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This is an announcement of a free presentation by Keith Fitschen,
the developer of the Aberration Trading System, in regard to
developing trading systems and the pitfalls involved. I'm confident
that they will learn valuable information in regard to system
development. Below are the details:
SATURDAY, AUGUST 7, 2004, FROM 10AM - 2PM, DOUBLETREE HOTEL OHARE
AIRPORT, 5460 NORTH RIVER ROAD, ROSEMONT, IL. (847)- 292-9100
SATURDAY, AUGUST 21, 2004, FROM 10AM – 2PM, HYATT SAN JOSE AIRPORT
1740 North First Street, San Jose, CA. 95112,(408)- 993-1234
Important Seminar Information,(Note: All pre-registered attendees
will receive a free trading system, $500 value,RSVP to
Leonard@xxxxxxxxxxxxxxxx or call 800-858-2340.
Trading System Development Outline
Keith Fitschen presents a detailed study on the theory of system
development, an application of that theory in which he designed a
profitable system, and an overview of his commercially available
Aberration Trading System. Aberration is a multi-commodity trading
system that was released in 1993. Futures Truth Magazine has twice
named it "ONE OF THE TOP TEN TRADING SYSTEMS OF ALL TIME" (1997 and
again in 2000). The speaker is sponsored by Angus Jackson, Inc.,
(www.angusjackson.com), a futures and commodity brokerage firm based
out of Fort Lauderdale since the mid-1980s. Angus Jackson Inc.
specializes in executing various mechanical trading models for its
clients.
System development, as defined by Fitschen, is a process to identify
a means of profitably exploiting noisy market data. Fitschen
summarized the process as a series of steps:
· Identify a characteristic within the data.
· Pick a trading time frame.
· Test entry ideas.
· Optimize the entry signal across as many commodities as
possible.
· After finding a good entry, test exits.
· Add filters to improve the system performance.
· Test money management rules.
· Complete out-of-sample testing.
Curve fitting. The biggest pitfall to system development, in his
opinion, is curvefitting, which over-optimizes past data to generate
results that can't be achieved in real time trading. He defines
curve fitting as either the overuse of rules, filters, or stops when
developing a trading system on a sufficient amount of past data; or
the proper application of rules, filters, or stops on an
insufficient amount of past data.
Demonstration. Turning from theory to application, Fitschen
demonstrated the system development process. He followed the steps
he had outlined earlier.
Another Example. Donchian breakout entries are a well-known
commodities trading technique. This system buys on a close higher
than the highest close in the look back period and sells on a close
lower than the lowest close in the look back period.
Performance Metrics. The most important measure of a system to
Fitschen is total profitability. He is confident that if he can get
enough trades then total profit is the only meaningful statistic to
prove that a system works. He also likes to look at the gain/pain
ratio, which he defines as the average annual gain divided by the
average annual drawdown.
Guidelines for Buying and Trading a Mechanical System.
Overview of Aberration Trading System.
Keith Fitschen has developed commodity systems for the last 20
years. He retired from the Air Force in 1988, and has been trading
commodities since then. Aberration has been marketed since 1993.
Keith has also developed Aztec, a shorter-term commodity system, and
Imaster, a short-term index system. Additional information about his
work can be found at www.trade-system.com.
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