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All 3 answers to my question (by you, Graham, and Yuki) sound
similar... But what I feel is that although you don't like to
call it system trading, it's still a "system", no? It's just
in your mind, and may be dynamic.
So couple of follow-up q's... Do you not backtest, period?
Do you not convert all your thoughts into system (code) and
backtest it because you find it hard to program, or is it because
there're just too many different plays you make in the market
(based on it's state) and those plays keep constantly evolving
year after year? WRT latter part of the question, for example,
did you make any plays this year that were sort of "brand new",
which you had never made before? I realize your state being "I do
this daily without any system and consistently make good money,
so why bother", but it seems to me that backtesting a new thought
or a style based on certain condition would always be a better
approach, especially if you can find those patterns in the past.
BTW, I'm not saying one is better than the other. I personally
just don't have a choice since I'm fairly new to active trading.
And given my programming background, it just leaves me no choice
but to test an idea out first... Perhaps with experience that
will change, but right now that sounds like a safer approach to
avoid getting busted in the game. :-)
Jitu
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Jitu,
>
> The shear volume of posts here promoting the need to test over
thousands of
> stocks, versus test over a select few stocks, test in and out of
sample,
> test optimized versus non optimized, test step forward versus recent
> horizon, Test 10 years of data versus a few, not to mention the
thousands
> of posts promoting this metric versus that metric as being the
important
> things to look at and the double edged sword of Optimized versus
curve
> fitting lead me to believe there is no true way to estimate with
confidence
> any of it going forward, We can however determine what has occurred
in the
> past, and in theory we can learn from the past...
>
> I do not attempt to estimate a max system % DD for next year
because I do
> not know what the market will be doing next year. If it trends I
will play
> stocks one way if it consolidates I will play them another. At any
given
> point in time I may have an opinion of the state of the market and
of the
> stocks I prefer to trade but I may just as likely have no opinion.
When I
> feel confident in my opinion I trade, when I am confused I sit on
the side.
> I limit my losses by cutting them short when they go against me
early in the
> trade. I leave money on the table sometimes by doing this but I
sleep well
> because of it. In my heart of hearts I know I could never follow a
system.
> If my testing shows I will make oodles of money in the long run but
I have
> to sit through a scary DD in theory I can follow it but in practice
I know
> if I am in a $20,000 position that is 15% in the crapper I will
bail and I
> know that even if the system says I will not suffer more than X
number of
> losses in a row that I will hesitate to plunk down another 20k on
the next
> signal. I will never take all the signals and so all my testing is
for
> naught because the big trade that made the difference will
undoubtedly be
> the "One that got away"
>
> If system trading suites you then great. I wish you the very
best......It
> scares the living bejesus out of me.
>
> Regards,
> Jayson
> -----Original Message-----
> From: jtelang [mailto:jtelang@x...]
> Sent: Monday, November 24, 2003 11:30 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] StoRSI... was Re: Robustness
>
>
> Hi Jayson,
>
> May I ask a potentially controversial question without
> offending you? I'm always mystified by the confidence
> level of you discretionary traders... How exactly do
> you guys estimate your Max System % DD for next year?
> Is it purely based on what you've been experiencing
> over last few years?
>
> Jitu
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > John,
> > You are asking the wrong guy. I do not trade systems, I trade
> stocks. I find
> > some markets behave better using various indicators at given
> periods of
> > time. I am a discretionary trader who has yet to find any
> semblance of a
> > system that I would feel comfortable trading real money on.....
> which is not
> > to say that you or others have.
> >
> > Regards,
> > Jayson
> > -----Original Message-----
> > From: john gibb [mailto:jgibb1@x...]
> > Sent: Monday, November 24, 2003 8:08 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] StoRSI... was Re: Robustness
> >
> >
> > thanks for the feedback, Jayson.
> >
> > What are the bare minimum requirements for a 'system', in your
view?
> >
> > -john
> > ----- Original Message -----
> > From: Jayson
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Monday, November 24, 2003 4:40 PM
> > Subject: RE: [amibroker] StoRSI... was Re: Robustness
> >
> >
> > No apology needed...it is not a system at all... but an
indicator
> that I
> > routinely use (as well as others) to help me determine entry and
> exit points
> >
> > Regards,
> > Jayson
> > -----Original Message-----
> > From: john gibb [mailto:jgibb1@x...]
> > Sent: Monday, November 24, 2003 6:56 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: Re: [amibroker] StoRSI... was Re: Robustness
> >
> >
> > Hi Phsst,
> >
> > this helps; thanks...
> >
> > using a large number of issues makes sense for your testing
> because I
> > assume
> > you would consider trading any of those...
> >
> > i'm just looking for a sensible approach to evaluating systems
> both for a)
> > optionable stocks/indices and b) QQQ
> >
> > so far I conclude that, unfortunately, they are probably going
to
> be
> > different systems
> >
> > For example, my first reaction to Jayson's system (using the
QQQs
> from
> > their
> > inception in 1999 to date is forget it) (no offense, Jayson :) )
> due to
> > the
> > negative
> > 'return on account'. But using my 2000 or so optionables, I got
a
> small
> > positive
> > 'return on account'.
> >
> > What do you use, if not 'return on account', as a first-pass
> evaluator?
> >
> > thanks again,
> >
> > -john
> >
> > ----- Original Message -----
> > From: "Phsst" <phsst@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, November 24, 2003 10:43 AM
> > Subject: [amibroker] StoRSI... was Re: Robustness
> >
> >
> > > John,
> > >
> > > As I recall, Anthony's system focused upon QQQ test results,
> the same
> > > as Dave's.
> > >
> > > I failed to qualify my post with the caveat that I don't
> restrict my
> > > backtests to only one stock (I know that several folks do, but
> I just
> > > don't trust the validity of test results that are so limited
in
> scope).
> > >
> > > So if you are trying to compare report-stat thresholds against
> the
> > > QQQ's, then I am not qualified to help you.
> > >
> > > So my recommendation for looking at Jaysons StoRSI code was
> based upon
> > > test results against hundreds or thousands of issues. This
> makes it
> > > pretty easy to eyeball the report stats and see if there is
> anything
> > > of interest there.
> > >
> > > I am not trading the StoRSI system. Rather I am tweaking it to
> get a
> > > feel for how it responds to various filters and conditions.
Even
> > > though I have what I consider positive results that were
> achieved very
> > > quickly, I want to understand how any potential 'finished
> product' I
> > > come up with will react in many situations.
> > >
> > > Because of my early positive experience with the indicator, I
> thought
> > > it worth mentioning on the forum.
> > >
> > > I don't think this is what you wanted to hear, but I hope it
> helps.
> > >
> > > Regards,
> > >
> > > Phsst
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx>
> wrote:
> > > > Hi Phsst,
> > > >
> > > > Can you share:
> > > >
> > > > a) what report-stat thresholds you looked at to
> conclude 'it
> > showed
> > > > promise'
> > > > b) any other specific recomendations to make a first-cut
> > > evaluation on
> > > > any proposed system. For example, if I want to quickly
compare
> > Anthony's
> > > > system in Message # 52872
> > > > with Jayson's)
> > > > ?
> > > >
> > > > thanks
> > > >
> > > > -john
> > > > ----- Original Message -----
> > > > From: "Phsst" <phsst@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Sunday, November 23, 2003 8:37 PM
> > > > Subject: [amibroker] StoRSI... was Re: Robustness
> > > >
> > > >
> > > > > Sid, Owen & anyone else who is curious,
> > > > >
> > > > > I would suggest that you forget the StoRSI 8 8 3 code that
> Dave
> > > > > posted. (I never saw or heard CedarCreekTrading's
> recommendations
> > > > > regarding this trading system).
> > > > >
> > > > > Instead, you might want to take a look at the StoRSI code
> that
> > Jayson
> > > > > provided in Message # 52370.
> > > > >
> > > > > Add your trade delays, initial equity, positionsize,
> positionscore,
> > > > > other personal preferences for backtesting (including
> watchlist,
> > etc.)
> > > > > and other filters that make sense to you.
> > > > >
> > > > > I don't promise anything, but in my backtesting it showed
> promise
> > > > > almost 'out of the box', plus it has the graphic support
in
> IB for
> > > > > fine tuning.
> > > > >
> > > > > (Be sure to email me and Jayson if you find the Grail
<g>).
> (((( AND
> > > > > DON'T COME CRABBING IF YOU DON'T FIND THE GRAIL...
OK? ))))
> > > > >
> > > > > And as far as Robustness is concerned... robustness is in
> the eyes
> > of
> > > > > the beholder! (No more complicated than that)
> > > > >
> > > > > Regards,
> > > > >
> > > > > Phsst
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser
> <s9kaiser@xxxx>
> > wrote:
> > > > > > Too much tongue in cheek...what are you trying to say
> here?
> > > > > > Sid
> > > > > >
> > > > > > At 10:32 PM 11/23/2003 -0500, you wrote:
> > > > > >
> > > > > > >Sidney Kaiser wrote:
> > > > > > >
> > > > > > > > Steve K's system is not a system at all but rather
an
> idea
> > that
> > > > > needs to
> > > > > > >be
> > > > > > > > fleshed out to turn it into a money maker. I made a
> few
> > passes
> > > > > at it and
> > > > > > > > never discovered the appropriate additions to turn
it
> into a
> > > > > winner, so I
> > > > > > > > can understand Dave M's frustration with his
attempts
> to wring
> > > > > some profit
> > > > > > > > out of the idea.
> > > > > > >
> > > > > > >[Keep trying. It's not that hard.]
> > > > > > >
> > > > > > >Er, scratch that. It's impossible. Forget you ever
> read it.
> > > > > > >
> > > > > > >Owen Davies
> > > > > > >
> > > > > > >
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