Thread: Benchmarks for mechanical trading systems?

Results 1 to 4 of 4

  1. #1

    Default Benchmarks for mechanical trading systems?


    I'm developer of mechanical trading systems (currently a german Dax Index system ).

    My benchmarks are systems of (german), , and .

    Are there other websites with transparent system results useable for benchmarks?
  2. #2


    I don`t consider C2 results to be transparent or useable. Having traded quite some systems there I found my results never to mirror the published ones (aside from the question of poor fills due to lack of liquidity in some underlyings). Some results seemed to be tweaked quite a bit.

    The most important question -not answered on your site either- : How long has the system been forward tested? How sound was the backtesting methodology?

    As you seem to be a specialist regarding testing, this is astonishing even more.
  3. #3


    You are right. I also can't use C2 as I've reported in my performance comparison paper on page 9 ( ). Even the information on Striker isn't enough. So remain kursalarm (german) and futurestruth (usa). This is the reason, because I am still searching benchmarks or other websites supporting such comparisons.
  4. #4


    Just looking at your system results.

    You advertise a > 100% per year return (start with 20,000 end with about 220,000 after 8 years)

    However, looking at the equity curve you seem to be compounding your results which means the annual returns are actually only about 35% per year.

    Am I correct and if I am is this simply an error on your part born of incorrect analysis or are you trying to mislead us?!

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts