Thanky - I just had a look through my Marwood stuff and couldn't...

Thanky - I just had a look through my Marwood stuff and couldn't find the Mean Reversion strategy I thought I had access to. i had a look at the article you provided a link to and all that I would have attempted to do is presented in the article.  For anyone who wants an intro to how to build a professional system I suggest you have a good read of this article.  One thing that always seems to disappoint me when I review this sort of  analysis is the resulting system performance.  The equity curves look great but the CAR (compound annual % return) always seems so low, i.e. its about 8% for the system tested in this article.

Out of interest, exactly what CAR would everyone else consider acceptable.  For me and my long/short DMA-CFD trading system I am expecting a minimum of 50% on margin.  My total capital that I am expecting to allocated as margin to my CFD system is around $100k initially.