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http://finance.groups.yahoo.com/group/amibroker/message/96452?var=1
----- Original Message -----
From: PKJR
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, June 20, 2006 7:15 PM
Subject: Re: [amibroker] Has anybody made any money???
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
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
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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
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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
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
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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
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
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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
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
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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
To: Mark H
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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