Don't want that nobody buy my product without the knowledge of my development process, so I will post it in this thread. Dont think nobody does the way i do, but...
1/n
1/n
...just remember that this isn't the right or wrong process, it's only my process, developed after years of trial and error and could be improved if I found any stuff that could enhance it.
2/n
2/n
First Stage Development:
1. Divide the IS range in 4.
2. Currently never test after end 2017.
(For $SPY would be: 2000-05; 2006-11; 2012-14; 2015-17)
3/n
1. Divide the IS range in 4.
2. Currently never test after end 2017.
(For $SPY would be: 2000-05; 2006-11; 2012-14; 2015-17)
3/n
3. For the first two periods is tested if:
a) Average trade per year >= w
b) Net Profit > 0
c) Av % Trade > x
d) Profit Factor > y
e) NP/MaxDD > z
4. If in none of the two first ranges the 5 conditions are meet, the strategy is eliminated.
4/n
a) Average trade per year >= w
b) Net Profit > 0
c) Av % Trade > x
d) Profit Factor > y
e) NP/MaxDD > z
4. If in none of the two first ranges the 5 conditions are meet, the strategy is eliminated.
4/n
5. Then i build my IS Stability Score that is based in the sum of a True or False conditions.
6. For All IS data:
a) Number of trades > ww;
b) Net Profit > 0
c) Av % Trade > x
d) Profit Factor > y
e) NP/MaxDD > z
5/n
6. For All IS data:
a) Number of trades > ww;
b) Net Profit > 0
c) Av % Trade > x
d) Profit Factor > y
e) NP/MaxDD > z
5/n
6. For Range 1 and 2 data:
a) Average trades per year >= w
b) Net Profit > 0
c) Av % Trade > x
d) Profit Factor > y
e) NP/MaxDD > z
6/n
a) Average trades per year >= w
b) Net Profit > 0
c) Av % Trade > x
d) Profit Factor > y
e) NP/MaxDD > z
6/n
7. For Range 3 data:
a) Net Profit > 0
b) Av % Trade > x
c) Profit Factor > y
d) NP/MaxDD > z
7/n
a) Net Profit > 0
b) Av % Trade > x
c) Profit Factor > y
d) NP/MaxDD > z
7/n
8. For Range 4 data:
a) Net Profit > 0
b) Av % Trade > x
c) Profit Factor > yy (lower than previous ranges)
d) NP/MaxDD > z
8/n
a) Net Profit > 0
b) Av % Trade > x
c) Profit Factor > yy (lower than previous ranges)
d) NP/MaxDD > z
8/n
9. The % of all TRUE is my IS Stability Score. Strategies that have a score less than 75% are eliminated. The ones with a score above 75% will be in the product for aditional screening and robustness tests.
9/9 (end).
9/9 (end).
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