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Money Management  |  OCT 1997

Evaluating Sysem Efficiency by Leo Zamansky, Ph.D.

We've all experienced good trades, bad trades and so-so trades. Wouldn't it be better if you had steps you could take to improve the entries and exits of the trades that your system generated to quantify the good from the bad? This article provides basic steps to do so. By Leo J. Zamansky, Ph.D., and David C. Stendahl Evaluating a trading system performance is not a trivial task. Not only does a trader need to know how much money the system has made but also how the system made the money. A system may be extremely profitable, but if it does not match the preferences of the trader using it, the trader may not take advantage of its capabilities and in turn be disappointed with the results. Evaluating a trading system is also necessary from a technical point of view to calculate the system’s performance characteristics to be able to improve on them later. Efficiency of trading serves exactly that purpose.

by Leo Zamansky, Ph.D.

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