Length of the window to evaluate performance
you should use
ABC analysis (20/80) over a year to analyse the result
system is not EA -- how about your brain reaction and impulsive -- as INPUT paramater for your analysis
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I'm looking for ideas on how to decide what the appropriate size would be of the window to evaluate the dynamic performance of a system on.
- One idea would simply be to take the last 20 trades and run your statistics on that to decide whether the system still works fine in the current market.
- Another idea would be to base it on the best/worst historical sequence of trades: take the win% of the past 20 trades,
the maximum number of consecutive winning trades over all trades,
and your window length would be 1.5 * (max conseq winners / win%(20))
(News - Automated Trading Championship 2008)
- However, there are views that consecutive winners/losers don't mean anything because trading a profitable system is like flipping a coin that is
weighted on 1 side. You're inevitably going to have winning and losing streaks, but they are random.
So pls some other ideas