Rough Rule of Thumb for Robustness ?

[ScottMcNab]

I came across this arbitrary rule of thumb for robustness test

%winners x profit factor x payoff ratio

Needs to be above 1.2 to pass apparently !

So naturally tested couple of mine (2005-present good as any)

MRV system XAO
0.63 x 1.48 x 0.9 = 0.84 FAIL :unsure:

Rotation XAO
0.51 x 1.9 x 1.8 = 1.7 PASS

Be interested to hear what others are getting on their MRV systems….to satisfy this rule I would need to hit about 0.63×1.6×1.2
When I tighten systems up to reach this sort of level the cagr gets cut in half

[Nick Radge]

Mmm…not so sure about that.

Clearly penalises any short term system regardless.

Interestingly my DTVI strategy (Trade Long Term) measures out at:

0.6299 x 3.77 x 2.21 = 5.24 :woohoo:

Growth Portfolio:

0.52 x 2.47 x 2.28 = 2.92

Where did you see this?

[ScottMcNab]

Was in a textbook on easylanguage. Just thought it was interesting to try out.

[TimothyStrickland]

Agreed, I would see any short term system hard to meet that, I will test mine when I get home tonight and let you know.

[TimothyStrickland]

MRV: 0.585 x 1.24 x 0.88 = 0.638 FAIL
NDX Aggressive: .67 x 5.49 x 2.75 = 10.12!!!???

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