How long the history data is enough to check reliable of the SQN value?
Quỳnh H Nguyễn last edited by
Following the document: The sqn value should be deemed reliable when the number of trades >= 30.
SQN or SystemQualityNumber. Defined by Van K. Tharp to categorize trading systems.
1.6 - 1.9 Below average
2.0 - 2.4 Average
2.5 - 2.9 Good
3.0 - 5.0 Excellent
5.1 - 6.9 Superb
7.0 - Holy Grail?
But I tried with the history data for 1-2 year (5 minutes timeframe) the SQN is very good, in range excellent. However, when I split down the history data to 6 months or 3 months, the SQN results are lower, at average values or below average.
Would you please to share any experience for reference to check the reliable of the SQN results?
Thank you very much!