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As I mentioned in the first post - I have been trading this system for
about 1.5 years. The first quarter of this year had no severe
declines in the market, so the Max DD looks better than it really is.
Typically the system goes to 100% cash after about a 5% drawdown.
There is another major component in my trading system that I didn't
mention - that of market timing. I use stock index futures (ES, YM,
ER2, NQ) to hedge based on 6 indicators. This hedging, while not
perfect, reduces the drawdown considerably so the system plus hedging
results in about 4% drawdowns.
On the subject of drawdowns, there has not been a >10% market
correction in over three years. Since I have only traded this system
for 1.5 years, I don't know what will happen when we eventually get
one of these more typical market declines.
The main reason for not posting a longer trading history is that the
stock list is updated every couple of weeks, which actually improves
results. I used the list that was current as of Dec 31, 2005 for this
test. I don't know how to simulate a constantly changing list of
stocks in the backtester.
Reef-Break
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxx> wrote:
>
> Fred's point is accurate IMO....
>
> If the Trader has spent blood, sweat and tears over a period of years
> building up a serious trading equity, then a 28% System Drawdown would
> be demoralizing (only after causing a serious case of "Butt Pucker").
>
> A subsequent post from Ed showed a 'Max Sys DD = -3.6%', but only
> included 48 trades... which because of the small number of trades
> seemed to me to be statistically irrelevant.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> >
> > A Comment and a suggestion ...
> >
> > - DrawDowns ... I could be wrong but I suspect most people can't
> > tolerate 28% DD's ... To bring that number down to the point where
> > at least some people would be comfortable with it using real money
> > one would I think have to cut it half. Doing that with an existing
> > system by restricting how invested one is will result in the CAR
> > being reduced to the square root of its original number.
> >
> > - Objective Testing ... Take your data, cut in half ... Optimize
> > your system over half of the data and then test the parameter values
> > on the other half. This rudimentary view of out of sample testing
> > will give you some idea of what you are likely to experience in real
> > trading as opposed to totally in sample results.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@>
> > wrote:
> > >
> > > Since I have optimized my system between 1996-2006, I guess the
> > > answer would be the same time period.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > > >
> > > > That doesn't answer my question ...
> > > >
> > > > In the development of the system what range of data ( time
> > period )
> > > > did you use ? The same time period ? An earlier one ?
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04" <intermilan04@>
> > > > wrote:
> > > > >
> > > > > The numbers are the result of backtesting my system with
> > > > > NASDAQ and NYSE tickers (around 7000 tickers) between
> > > > > 1996/1/1~2006/1/1.
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@> wrote:
> > > > > >
> > > > > > Are the numbers you posted in sample or out of sample ?
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx, "intermilan04"
> > <intermilan04@>
> > > > > > wrote:
> > > > > > >
> > > > > > > I know it depends on what you want personally for
> > risk/reward,
> > > > but
> > > > > > I'm
> > > > > > > curious as to what other people's systems (developed in
> > > > Amibroker)
> > > > > > are
> > > > > > > performing like. You don't have to share your code or the
> > idea
> > > > behind
> > > > > > > your system (unless you want to), but I'm curious.
> > > > > > >
> > > > > > > Over the last 10 years, say, what is your annual profit %,
> > max
> > > > > > > drawdown, % winning trades, etc.?
> > > > > > >
> > > > > > > I have a long system that has returned around 110% since
> > > > 1996. Its
> > > > > > > winning % is 47%, and the system drawdown is 28%. It is a
> > > > > > > reversal-based, swing-daytrade system.
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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