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hello YEA RIGHT,
Lately, I use the last two years for OOS, the previous 2-3 years for IS and
optimization, and the five years before that for additional confirmation.
Some systems are designed for groups of stocks others for singles (this
means that they could work on other stocks but not as well). All systems are
100% mechanical, except perhaps for occasional taking of profits when I
can't resist it. My trade durations are 2-3 days in EOD, I have little
confidence in longer predictions. Let me add that i trade rather
sporadically, I am not a full time trader, and i have not made bundles of
money :-) also, i have switched to RT.
There have been many discussions about how well a system "might" do,
strangely enough such discussions invariably end in skepticism, or even hot
tempers, when somebody posts optimistic figures. I wish people would be a
little more tolerant to optimism. Personally I believe 80% winners are
possible, for fun I Backtested the small system I actually traded (about 70
trades, i think we had some 20 winners in a row ) before it failed, see
results 98-2003 results below. The system consisted of only two lines of
code and used no stops or money management of any kind. I think this system,
with a small amount of discretionary input could have easily exceeded 80%
winners. Mind you there were practical trading limits, like it being an
average to low volume N100 stock, so even having such a system doesn't make
you necessarily rich.
To encourage users to search for such gems i show some results below, such
systems are rare, don't last forever, but they definitely do exist. This one
does not work anymore and i have nothing else like it right now. But i keep
my eyes open for such gems by running all systems I design on a larger
number of stocks to see if one happens to excel. I found this responsive
stock by fluke when i tested a "logical system" i.e. one that ought to work
but didn't, on a large number of stocks.
happy coding!
herman
Log Equity curve.
-----Original Message-----
From: YEA RIGHT [mailto:suedeuno@xxxxxxxxx]
Sent: Thursday, September 02, 2004 9:30 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: system % rule of thumb?
Do you shoot for at least a 10 year period of backtesting? I would
think that high of a percentage is no good unless it's over
different cycles of the market. I was actually shooting for much
less seeing that the old adage of 80% of your winning comes from 20%
of your trades tends to be true.
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> from personal experience 60-70% winning trades seems attainable in
general
> systems, i.e. those that are profitable acrross a group of stocks.
Single
> stocks system can do better, perhaps 80-85% but I (actually me and
my
> partner) traded only one such system for about 6-8 months (1-2 day
trade
> durations). The company got reorganized and the system died.
Believe it or
> not: trading systems suffer fatal heart attacks!
>
> Of course the % winning trades is not proportional to % profit so
you should
> look at the whole picture.
>
> good luck,
> herman.
>
>
> -----Original Message-----
> From: YEA RIGHT [mailto:suedeuno@x...]
> Sent: Thursday, September 02, 2004 7:20 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] system % rule of thumb?
>
>
> What realistically tradeable winning % does everyone here shoot
for
> when developing and backtesting a system?
>
>
>
> Check AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
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