners, for 33% win). If you do the Monte Carlo you will understand better.
The system has an out of sample % profitability of 37%, which i agree is low. Even with a much higher % profitable trades there will always be the 'millionth man' problem of getting too many consecutive losers and going bust, though the probability would be a lot lower than with 37% profitable trades.

So, I have two questions -
1. Is there a good rule of thumb in terms of '% profitable trades' to look for? Because a higher '% profitable trades' will perhaps come at a cost of a lower 'Avg Win / Avg Loss ratio'. What I'm thinking is perhaps there should be one objective function - say 'CAR / Max Drawdown', and while maximizing that, care should be taken to achieve a certain minimum level of other metrics such as '% profitable trades' etc. Does that sound right? While choosing this one, when I did, I just went for the system that gave the highest RoA, (i.e. Net Profit / Max DD)

2. How do you know when a system is 'broken'? Let's say I have tested a system with an out of sample Pft Factor > 3, and >60% Profitable Trades. I could always be your 'millionth man' whose max consecutive losers while live trading exceed the max consecutive losers in the out-of-sample test record. At What point do I decide to stop trading the system no matter how great the historical performance?


May be I guess you are setting the tight stop loss thus getting more number of losers and smaller losses, but that is not the best way to getting the steady equity curve leave alone good profit factor.
I would suggest you to allow for more movement (loosen the SL) and then carefully study all the wining trades and add a filter to prevent (some, if not all) losing trades. (watch carefully the behaviour bar by bar).
Since your trade is already trading with higher churning I believe you could lessen the number to trades for better Profit Factor (selectivity is the key).
While testing and optimization, the stop loss condition was coded in, and I let the optimization decide the tightness or looseness of the stop loss. Purely having a looser stop loss was hurting the system, but you're right I should try observing the trade behavior, bar by bar, after loosening the SL, and making the entry more selective.

There is another concern, since it is 30min TF and not intraday (i.e holding overnight) , how do you manage gaps ? For me personally for such small TF gaping is a big issue, since the Profit size is comparatively smaller, gaps play bigger role, and believe it or not, most of the times gaps are on unfavorable side. Do take a note of this if you want your backtest to be as close to real results.
Again, perhaps my selection criteria was over simplistic, but I took that system with those parameters that maximized the RoA. Other systems, which closed overnight positions, and were not susceptible to unfavourable gaps were performing worse in the 2.5 year period tested. I made an assumption that if the system was able to tolerate a sufficient no. of unfavourable gaps in the out of sample testing, then it will be able to do so in the live trading period.


since your exit efficiency is poor (not adding very in order to be polite he he), look at MAE and MFE and see what would be the best place to put TP and SL (Normal distribution should help) (trailing stops are trickly but if you manage to use them well could give you better returns, see Chandelier exits for e.g, love them)
:)
yeah. i thought the exit efficiency was very poor as well. I tried coding in chandelier exit in System 2, which made its performance worse. This (system 1) system has volatility based exits, but I'll try out chandelier exits for this one.


Another thing, you aren't using Scale In / Out. (pyramiding) You are missing big profits, From Donchian, Larry (Williams), Richard Dennis, to our Great Saint (Sree), and yours truly, are big advocates of pyramiding (as it is basic understanding that it is impossible to time the markets perfectly and more often market tries to false shake you out). Look into it. (if portfolio size doesn't allow you multiple contracts, look at other instruments, but don't' miss out on pyramiding, all my current system uses it and for all of them without it the profits would decrease). (pyramiding is not only for long TF trades but also intraday , see MiniFlow trades by Saint).
The constraint is not the portfolio size, it is the inability to code and backtest. Tried as I have, I have so far not been able to become proficient in coding all my ideas. I've very often read about the importance of position sizing, and that's one thing I'll definitely want to get into the system.

Discussing all the deficiencies of this system, perhaps it was a bad decision to go forth and trade it live, but it reflected the best wisdom of that time, and sadly it is still the historically best-performing system that I have been able to code and test so far.
 
#10
Sorry for late reply, was little too busy.

So, I have two questions -
1. Is there a good rule of thumb in terms of '% profitable trades' to look for? Because a higher '% profitable trades' will perhaps come at a cost of a lower 'Avg Win / Avg Loss ratio'. What I'm thinking is perhaps there should be one objective function - say 'CAR / Max Drawdown', and while maximizing that, care should be taken to achieve a certain minimum level of other metrics such as '% profitable trades' etc. Does that sound right? While choosing this one, when I did, I just went for the system that gave the highest RoA, (i.e. Net Profit / Max DD)
Here I will answer with bookish reply, It depends on your comfort level (personality and suitabiliy). When I was new to System design and testing, I also wish someone had just given me the numbers (rule of thumbs) which then I could aim to get and I hated such objective answers. But guess what, after thousands of testing/design/live and countless hours, I have realised there is nothing called rule of thumb ! (if it were so, it would not be the most attractive + most difficult profession of all).
I say personality because your risk tolerance will be different than mine and different to MF managers to Insurance Companies horizon, I hope you are getting me.
there is no Rule of thumb but one commandment, Risk is directly proportional to Gain. You must be willing to take more risk (higher DD) for more return (higher CAR). (higher Risk means higher Risk of Ruin and going out of business).
Some people like higher win% and mediocre payoff ratio (e.g yours truly) , others will be in b/n extremes.

Again I say personality/trait is more important because you should have the confidence to stick with the system during difficult times and it will not come unless you have designed based on parameters you believe in (personally i will never trade any system with less than 50% win ratio, no matter what the expectancy or payoff or Return on Account).
I am giving you my magic marks, but I don't want you to go by my numbers , experiment on your own, find your comfort spot (double entendre, not intentional he he).

These are minimum criteria (with little flexibility if other parameters are superbly well, i.e flying out of the ceiling)
  • CAR/MDD > 4 (generally 5 is my target)
  • %win trade > 50
  • Exposure < 70% (or else i take that as overtrading)
  • Avg Profig/Loss % > 2 (little flexible, depending upon strategy nature)
  • Ulcer Perf. Index > 10
  • Sharpe Ratio > 1.5

*For other readers too, these are not benchmarks and moreover could even be over optimist or pessimist values. always use your own judgement, knowledge to derive any standards. Beyond basics nothing is perfectly deterministic (in trading and in world) and there is always a trade off. This choice makes the difference.

2. How do you know when a system is 'broken'? Let's say I have tested a system with an out of sample Pft Factor > 3, and >60% Profitable Trades. I could always be your 'millionth man' whose max consecutive losers while live trading exceed the max consecutive losers in the out-of-sample test record. At What point do I decide to stop trading the system no matter how great the historical performance?
any deviation from the backtested result should put you on the edge whether it is devasting deviation, mild deviation or happy deviation. If the results don't align after 50 Trades, I reduce the position size and if still not by 100 trades I take them down no matter what. If strategy was performing better than expected then I would try to find out the reason underlying this and incorporate in the strategy.
If strategy starts producing huge losses before 50 trades, I have the Strategy Stop Loss limit, 50% of portfolio allocated to the strategy. This number is arbitrary and is based on my comfort, it is not devised on any formula or statistical analysis. Initially it used to be around 30% but with more test my confidence on strategy has increased and i believe in not having very tight stops.



Again, perhaps my selection criteria was over simplistic, but I took that system with those parameters that maximized the RoA. Other systems, which closed overnight positions, and were not susceptible to unfavourable gaps were performing worse in the 2.5 year period tested. I made an assumption that if the system was able to tolerate a sufficient no. of unfavourable gaps in the out of sample testing, then it will be able to do so in the live trading period.
Problem with gaps is it is hard to quantify them, the SD of gaps (if you calculate and plot them over a period) is high and certainly skewed distribution thus randomness (read chaos) is high. It hurts specially when trading lower TF. I was once working on overnight system (buy around market close to sell next day morning), a gap strategy, and lost some hairs, he hehe

:)
yeah. i thought the exit efficiency was very poor as well. I tried coding in chandelier exit in System 2, which made its performance worse. This (system 1) system has volatility based exits, but I'll try out chandelier exits for this one.
my 2 cents, don't look at stock level volatility, rather market level or if you can sector level, pays good dividend, !


The constraint is not the portfolio size, it is the inability to code and backtest. Tried as I have, I have so far not been able to become proficient in coding all my ideas. I've very often read about the importance of position sizing, and that's one thing I'll definitely want to get into the system.
Our forte is our system, platform, code, these are our weapons. As they say in fitness training, more you sweat more you lose, here I say, more you sweat less you lose. (pun intended)
there is no hurry, take your time with mastering the code (unfortunately will not be able to help here since have no knowledge of Easy Language, if you switch to Amibroker or Strategy Trader, feel free to ask anything)

Discussing all the deficiencies of this system, perhaps it was a bad decision to go forth and trade it live, but it reflected the best wisdom of that time, and sadly it is still the historically best-performing system that I have been able to code and test so far.
. backtest, doubt all the results, backtest again, live test and when your confidence is high put it to real acid test and even after that don't be dissapointed if it doesn't perform, remember Journey is the reward.

I think may be my comments aren't making you feel too happy, so for all your serotonin and feel good, a small gift.
http://www.youtube.com/watch?v=MwKYjZ_8EcE&feature=share
 
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