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What inputs and outputs are considered optimal?

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  • What inputs and outputs are considered optimal?


    Suppose we have a mechanical trading system that
    paradise has an entry model that gives orders to enter, and an exit model that gives
    issuing exit orders (including necessary protective stops). How
    evaluate the results of the system and determine which order is good,
    and which one is bad?
    Note that we are talking about exit and entry orders, not
    about signals. Why? Because the signals are too vague. Ozna-
    whether there is a "signal" to buy, what should be bought at the opening of the next
    next day or buy using a stop or limit order? And if
    yes, at what price? If there is a "signal" to exit from a long position
    when the exit should be made - when closing, when reaching
    a certain price or, perhaps, a protective stop? Each
    each of these orders will have different consequences in the final
    the result. Thus, to determine the efficiency of the method
    input or output, it is necessary that it does not give general signals, but in a certain
    At certain moments in time, he gave specific orders. Fully op-
    A specific order to enter or exit can be easily checked for
    quality or efficiency.

    In the broadest sense of the word, a good order to enter is such an order,
    with which a trader enters the market with a relatively low risk and you-
    high probability of potential profit. Paradise for a trader would be
    a system that would give orders to buy and sell at extreme
    prices at every reversal. Even if the outputs didn't bring
    large profits, none of the transactions would have more than one or two types
    unfavorable movement (maximum unrealized losses -
    kov per trade), and in any case, entry into the market would be achieved at the best of
    affordable prices. In the imperfect real world, however, there are no entrances.
    they won't be that good, but they may be good enough that-
    would be with an acceptable efficiency of the outputs, an unfavorable movement
    was kept low and the risk / reward ratio was
    satisfactory.
    What constitutes an effective exit? An effective output should
    protect the trader's capital from unfavorable market conditions.
    It is important to protect capital from dilution by unprofitable transactions, but at the same time
    do not cut off potentially profitable trades too early, converting
    them into low-loss ones. The ideal exit is to hold the position for
    receiving significant profits from any major movement, i.e. settled
    make a wave and stay on it until the right moment. However, hold on
    on the crest of the wave is not the most important thing if the exit strategy is combined with
    entry formula that allows you to return to an extended trend or other
    next major market movement.

    In reality, it is almost impossible and undoubtedly unreasonable
    but discuss the inputs and outputs separately. To test the trade
    system, both inputs and outputs must be used to
    full cycles were performed. How can I get completed transactions for appraisal
    efficiency if you don't leave the market? Entry and exit methods
    required for a system that can be tested. However, one should
    have a number of entry strategies and test them regardless of the exits and
    test a number of exit strategies in the same way, regardless of the entry. In general, it is desirable to change as few parameters as possible at a time and
    measure the effect of these manipulations, while ignoring or not touching
    other indicators. Isn't that the scientific approach, well yourself
    proven in other industries? But is it possible to achieve such an
    rationing and controlling in examining inputs and outputs separately?
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