Topic: Stats for Sidekick-style trade filtering
I know I'm years late to the party but finally I have arrived!
Back in the day when Steve introduced Sidekick I was quite curious of the actual performance. You know, it was mind tickling to read about different "policies", which filter trades. But how to obtain the stats, which at least try to be intentionally meaningful? Demo trade? Ok, how about for 30k hourly bars? That's roughly 1250 trading days... Choosing that route I would be still playing on a demo. Resorting to accept stats for 2 weeks of demo would be moronic to say the least, just like backtesting strats over multiple platforms over the same set of data and expecting a significant raise in its future ability to generate profit. Better to stick to cold hard numbers.
I just finished introducing the consecutive win policy to FSB's account statistics. This is the first version, the most primitive one. Only thing to look at are balance numbers, which account all trades, which happen after 2 and 3 consecutive wins respectively.
I'll show the stats for a strat done on a 30k H1 bars. The sequence from left to right is initial strat, then the middle one is optimized for highest win/loss ratio, and the last one is optimized for highest net balance.
Doesn't look good for optimized versions. I think I'll go through many more and much different type of strats before I commit developing the policies further.