If you are interested in some further reading on system development and some interesting thoughts by Ed Seykota, then refer to this link - http://www.seykota.com/tribe/TSP/index.htm. The System Math document (under resources) is still one of my references. Unfortunately he has not updated the TSP site in 10 years, and I don't think we will see updates any time soon.
As you determined in a later post, that was actually due to an error in your code. The best CTAs with a long history tend to have MARs of about 0.5. I would regard 0.5 as exceptional for a trend-following system on daily bars. Most funds struggle to get even close to that.
Kevin seems to use 2 as a good measure for his work, therefore in order to be safe, you could consider reviewing any system with a MAR over 2 very carefully for either errors in the code, errors in your logic, or a system that has been curve fit to the dataset.
The following 4 users say Thank You to grausch for this post:
I'm reading your book and I have to say that is the best I have read so far on algo trading systems.
I'm looking forward to the next one
I have three AMA questions for you:
1) For those who cannot attend your workshops, do you plan to sell video of those?
2) I know that you use Tradestation, but do you know successful traders that perform live automatic trading with Amibroker?
3) What is the minimum capital to swing trade 2-4 uncorrelated automatic strategies with e-mini futures without the risk to blow up the account (the goal).
Thanks a lot and take care!
The following user says Thank You to theucreport for this post:
1) For the workshop, traders who attend gets copies of the full recording. Plus, they can re-attend future live workshops for free. So, you have plenty of opportunity to repeat or listen again.
2) I don't personally know many Amibroker traders, but I am sure there are successful one out there. I don't know about the automation part though, and how well it works with Amibroker.
3) Account sizing is always a tough question, since it depends a lot on the trader's temperament (can you only handle 10% drawdown, or is 40% OK?). It also depends a lot on the strategies you choose to trade and how they work together (good strategies complement each other, and smooth the equity curve). I actually provide an account sizing video as part of the workshop, since it is a topic worthy of a lot of thought. Sorry I can't get more specific...
If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
The following 2 users say Thank You to kevinkdog for this post:
I joined the strategy factory course in July 2015. Kevin don't just give you the correct method of testing and creating a strategy. What I think the course is most valuable is he provide 6 months post course email support. you can email him any question and you will get professional reply from a real trader. It is a must join course for everyone who want to become a successful algo trader.
The following 3 users say Thank You to dingmanhoe123 for this post: