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Chuck Rademacher wrote:
> I haven't seen the article in question, but I was reasonably sure that it
> was all about 25 days of intraday data and 25 bars of data. I would think
> that it is more important to consider how many trades were generated than
> how many bars or days. It's not a science, but if there were less than
25
> trades per parameter then the statistical significance is negligible
(IMO).
> I would prefer to see more than 100 trades per parameter, but 25 would be
a
> minimum.
That is a pretty standard criterion, of course, and it makes sense if you
are dealing with long-term trend-following systems that might not generate
more than a trade or two per year. But for intraday trading, it's nonsense,
or so it seems to me. More data, and therefore more trades, makes for a
much more convincing analysis. Which makes more sense? That this guy only
had two months of data to study and found a really good system to test on
them? Or that he cherry-picked the two months that happened to work?
Other thoughts about this come to mind:
What does it take to test a few more months of data? Maybe two minutes to
bring up each contract and run the analysis? How lazy would you have to be
not to bother?
And, of course, there is the traditional question. If the system were that
good, would he really tell us about it for the few-hundred dollars that
article brought him? I sure wouldn't, and I've earned my living as a
freelance writer for most of 30 years.
But if I were that dumb, I would certainly put in the effort to make my case
and earn my pathetic little writer's fee. No doubt he would argue that he
is just trying to show us the way, so that we can be more productive in our
own work. It doesn't wash.
Finally, here is the real issue: Would you put your hard-earned money into
the market on the basis of a system that had been tested on a single
two-month cycle of testing? If not, his analysis isn't worth any more than
I think it is.
Owen Davies
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