which ratios should I use for calibrating system parameters?

I tried many different ways to calibrate system parameters. In-sample performance is really nice but out-of-sample performance is always ****.

Which ratios do you guys use? Or many suggestions? Please!

Try the Kelly ratio.

Any sort of optimisation is doomed to failure. If the method is 100% mechanical and TA based, you need to diversify, because this years star performer will probably be a right dog next year, and vice versa.

thanks, mate. But I meet new problems. After fixing the parameters, I filtered numbers of strategies which work very well out-of-sample. So I then select one used to trade, but the performance in reality still sucks.. what can I do? http://static2.trade2win.com/boards/...s/icon_cry.gif

I think you need to understand exactly what market behaviour the system is trying to exploit. Most TA based sytems you see on forums are nothing more than a collection of indicators that just happened to work well over some period just by random chance. There needs to be some basic concept thats being traded.

Once you know what you are trying to exploit, it makes sense to diversify, trading one TA based system mechanically is asking for trouble