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Jayson,
I'm not sure I agree with you 100%. Fred's post has raised some issues in backtesting that need to be clarified, at least in my mind. The whole issue of compounding is an interesting question. Someone said that it's the trades that are important, and this is indeed true. However, I've always been curious how to interpret backtesting results when the position sizes increase to exhorbitant figures, ones we would not use in real trading. I know we can place a max on our position size, and there are probably an infinite no. of other ways to limit or fiddle with our trade size. But, the thread has stimulated me to ask how others do their system tests. I think the whole discussion has been exhilarating. I think Fred has probably succeeded in developing a tradeable system. It's just that the performance figures that have been a bit difficult to believe.
Al Venosaavcinci@xxxxxxxxxxx
>From: "Jayson"
>Reply-To: amibroker@xxxxxxxxxxxxxxx
>To:
>Subject: RE: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>Date: Wed, 5 Feb 2003 10:16:38 -0500
>
>The point is, why develop and optimize an untradable system?? Unless your
>interest is purely academic the whole idea of the development process is to
>actually trade it.
>
>This whole thing is a gigantic waste of time.... Pictures of your trades,
>backtest results etc... without sharing the code you are simply teasing us
>into responding to your posts. If the goal is to demonstrate that you can
>developed a winning system then I think everyone here is aware of and
>embraces the concept. If you are simply looking for an "ataboy" then
>"Ataboy". Lets move on
>
>Jayson
>-----Original Message-----
>From: Fred [mailto:fctonetti@xxxxxxxxx]
>Sent: Wednesday, February 05, 2003 9:13 AM
>To: amibroker@xxxxxxxxxxxxxxx
>Subject: [amibroker] Re: NDX / QQQ-Can itbe traded? !!!!
>
>
>Yuki,
>
>I'm not arguing your statement in terms of how one might trade in the
>real world, but you are not going to design & optimize a trading
>system based on constant dollar trades are you ? especially if that
>sysem is designed to trade a broad index like NDX as represented by
>QQQ's or for that matter the hundred stocks it represents.
>
>--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga wrote:
> > Hi Fred,
> >
> > Wednesday, February 5, 2003, 10:45:49 PM, you wrote:
> >
> > Ffyc> Maybe when I get to $50mm I'd agree with you, but to limit
> > Ffyc> position sizes produces unrealistic results
> >
> > Sorry, but you are quite wrong. I thought you were a trader, too,
> > but now I'm wondering. It is unrealistic, quite unrealistic, not to
> > limit position sizes to positions that can slip in and out of a
> > market without distorting it, or actually becoming the market.
> >
> > Trading anything even close to that size, or allowing it to be
> > considered as a test, in most stocks, is producing results that
> > cannot be obtained in real trades, therefore the results are absurd.
> >
> > I would guess you would have to scale down drastically in many
>issues
> > that are less liquid than others. You can do it or not as you see
> > fit, but don't expect much respect for the numbers you are posting
>if
> > you don't. They are absurd.
> >
> > Best,
> >
> > Yuki
> >
> > mailto:yukitaga@xxxx
>
>
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