System design, part 6: Adjusting to reality

By Active Trader Staff
In “Searching for the exit,” we tested our initial strategy rules on 10 years (March 12, 1993 to March 12, 2003) of daily data in the S&P 500 tracking stock (SPY). The results for this period were positive; the most notable concern was a relatively low number of signals (64, with 62 of those signals being closed during the test window).

However, applying the same rules and test parameters to the next two years of daily SPY prices — March 12, 2003 through March 12, 2005 — resulted in only four trades and a $992 total profit.






|

|