System Quality Number : Evaluation of performance of algorithm

• 11/21/2017 at 3:10 PM #53466
  victormork

  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.

  

  victormork

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