exp system

[WinLoseOrDraw]

thought you might find this datapoint intersting, post made by someone else, somewhere else...

08-21-03 02:25 PM

Quote from Funster: And your return per year?

LOL...

46.54% Annual Return...

Max Drawdown 1.4%...

...

So what's really your point in asking this... It's not for sale...

But here's one interesting statistics...

I tested a bunch of optimizable systems starting with specific but robust non-linear criteria included under 5 min. bar, closing the position at the end of the day...

Total number of tests were: 124416

Out of 124416 systems in 3 years of testing data: 1848 were profitable (1.4%)

Take the 1848 and put that in 5 years of ES with Sharpe Ratio of over 1.0 (unfortunately that the max number of years I have in ES data):136 (7.3% of 1848)

Put that into 1987-current SP data: 26 systems with Sharpe Ratio over 1.0 (19% from 5 years)

Out of all the tests... I only got 3 systems with Sharpe Ratio above 1.5 and annual return of over 30%