System evaluation

"The slippage on this system averaged .066 per trade. The return per annum in real life trading is about 40%. Your fills will average about 75% of what’s posted on C2. The 200% return shown does not consider that the trader has to have 5 times the amount in reserve. That being said, it’s a system with very low drawdowns, and not many mutual funds will return this kind of percentage. Maybe C2 could readjust the math for these type systems to figure the % return based on total dollars one needs to use the system."



That was a review of extreme-os by one of the auto-trading users. This is an intriging concept. This illustrates the futility of evaluating systems based on “annualized return” because it does not take into account the total dollars one needs to use the system among other drawbacks or “Return/Max. drawdown ratio” as Return is a mean distribution of samples and Max. drawdown is a extreme distribution. The search continues…