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Well, let's take my ER2 futures trading 60 min swing system as an
example:
The overall stats are (so far for 2006, comparable stats for 2004
and 2005 as well):
1. 40% winners
2. 3:1 (or better) avg win / avg loss
3. Anywhere from a 15% to 20% maximum drawdown
4. Running optimization with 2700 combinations, 97% finish above $0
this year on 1 contract.
5. The top 75% results give you $3400 or better a contract so far
this year.
6. The top 50% give you $5000 or better a contract.
7. The top 25% give you $6800 or better a contract.
8. The top 10% give you $8200 or better a contract.
9. The top 5% give you $9000 or better a contract.
10. The top 2.5% give you $9600 or better a contract.
I think these results are telling me that curve fitting is not at
work here. It's just a flat-out good swing system and the
optimization helps to focus in on the some better parameters. The
optimzation graphs are smooth with no spikes.
The reason the system is good is because the ER2 trends well on a 60
min timeframe and I'm maintaining that 3:1 avg win / avg loss ratio
so the ability of the system to recover from a long series of losses
is great.
Anyone else out there getting 97% of their optimization combinations
in the black?
--- In amibroker@xxxxxxxxxxxxxxx, "MailYahoo" <MailYahoo@xxx> wrote:
>
> Unfortunately your back-testing only curve fits your trade system
making it
> optimal with already known data.
>
> If you were to use IO with it out of sample I would think that it
would fall
> apart and you would have to wait for that huge win to dig you out
>
>
>
> I rather have my system with a Mdd of about 9% and Annret of 38%
>
>
>
>
>
> Mark
>
>
>
>
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Mark H
> Sent: Monday, June 19, 2006 10:02 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Has anybody made any money???
>
>
>
> That's why I said it was the most difficult part of the system :-)
>
> When I couldn't sleep at night, I just ran a backtest again, and
compared
> the current market conditions with historical conditions with
similar
> drawdowns.
>
> That helped me breathe and relax!
>
>
>
> ----- Original Message -----
>
> From: MailYahoo <mailto:MailYahoo@...>
>
> To: amibroker@xxxxxxxxxxxxxxx
>
> Sent: Monday, June 19, 2006 8:56 PM
>
> Subject: RE: [amibroker] Has anybody made any money???
>
>
>
> Mark,
>
> 40% MDD?
>
> I would be up all night with that
>
> To me that is not a trading system that I could live with, more of
a hope
> and pray type of system
>
> Mark
>
>
>
> _____
>
> size=2 width="100%" align=center tabIndex=-1>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of Mark H
> Sent: Monday, June 19, 2006 5:30 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Has anybody made any money???
>
> Dr Gaine$
>
> My strategy is dip buying. When the market is bullish, buy strong
stocks
> when they dip steeply and sell them when they rise.
>
> The secret is to use time stops (5-8 days) to let your capital
work harder
> for you.
>
> The most difficult part is to sit tight when market is not good
and also
> stomach the drawdown up to 40%.
>
> Backtest helps a lot to pull the trigger when you are down 40%.
>
> - Mark
>
> ----- Original Message -----
>
> From: richard <mailto:dr_richard_gaines@...> gaines
>
> To: amibroker@xxxxxxxxxxxxxxx
>
> Sent: Sunday, June 18, 2006 9:40 AM
>
> Subject: Re: [amibroker] Has anybody made any money???
>
> Share your strategy with us Mark.
>
> Dr Gaine$
>
> Mark H <amibroker@xxx> wrote:
>
> Absolutely. Average 126% for the last three years.
>
> But you should know that software are just tools and not money
printing
> machines. It is what between your ears matters.
>
> ----- Original Message -----
>
> From: tom_katch <mailto:tom_katch@...>
>
> To: amibroker@xxxxxxxxxxxxxxx
>
> Sent: Saturday, June 17, 2006 7:04 AM
>
> Subject: [amibroker] Has anybody made any money???
>
> I own Amibroker software, and have the latest version (standard).
I
> also have Metastock, Vectorvest and some other software. But I am
> sorry to say that Amibroker is the only software I ever bought
that I
> did not study up on. I understand that most of the users are very
> pleased with it from looking at this forum. Most of the postings
are
> of a technical nature, with questions as how to understand and use
the
> software. But I don't recall seeing postings from people noting
their
> success in using the software. Have any of you had great/good/fair
> success in using it? Have you made a lot/some/little money with
it?
> Maybe some of your positive comments will give me a kick in the
ass,
> and I'll start on the 800 page manual.
>
> Thanks
>
> Fred
>
> __________________________________________________
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