I have been thinking through the process of evaluating the goodness of a
trading system using AB metrics and have become perplexed. Can someone who
has unravelled this issue previously help?
There seem to be two general approaches to portfolio sizing while doing a
back-test.
The first is to
Hi Mike,
Thank you for your response.
I am comfortable with the Custom Back-tester and know how to limit trades
to a realistic maximum.
My concern is that once you reach the clamped effect as you put it, you
would, in real life, take-out the excess (buy the Red Porche?). However,
