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Fred,
You asked:
> If we had a system and it was only good enough to trade the S&P
> wouldn't that be sufficient whether that was in the form of EMini's,
> Options, ETF's or what have you ? Does any particular system have
>to work across a basket of whatever to be viable ?
>
There is a diversity of opinions on this board as it regards this subject.
Some of the posters on this board are completely comfortable
backtesting their systems against an index or some extreme SUBSET of
the entire universe of an available trading issue database.
And there are others of us who are only comfortable backtesting
systems against a significantly larger number of issues or portion of
the 'basket', of which our databases consist.
Which approach is right or wrong? Hell, I don't pretend to know... I
simple extrapolate any posted trading system against my own preferred
approach, which is a large universe of historical EOD trade data,
which I can backtest against in its' entirety, or in randomly selected
subsets.
Your previous posting of your own backtest results of Steve's method
showed questionable results. I can assume that you backtested it
against an index, but I don't even know that for sure.
Let Steve answer my question himself.
I want to know what mathmetical metrics he used to determine that the
trading system he published was viable.
Fair enough?
ie. don't jump into the middle of a question I posed directly to Steve.
Phsst
> As far as the feasibility of this particular system goes to trade
> what the poster pointed at see my previous post in this thread.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> > Steve,
> >
> > You started this thread off like it was a chip on your shoulder.
> >
> > Rather than 'taking my best shot at your system', I'd rather ask a
> few
> > questions. For any randomly generated basket of stocks, how do you
> > think that this system performs relative to the following:
> >
> > * Number of Trades (Long versus Short)
> > * How quickly is available capital 'over traded'
> > * % of trades that are profitable
> > * % of trades that are losers
> > * Avg profit per winner
> > * Avg loss per loser
> > * Avg days held for winning trades
> > * Avg days held for losing trades
> > * RAR on Long trades
> > * RAR on Short trades
> > * Max % drawdown of account value for both Longs and Shorts
> >
> > What kind of metrics were available to you that made you think this
> > system was worth publishing?
> >
> > Regards,
> >
> > Phsst
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > > Steve,
> > > as you see, nobody likes this wonderful system *as is*.
> > > I am still surprised, nobody wants to buy at $10 and sell at
> $90 ???
> > > But, it is a net +800% !!!
> > > Anyway, perhaps the best typo ever written.
> > > Thanks for the surprise,
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading"
> <kernish@xxxx>
> > > wrote:
> > > > Group,
> > > >
> > > > I've stayed on the sidelines for the most recent "shit-
> slinging".
> > > I thought I'd post an elementary approach to the "Dow"...just so
> > > people could find another member to attach. Take your best shots
> at
> > > the systems (I've been called all kinds of unflattening names and
> I
> > > even like some of the "tags").
> > > >
> > > > The system hasn't been optimized, tweaked, or manipulated. All
> > > types of rules and filters could be super-imposed (over, under or
> > > around the basics...simple is always better). As it stands, it
> does
> > > a decent job tracking the CBOT Dow contract.
> > > >
> > > >
> > > >
> > > > Thanks to HB for providing the code translation:
> > > > // Standard Error Oscillator (Steve Karnish)
> > > >
> > > > StdErrOsc = (C+2*StdErr(C,8)-MA(C,3))/(4*StdErr(C,8))*100;
> > > >
> > > > Plot(StdErrOsc, "StdErrOsc", colorBlack, styleLine);
> > > >
> > > > Plot(10,"",colorRed); Plot(90,"",colorRed);
> > > >
> > > > Buy = Cross (10, C);
> > > >
> > > > Sell = Cross (C, 90);
> > > >
> > > > Take care,
> > > >
> > > > Steve
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