Trading System (CAC40)
CAC40 with a winning trade fraction of 56%… Skewing of the strategy…
average gain 9.8 pts (variance 11) / max gain 139.4 pts
average loss -8.1 pts (variance 7) / max loss (drawdown) -49 pts
For this particular index, we have found a skewing effect in the strategy, which makes the spread between wins and losses larger as time flows… However, it is not essential. If we randomize the trades to get a 50% fraction of winning trades, we keep a very good track, on the same level as the 2 post belows…
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