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Could you elaborate more on the your statement about WL and AB?
quote:" AB's backtester treats signals differently than WL which I think is
the right way. TJ has agreed to add a switch to make them behave the same in
future release."
tks
Paul
On 6/20/06, Mark H <amibroker@xxxxxxxxxxxxx> wrote:
>
> Mark K.
>
> You have every reason to be skeptical. But "average" has its meaning. 126%
> doesn't mean every year. 2003 was spectacular, 2005 was good, 2004 was just
> flat and had the MDD. If you ever traded a strictly mechanical system, you
> know the importance of repeatedly comparing your RT results with backtest
> results of the same period to uncover any curve fitting or other problems.
> The system was evolving based on better understanding of the market (not
> re-optimized but adding a few new rules) but the basic core has not changed.
>
> Is it your understanding that all systems should have SMOOTH equity curve?
> Do you think that 26% for the first half has everything to do with the
> performance of the second half? I beg to differ since I have seen 60%
> MONTHLY return (You may respond: How's that possible? How can you get 720%
> per year? :-)). Unpredictable market conditions have the most impact on
> performance.
>
> The original of this thread was somebody asking if anybody making money
> with AmiBroker. To set the record straight, I use both WL and AB. I use WL
> for backtesting, AB to explore and place orders to IB. AB's backtester
> treats signals differently than WL which I think is the right way. TJ has
> agreed to add a switch to make them behave the same in future release.
>
>
> Best Trading,
>
> - Mark H.
>
>
>
> ----- Original Message -----
> *From:* MailYahoo <MailYahoo@xxxxxxxxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Sent:* Tuesday, June 20, 2006 4:55 PM
> *Subject:* RE: [amibroker] Has anybody made any money???
>
>
>
> *D,*
>
> **
>
> *I do not know what he is, I am just trying to figure out a system that
> averages 126% annret for 3 years, with a Mdd of about 40% and is only up
> 26% this year with 6 mths already gone*
>
> *So to me he must be up way over the 126% 2002 second half/2003/2005/
> since his system is up only 26% for 2006 first half*
>
> **
>
> *I got real lucky with my stocks this first half of the year, and am way
> up. But I still consider it luck, since over 300% for 6 months to me is
> luck.*
>
> *Also anything back tested is curve fitted, I understand that you said
> yours is Real Time what you actually did the last 3 years, but then again
> you stated that when you were down 40% you were up at night back testing
> your system to make sure it was still viable. If you had RT results over
> the 3 years why the need to back test if you were concerned? Curve fitting
> any system will always give you great results. There is a reason why Fred
> wrote his IO program with the walk forward.*
>
> **
>
> *Mark I am very glad that you have made 126% annret year after year for
> the last 3 years that is great. Just some of the statements you have made
> ie, back testing when you are 40% down to validate your system does not make
> sense when someone has made 126% annret over that time there is no need to
> back test. Now if you re re-optimizing a trade system then that would be
> another story.*
>
> **
>
> *The more you write the more questions to post to this group*
>
> *Good luck with your great system and make millions*
>
> **
>
> *Mark K*
> ------------------------------
>
> *From:* amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] *On
> Behalf Of *dingo
> *Sent:* Tuesday, June 20, 2006 4:36 PM
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Subject:* RE: [amibroker] Has anybody made any money???
>
> He's just jealous.. right Mark K.? 8-)
>
> d
>
> ------------------------------
>
> *From:* amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] *On
> Behalf Of *Mark H
> *Sent:* Tuesday, June 20, 2006 4:06 PM
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Subject:* Re: [amibroker] Has anybody made any money???
>
> Mm... I sense something in the way you asked questions.
>
> But first of all, your math is not good. To get 126% this year, I only
> need another 80%. (1.26 * 1.80 = 2.26).
>
> Secondly I didn't state that I expect 126% this year. I only said I got
> 126% average for the last 3 years. In fact, I have no expectation and make
> no prediction. I just follow my system. Be it -20% or 250%, as long as it is
> consistent with my system, I would accept what the market gives me.
>
> And finally as Ari Kiev pointed out, if you believe it is impossible, of
> course, it is impossible to you.
>
> ----- Original Message -----
>
> *From:* MailYahoo <MailYahoo@xxxxxxxxxxxxxxx>
>
> *To:* amibroker@xxxxxxxxxxxxxxx
>
> *Sent:* Tuesday, June 20, 2006 2:37 PM
>
> *Subject:* RE: [amibroker] Has anybody made any money???
>
> *Mark,*
>
> *So you are up so far 26% this year*
>
> *I take it you expect to be up another 100% or so to make that 126%
> annret?*
>
> *Mark*
> ------------------------------
>
> *From:* amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] *On
> Behalf Of *Mark H
> *Sent:* Tuesday, June 20, 2006 2:23 PM
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Subject:* Re: [amibroker] Has anybody made any money???
>
> Yes. It is some trend indicators based on major market indexes. Use
> Foreign functions.
>
> 26% is based on current equity and start equity of this year. I mentioned
> "after DD" since the system is currently experiencing a DD.
>
> There is a trick I can share with you: compare your system equity curve
> with the curve of market-based indicators, you may be able to find some
> correlation to improve your system by using some market-based rules to stay
> out of market or use higher leverage.
>
> ----- Original Message -----
>
> *From:* dingo <dingo@xxxxxxxxxxxx>
>
> *To:* amibroker@xxxxxxxxxxxxxxx
>
> *Sent:* Tuesday, June 20, 2006 1:45 PM
>
> *Subject:* RE: [amibroker] Has anybody made any money???
>
> Thanks. You said your system is mechanical. Was the "out of the market"
> decision mechanical? If so, mind telling what method you used? Also, what
> do you mean by "Up 26% this year (after DD)"?
>
> d
>
> ------------------------------
>
> *From:* amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] *On
> Behalf Of *Mark H
> *Sent:* Tuesday, June 20, 2006 1:42 PM
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Subject:* Re: [amibroker] Has anybody made any money???
>
> Mostly out of the market in the last 30 days due to market conditions.
>
> Current DD 20%, incurred the week before the 10+ days crash (no trades
> during the crash). Up 26% this year (after DD).
>
> I found that if I put in more rules to reduce the DD, it would greatly
> reduce returns.
>
> ----- Original Message -----
>
> *From:* dingo <dingo@xxxxxxxxxxxx>
>
> *To:* amibroker@xxxxxxxxxxxxxxx
>
> *Sent:* Tuesday, June 20, 2006 11:24 AM
>
> *Subject:* RE: [amibroker] Has anybody made any money???
>
> How have you done in the last 30 days?
>
> d
>
> ------------------------------
>
> *From:* amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] *On
> Behalf Of *Mark H
> *Sent:* Monday, June 19, 2006 10:15 PM
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Subject:* Re: [amibroker] Has anybody made any money???
>
> Yuki:
>
> Of course, it is self-evident that nobody can get 100% every year
> otherwise he would own the whole world in less than 50 years starting with
> $100.
>
> That's not the point. The point is when you are small, you should strive
> for high returns with reasonable drawdowns. Then when you get to a few
> millions or higher, you should diversify your investments/systems and get
> lower but steady returns. That's the goal for many individual traders if
> they don't want to manage other people's money.
>
> As I read, many top traders were able to get 50-500% for 5-10 years when
> they started out. When you are big, it is hard to get high returns since
> your moving in/out of the market causes adverse price movements.
>
> Richard Dennis didn't blow his own bankroll. He blew half of the fund he
> managed in 1987 because he violated his own principles which he taught to
> the turtles. He stopped managing fund for a few years until 1994, when he
> started Dennis Trading Group. He was and still is a very wealthy man.
>
> Good trading,
>
> - Mark
>
> ----- Original Message -----
>
> *From:* Yuki Taga <yukitaga@xxxxxxxxxxxxx>
>
> *To:* Mark H <amibroker@xxxxxxxxxxxxxxx>
>
> *Sent:* Monday, June 19, 2006 9:16 PM
>
> *Subject:* Re: [amibroker] Has anybody made any money???
>
> Hi Mark,
>
> Glad to hear you don't bet the farm. ^_^
>
> I was trading probably before the 'Wizard' writers were out of high
> school.
>
> And I believe Richard Dennis, whose successes were kind of the
> inspiration for those books, eventually tapped out, as in blew the
> whole bankroll. Pardon me if I have that wrong.
>
> Nobody gets those returns consistently, and the basic reason behind
> that statement being clearly true should be obvious: The geometrical
> growth of the money would soon have such a successful trader with
> such a large amount of capital that percentage return gets
> progressively more and more difficult to keep in the stratosphere.
> Eventually, position sizes become a problem because of market
> liquidity. Or did you harken onto the grail? ^_-
>
> Look at Warren Buffet's problem ... too much cash, not enough
> qualifying opportunities. And he's not even a trader.
>
> Of course, you could be talking un-compounded. But I still have
> serious doubts about sustainability.
>
> I stand by my statement that outsized returns, particularly the
> super-jumbo outsized, require outsized risk. I haven't seen any
> cases in which that risk didn't ultimately pose a problem. And I
> also stand by my opinion that percentage returns in that league are
> unsustainable. If they were not, a very few managers would be
> managing most of the world's capital. But that is not the case.
>
> Yuki
>
> Tuesday, June 20, 2006, 9:36:27 AM, you wrote:
>
> MH> Yuki:
>
> MH> Thanks for your kind warning. However, you got it wrong. I am trading
> a strict mechanical system including position sizing algorithm. So "bet it
> all" is not applicable here. There were no big
> bets and no big wins either. Just small bets and small wins/losses, and a
> lot of them. Since you stated "nobody gets those kind of returns", I would
> recommend that you read a few of those
> wizards/hitters books to get some inspiration.
> MH> Good trading,
>
> MH> - Mark H
>
>
>
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