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You’re right I forgot to include that.
<span
>A nice
system<span
> would have the
following (speaking in terms of Amibroker report statistics)
Annual system return of 50% or better.
Max System % Drawdown: 15% or lower.
Percentage of trades that are profitable:
70% or higher
Max consec. Losers: no more than 3
Ratio Avg win / Avg Loss: 1.5 or higher
Profit factor: 2.5 or higher
<span
>A great
system:
Annual system return of 75% or better.
Max System % Drawdown: 12% or lower.
Percentage of trades that are profitable:
80% or higher
Max consec. Losers: no more than 2
Ratio Avg win / Avg Loss: 2.0 or higher
Profit factor: 3.5 or higher
And both would be for a limited portfolio
(trading around 20 stocks out of a pool of 50 – 75 candidates that are selected
for trading based on their performance that are collected during simulated
trading)
<span
>-----Original Message-----
From: phsst
[mailto:phsst@xxxxxxxxx]
Sent: Wednesday, April 09, 2003
11:28 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Larry
Williams Inner Circle Review
<span
>
<span
>Dale,<span
>
I knew from previous posts that I had read that
you were an excellent
software developer. And the .gif file you posted
demonstrates that.
But you did not answer my question.
> what do you consider 1) Good trading system
> results, and 2) Excellent trading system
results. And do you prefer
> limited portfolio trading or 'whole mkt'
portfolios?
If you think the results I posted were
unremarkable then you must have
had some point of reference... eh?
Phsst
--- In amibroker@xxxxxxxxxxxxxxx,
"dingo" <dingo@xxxx> wrote:
> Good trading system results? I’m
still working on that. I’ve
attached a gif of my latest project â€" a
portfolio test bed that will
allow me to test a variety of formula on a series
of portfolios under
different rules. I’m particularly
interested in trying to see if I
can get a formula to detect when stocks come into
a tradable zone and
when/if it does begin trading it until the formula
detects that the
results are falling off.
>
>
>
> d
>
>
>
> -----Original Message-----
> From: phsst [mailto:phsst@xxxx]
> Sent: Wednesday, April 09, 2003 10:58 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Larry Williams Inner
Circle Review
>
>
>
> Dale,
>
> No offense taken. In fact your observation
that the trading system
> results I posted were 'unremarkable' is the
conclusion I came to when
> nobody responded. That is why I made the
'patsy at the poker table'
> remark.
>
> <Could you expand on how you interpreted
them to be the results of a
> 'good trading system'?>
>
> Because I've traded this particular system
profitably. Just that simple.
>
> No kidding... my purpose in posting my
trading system results was to
> try to get others to provide some insight
into what can be achieved in
> trading system development with Amibroker
where it concerns superior
> backtesting results. (It was NOT my intention
to brag about my own
> systems!).
>
> So Dale, now a question for you... in
Amibroker terms, give us some
> point of reference to what you consider 1)
Good trading system
> results, and 2) Excellent trading system
results. And do you prefer
> limited portfolio trading or 'whole mkt'
portfolios?
>
> No need to divulge details of proprietary
trading systems. Just give
> us an idea of what can be achieved with
Amibroker in real life.
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx,
"dingo" <dingo@xxxx> wrote:
> > Regarding your reference to your
¡Èbest trading system results¡É:
> >
> >
> >
> > No offense intended but at the time you
posted the results I looked at
> > them and found them to be quite
unremarkable and don¡Çt
understand your
> > characterization of them. Could
you expand on how you interpreted
them
> > to be the results of a ¡Ègood trading system¡É?
> >
> >
> >
> > Thanks!
> >
> >
> >
> > d
> >
> >
> >
> > -----Original Message-----
> > From: phsst [mailto:phsst@xxxx]
> > Sent: Tuesday, April 08, 2003 11:50 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Larry Williams
Inner Circle Review
> >
> >
> >
> > Yuki,
> >
> > Glad to see you back from your vacation,
and I hope the portion of
> > your vacation exclusive of Larry
Williams was enjoyable.
> >
> > Over the years, I've been to two or
three 'guru' seminars, and like
> > you, I've generally been disappointed in
the quality of the
> > presentations, not to mention the
presentors.
> >
> > Frankly, until I started watching the
AmiBroker board, the single best
> > published work I had read was Linda
Rasche's 'Street Smarts' book.
> > Linda did not hold much back and did not
let her ego get involved in
> > the presentation at all. Her
presentation primarily focused upon
> > futures, while I tend to focus upon
stocks. But her approach worked
> > well in any trading environment.
> >
> > I thought I had developed a few good
trading systems before getting
> > involved in this AmiBroker board. And
when I recently posted my best
> > trading system results, there wasn't much
feedback from others
> > regarding comparable results.
> >
> > Then I concluded that like the old Poker
Player axiom... if you don't
> > know who the 'patsy' is at the table,
then it is probably you!
> >
> > So I'll probably hold my cards a little
closer to my chest for a while
> > until I get the 'feel of the game'.
> >
> > Anyway, glad you are back.
> >
> > Phsst
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Yuki
Taga <yukitaga@xxxx> wrote:
> > > Hi DT,
> > >
> > > Tuesday, April 8, 2003, 3:38:59 PM,
you wrote:
> > >
> > > DT> Yuki, Read <a
href="">http://groups.yahoo.com/group/amibroker/message/10072
> > > DT> to see the basic info
for L. Williams well known indicator. Who
> > > DT> could imagine to put his
name in ANY T/A link reproducing
> > > DT> Stochastic ?
> > >
> > > Sad, and surprising, but he did
come off a bit like a glory
seeker to
> > > me, so I guess I'm not all that
surprised. He seemed to want to
> > > claim a lot of original TA stuff,
and that other people copied him a
> > > lot.
> > >
> > > Quite frankly, I was surprised with
his treatment on some
things. He
> > > likes ADX a lot, but he seemed to
not really understand how it works
> > > to me. He calls it a
"trend integrity" indicator, and advises that
> > > when it makes extreme highs and
then declines, the decline is
showing
> > > you that there is no
"integrity" in the embryonic new trend, and
that
> > > it is bound to fail.
Actually, this is quite wrong IMO, as the
> > > reversal in ADX at trend change is
simply a "bleeding off", if you
> > > will, of the high level of trending
that HAD been present. It is a
> > > symptom of the old trend, not yet
referencing the new direction at
> > > all. After a while, if ADX
does not stop falling and start
rising of
> > > course, then the new direction is
certainly suspect. But, that
is not
> > > what Larry was talking about. He
was talking simply about the
initial
> > > fall in ADX from a high level, and
that this fact makes a new
> > > direction suspect. That is
not correct, IMO.
> > >
> > > It is only sometime later that the
failure of ADX to stop
falling and
> > > start rising with the new trend,
that the new trend becomes suspect
> > > (and of course *all* new trends,
especially reversals coming out of
> > > strong trending periods, are
initially quite suspect). But a new
> > > embryonic trend is not suspect
simply because ADX is bleeding off
> > > levels reached due completely to
the strength of the old trend. A
> > > declining ADX is perhaps useful
only to tell you to STAY OUT of a
> > > trade, IMO. Where the ADX is most
useful to me is when it just
> > > crosses or just about crosses into
strong trending territory -- on
> > > its way up -- signalling that there
may be a train departing
that you
> > > want to get on.
> > >
> > > Maybe I'm splitting hairs here, but
I really thought he was
trying to
> > > be a bit too "original"
here.
> > >
> > > Best,
> > >
> > > Yuki
> > >
> > > mailto:yukitaga@xxxx
> >
> >
> >
> >
> >
> >
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