System Quality Number : Evaluation of performance of algorithm

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    victormork
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    Thanks @despair for your suggestion. I’ll try that in the future! I have so far calculated both for all trades and 100 trades to see how the number differentiate. It’s an easy way to detect if the quality of you system is holding up. I also check if average excess return/stdev i greater than 0,2. Systems which gets below 0,2 are normally breaking down when going from all trades to 100 trades.

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System Quality Number : Evaluation of performance of algorithm


General trading discussions

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Yannick @yannick Participant
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This topic contains 15 replies,
has 6 voices, and was last updated by victormork
8 years, 2 months ago.

Topic Details
Forum: General trading discussions
Language: English
Started: 08/23/2017
Status: Active
Attachments: 4 files
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