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Many forces are at work when you trade a system— commissions, slippage, protective stops, idle interest, margin, and short trading can all significantly influence a trading system’s performance results. | TECHNICAL ANALYSIS HOW TO TEST AND INTERPRET TRADING SYSTEM PERFORMANCE By Wayne A. Thorp Many forces are at work when you trade a system commissions slippage protective stops idle interest margin and short trading can all significantly influence a trading system s performance results. Pick up any technical analysis trade magazine and inevitably you will run across companies and practitioners marketing technical analysis trading systems. Like any other type of investment strategy or methodology a popular way to determine how one system stacks up against another is by comparing annual returns. While these numbers are helpful in separating the winners from the losers it is important to keep in mind that a multitude of factors impacts the performance of any trading system. When Judging the efficacy of a system s reported performance or the performance of a system you create keep in mind several issues Are the performance figures based on backtesting or actual trading Is the system optimized and if so how does it perform over hold-out periods How does it handle income reinvestment Are there any tax implications What are the assumptions inherent to the system itself commissions slippage and money and risk management stops This article will walk you through a general discussion of how these elements can impact the financial performance of a trading system. ACTUAL TRADING RESULTS When confronted with the results of a trading system your first thought should be How were these results generated If a system claims returns of 25 a year is this based on actual trading or historical backtesting Backtesting involves testing a system using a set of historical data. Results based on actual trading have a greater degree of credibility because returns are generated over actual trading conditions as they happen. Secondly results based on backtesting are more easily manipulated to generate the highest possible return the practice is called optimizing . GAUGING PERFORMANCE However .
