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EYEGUY

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Posts: 1543

Joined: 12/12/2003
Location: BALDWINSVILLE, NEW YORK

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Subject : RE: Expectancy Testing
Posted : 1/14/2017 3:55 PM
Post #38690 - In reply to #38689

Mark:

Thanks, Chart B sure looks nice!

And the statistics are nice too.

For example the Max Drawdown % wonderfully went from a very undesirable 24.9% to a very tolerable 6.4%. Avg Ann ROI dropped some to 11.1% from 16.1% while the Calmar rose to 1.73 from 0.65. And the number of trades necessary to achieve these results was a mere 10% of the Chart A number reducing commission costs and trading time and effort. Even more importantly the Average Invested % went from 36.9% down to a mere 6.2%.

So, thanks for showing your Portfolio Simulation statistics - I wish Ed had done that with his Connors - MVX-15 EXP setup.

Also I would appreciate it if you could clarify what you mean exactly by "at the time of the trade - on a walk-forward basis". Doesn't every strategy do this even when it isn't looking at it's past performance?

Thanks,

Tom Helget
Deleting message 38690 : RE: Expectancy Testing


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