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<Enough from me as I seem to wander around the place and forgotten
what I started to say.>
Sadly... that happens to me too... but my original intent was good!
Phsst
:)--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> Interesting comment Fred, no offence taken. We all have our views of the
> market, and how we trade it. I think it also comes to what types of
stocks
> you trade, and especially your timeframe. You are right, I have not
traded a
> true bull run, I came in at near the end so I have been told. When I
started
> I did not even know what a bull run was, thought it meant the bull
run in
> Spain (?) where people run down the streets with bulls chasing, and
I have
> seen a bull market in the country towns :)
> But I cannot agree with being put into a lemming group. That I do
not like.
> I shall pass on now what I have done in testing systems, as obviously my
> scattered thoughts being put forward are being taken as gospel. I
test over
> 5 year period which has included some very moving volatility of the
market
> after a good bear run. So testing this period I have covered
different types
> of market, bull, bear and no where. To further test the final numbers, I
> checked this against the previous 5 years data to give a 10 year
perspective
> on its reliability. Before I traded such a system I then forward
tested on
> paper, generally for up to 6 months until I am satisfied it is a viable
> method. Often the drawdown on systems stops them dead very early. The
> backtesting capabilities are ok, but in no way can this ensure
viability of
> any system when actually traded real time, even if only on paper. I
have had
> a system over a group of stocks that worked great in backtest, had 4:1
> win/loss ratio, good profit returns, and the drawdown (as worked on
excel
> spreadsheet) was acceptable. The forward trading then had a string
of losses
> that wiped out the account (paper). Backtesting did not have this
number of
> consecutive losses, so maybe it was the first time or an abnormal
one-off
> event. Needless to say, that despite great backtest, it was scrapped.
> I continue looking for viable systems, and when I eventually find a good
> one, that works for me, great.
> Enough from me as I seem to wander around the place and forgotten what I
> started to say. :)
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Sunday, 30 March 2003 11:47 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: TESTING THE UNIVERSE ?
>
> Grahm,
>
> No offense, but all I can tell you is that 3 years is hardly enough
> time to have experienced the gut wrenching feelings that a lot of
> folks felt in their stomachs and their accounts in the market
> transition of the late 90's when a dart and a newspaper was
> sufficient to make real good dollars on the long side to what
> happened to them thereafter. Lots of those folks along with almost
> countless market-letters, hedge-funds, companies, mutual funds etc.
> etc. have long since disappeared. The bear has been going on long
> enough now that there are a variety of folks running around thinking
> they only need to test over the last couple to three years and are
> virtually heading down the same road as the long gone lemmings of the
> late nineties.
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> > Yes, we are all different, which is why there is someone buying
> another
> > selling. Without that the market would not be much fun :)
> > Regards knowing when your system was working or not, I did say that
> you have
> > a measure of performance of your system. This would tell you when
> not to
> > trade that system.
> > In a lot of regards to history being easy to see the trends etc,
> have to
> > totally agree. Then following that thought one step further, just
> to throw
> > this thought out, what purpose is backtesting. Does history repeat?
> Can you
> > rely on past charts to help with future price movements? Unless you
> go
> > further into the reason behind the moves what purpose does the
> historical
> > performance mean. Why did the price move in that direction at that
> > particular time, will that occurrence happen again. Then you have
> to ask the
> > next question, if it did happen, would it have the same effect on
> the price
> > performance as it did in the past.
> > My previous post, and this, are putting thoughts out. I have my
> methods of
> > trading, and so far have survived 3+ years. Some times up some
> down, but
> > surviving. I continually have ideas and delve into them, most of
> the time
> > they are left behind as they do not stand the process of testing.
> >
> >
> > Cheers,
> > Graham
> > http://groups.msn.com/ASXShareTrading
> > http://groups.msn.com/FMSAustralia
> >
> > -----Original Message-----
> > From: Fred [mailto:fctonetti@x...]
> > Sent: Sunday, 30 March 2003 11:19 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: TESTING THE UNIVERSE ?
> >
> > Grahm,
> >
> > Questions and/or comments regarding your post.
> >
> > If you are only trading long then to me it's still imperative to
> test
> > over bear markets as well unless you have some sort of automated
> > filter that keeps you out of bear markets in which case you are
> still
> > testing over bear markets, aren't you ? It's wonderful to look
> back
> > in history and say ... well I wouldn't have traded then because it
> > was a bear market ... but the question is when did you recognize
> that
> > it was ? after day one ? month one ? year one ?
> >
> > The same applies to delisted stocks, doesn't it. No way to know
> much
> > in advance that they were going to be delisted.
> >
> > With regards to holding period .vs. testing period IMHO neither 10
> > years for those planning to hold 12 months or 1 year for those
> > planning on holding 5 days is sufficient although the latter
> appears
> > to be more viable as there are ~50 potential trades there and only
> 10
> > in the first scenario. From my porch I don't trade systems that
> > don't have 200+ trades in them end to end.
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> > > I don't see the need for testing multitudes of stocks that no
> > longer exist
> > > nor for testing over large periods of time, nor having a large
> > basket of
> > > stocks available on your search list.
> > >
> > > As far as I see all you need is a timeframe to cover various
> market
> > trends
> > > (bull/bear/sideways) and enough stocks to make it viable. I would
> > also look
> > > at how you trade, long only, or long and short trades, etc. If
> you
> > only
> > > trade long, why test over a bear period. Logic would tell you
> that
> > your
> > > system will not be as profitable, and thus you should maybe stand
> > aside till
> > > your system matches the market. Your keeping of records against a
> > certain
> > > criteria of win/loss ratio, or profit/loss ratio would tell you
> > when your
> > > system is out of synch with the market. Either you have multiple
> > systems or
> > > keep adjusting the one system to suit current conditions would be
> > options.
> > >
> > > The stocks you select for the testing should be consistently
> traded
> > > throughout your test period, so I ignore any that closed or
> started
> > during
> > > the period. Your timeframe of testing should also be in line with
> > your
> > > trading timeframe. The test period should be longer than your
> trade
> > > timeframe. I can only make a stab at this as I have only tested
> to
> > suit my
> > > style, but if you intend to hold for 12 month periods, then you
> > test over a
> > > 10 year frame, or for holds of 5 days, I would think that a test
> > over 12
> > > months would be sufficient.
> > >
> > > The size of your stock basket for systems should be related to
> your
> > trading.
> > > A small short-term trader can only manage a relatively small
> number
> > of
> > > trades at one time due to size of capital, and the human ability
> to
> > manage
> > > them. A larger trader/investor would have a different aspect
> being
> > able to
> > > manage a larger basket due to more capital, and a longer term
> > perspective
> > > easier to manage more trades. So if you can only manage 2 trades
> > per week,
> > > why have a system that provides 20 entry signals weekly. A trader
> > who makes
> > > 20 trades per week would need a system to signal more than 2, but
> > would not
> > > need 100 signals each week. So you would need to combine the
> number
> > of
> > > stocks to search and the trade signal system to match your
> > requirements.
> > >
> > > At the end of all this nonsense I have said, there is one thing
> > that really
> > > counts. The methods and systems you use for trading must be
> > suitable for you
> > > personally. What one person does will probably not suit another.
> > >
> > > Cheers,
> > > Graham
> > >
> > > <http://groups.msn.com/ASXShareTrading>
> > > http://groups.msn.com/ASXShareTrading
> > >
> > > <http://groups.msn.com/FMSAustralia>
> > http://groups.msn.com/FMSAustralia
> > >
> > > -----Original Message-----
> > > From: Jayson [mailto:jcasavant@x...]
> > > Sent: Sunday, 30 March 2003 7:30 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: RE: [amibroker] TESTING THE UNIVERSE ?
> > >
> > >
> > >
> > > Gosub,
> > >
> > >
> > >
> > > there will certainly be many on the other side of this discussion
> > but FWIW I
> > > try to define a universe that will trade best with a given
> > strategy. For
> > > instance my universe has certain price, average volume and market
> > cap
> > > requirements. I agree that some stocks have certain personalities
> > that tend
> > > to work best with certain systems. Others will argue that a
> Robust
> > system
> > > should work equally well in any market. The challenge with the
> first
> > > approach is that depending on how far back you you are testing the
> > > personality may be very different now than it was at the start of
> > your
> > > testing period, especially if you test back 10+ years. Look at
> > MSFT, AOL and
> > > CSCO as examples....
> > >
> > >
> > >
> > > Jayson
> > >
> > > -----Original Message-----
> > > From: gosub283 [mailto:gosub283@x...]
> > > Sent: Saturday, March 29, 2003 5:28 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] TESTING THE UNIVERSE ?
> > >
> > > Hi everyone,
> > >
> > > Please bear with me on this subject because
> > > it's one which I have not yet found the answer
> > > and one which I am not an expert. This question is based
> > > on my current assumptions and is open to comment,
> > > correction, or debate.
> > >
> > > (This has been discussed before but, as an onlooker,
> > > I did not see a solution.)
> > >
> > > Here it is:
> > >
> > > What is the point of testing the whole universe
> > > of stocks with a trading system if it is generally
> > > understood that..
> > > A) Some stocks are just not "system" tradeable
> > > B) Some systems are best suited to certain markets.
> > > C) Some stocks have unique "personalities" which work
> > > with some trading techniques but not others.
> > >
> > > It seems to me that a test of the whole universe will give
> > > a squewed result because the performance of the system
> > > will be lowered by the "untradeables" and the ones with
> > > the "wrong personality".
> > >
> > > I have written filters which divide up the universe into two
> > > personality groups.(Good ones on the left...bad ones on the right)
> > > This has helped to narrow down the basket a little.
> > > But maybe there's another reason to test the whole universe
> > > that I m not aware of. Any comments on this ? (for or against)
> > >
> > > PS: I think the focus should be on devising ways to define
> > > and catagorize "personalities", then go exploit them.
> > > (Definately easier said than done) ;-(
> > >
> > > Cheers,
> > > Gosub283
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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