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<SPAN
class=872233704-06102003>as disappointing as it is to me, so far, every time
I've come upon a mechanical system with snazzy returns over a long period of
time, especially over a number of different tickers/markets, it's turned out
that I was peeking into the future a little by accident. I'm sure there must be
some systems where that's not the case that still do well, but I haven't found
them. yet. and no, I guess I'm not really *sure*, just
hopeful.
<SPAN
class=872233704-06102003>
<SPAN
class=872233704-06102003>I do think it's telling that my equity feedback
experiments haven't been more immediately fruitful. if past performance with a
signal doesn't predict future success with it, how reliable can it be? what does
it mean that a bunch of standard metrics don't perform all that impressively
when managed this way?
<SPAN
class=872233704-06102003>
<SPAN
class=872233704-06102003>of course there's always a distinct possibility that my
results mean nothing because I've screwed up my coding, either out of
sleep-short carelessness or some misunderstanding of the new portfolio features.
time and testing will tell.
<SPAN
class=872233704-06102003>
<SPAN
class=872233704-06102003>if others have great results, I'd love to know. if you
don't want to disclose your actual system, that's understandable. just
indicating overall performance and how you tested would be of interest to me,
and I bet to others.
<SPAN
class=872233704-06102003>
<SPAN
class=872233704-06102003>dave
<BLOCKQUOTE
>I'd
like to see the equity curve and statistics for the past 5 or 6 years from
an automated system where you're getting 20% per day. If you could
generate those kind of returns people would be coming out of the woodwork
to bankroll your trading. After all beginning with a balance of
$100k you'd have close to $10b after 3 months. Then of course you'd
need to ante up some fairly fat estimated tax payment for
uncle.
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