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The trading model discussed here is a trend-based model designed for foreign exchange trading. The model is highly quantitative and can be traded or back-tested in a programmed manner, with an error rate of around 1.3% for programmatic trading and the model's trading signals. Typically, less experienced traders focus on three factors when conducting back-testing: yield, drawdown ratio, and win rate. However, based on our years of experience in back-testing, these three factors have the lowest value in terms of future trading references. Experienced traders focus on several factors, including the probability of consecutive N trading days rolling profit, win rate, and the product of risk-reward ratio and screening model Type II error testing. One clause in the above trading model's returns data is "the probability of 30 consecutive trading days rolling profit." This means that the trading model has a 73% chance of achieving positive returns in any 30 consecutive trading days. This set of data is often used when determining subsequent funding for traders and determining the trading model's life cycle. In our understanding, the choice of N in the probability of rolling profits for N consecutive trading days depends on the trading model's sample. It is generally believed that N should be no less than 30 and no more than 360. If there are enough trading samples during the testing period of the trading model, 30 trading days can be used as the benchmark for calculations. If the trading samples are insufficient, the estimated confidence level will be low, and the reference value of this set of data will be correspondingly low. If the trading model cannot achieve profitability in 360 consecutive trading days, it is unlikely that any trading room or investor will invest in it. The verification time cycle is too long, and the time cost is too high. Such trading models are almost unsaleable in the market. Of course, readers may provide many exceptions, but they are not within the scope of our discussion.
When interpreting the aforementioned clause, different trading rooms may have their own interpretations and there is no standardized approach. However, in terms of its meaning, it is better to have a shorter time cycle and a higher confidence level.
It is worth noting that industry experts pay close attention to the second category error inspection of the screening module. During back-testing,/>/>