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Yes, I am serious.
Let's make it a little easier for you.
I said 30-40%.
Change that to 30% to be unequivocal.
That is the pass mark for your first exam.
I am setting it so you have a realistic target.
20% is not good.
There are a lot of posts in this forum that have given away 20%
trades/tips in the past.
One day I will give away a 30% trade at the UKB - fully backtested
with code etc - I already promised myself I would do that (that will
prove its lack of value to me).
The hard part is finding one that doesn't give away my best concepts -
traders are so good at picking up tips that if a giveaway has a hint
of my best methods in it then they will be gone.
Yes, I work 60-80hr weeks nearly every week and still learning after
4 years - its good fun though.
No, I don't use thousands of stocks etc.
I used to because I couldn't find enough good ones close to home I
had to search far and wide - all the way to the USA with it's
thousands of tickers.
Now I can make a living off a handful of stocks or whatever.
I didn't think any longterm traders would use thousands of
instruments but is shows you can never say never because Tomasz does
(and he has more experience and ergs than me!)
A bear isn't always what it appears to be (same for a bull).
What is a trend?
I gave you one good beginners method (it's only one, not the one and
only!)
Feynman, the physicist, said that when he recruited the best and
brightest young students for his research team the first thing they
had to do was experience a change of mindset (how do you teach that -
but it happens) because they had to shift from classical physics to
quantum physics (a radical approach in his day).
You are still a linear trader!
Hope you can make the shift!
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Louis Préfontaine"
<rockprog80@xxx> wrote:
>
> Are you serious Brian? You make 40% per annum with EOD data, AFTER
> optimization with thousands of tickers, and in different kind of
markets
> (bull, bear, sideways)?
>
> I know a lot of people who would be more than happy with a buy-at-
market 20%
> each morning.
>
> I'm sure I still have a lot to learn. However, I don't know how it
is
> possible to make such impressing figures with EOD data...
>
> Louis
>
> 2008/4/11, brian_z111 <brian_z111@xxx>:
> >
> > I sent an answer using an incorrect login - it won't make the
forum
> > but you should receive it as PM (I am not certain).
> >
> > Just in case, here is a very short reprise:
> >
> > You can't fly as well on one wing as two.
> >
> > Learn everything there is to know about system trading.
> > Learn everything there is to know about picking good stocks (i.e.
> > choosing an underlying instrument to trade that going to move) .
> > Put them both together.
> >
> > example - if you had picked YHOO 10 years ago and traded it EOD
with
> > a hot system where would you be now?
> >
> > Which one is more important - the system or the instrument?
> >
> > Learn everything there is to know about MoneyManagement so you can
> > maximise the above winning edge.
> >
> > Sorry, I can't post anymore on this topic though - I am deep into
> > another project.
> >
> > brian_z
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com>, "Louis
> > Préfontaine"
> > <rockprog80@> wrote:
> > >
> > > Hi Brian,
> > >
> > > Obtaining 40% on one stock in particular years is not
difficult. I
> > could
> > > choose other stocks and gain 100% per year. What is more
difficult
> > is to
> > > get 40% after a good optimization and with thousands of stocks.
> > So far 20%
> > > is the max I got and only for one year.
> > >
> > > Louis
> > >
> > > 2008/4/10, brian_z111 <brian_z111@>:
> > > >
> > > > You asked me if 30-40% PA is really possible in EOD trading.
> > > >
> > > > Enter that code to Formula Editor and run it as a backtest on
> > YHOO -
> > > > use Yahoo data and test from 1997 - 2006 inclusive then look
at
> > the
> > > > backtest report - you will see that the return is ? PA%
> > > >
> > > > The code buys on the Monday open and sells on the Friday
close.
> > > >
> > > > It's not a trading system - it is a trading lesson.
> > > >
> > > > Where you find yourself is normal for new traders.
> > > >
> > > > Everyone starts off with naive optimism.
> > > > Many continue on naively for as long as they trade, and get
the
> > > > corresponding results.
> > > > Those who are making earnest enquiries into trading are
eventually
> > > > confronted with some trading quandries - I could make a list
of
> > them -
> > > > how you resolve the difficult dilemnas of trading determines
how
> > > > successful you will be.
> > > >
> > > > You are confronting them early in the piece because you are
lucky
> > > > enough to have received the help of the AB community.
> > > >
> > > > brian_z
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com>, "Louis
> > > > Préfontaine"
> > > > <rockprog80@> wrote:
> > > > >
> > > > > Sorry Brian, I don"t understand what you mean...
> > > > >
> > > > > Louis
> > > > >
> > > > > 2008/4/10, brian_z111 <brian_z111@>:
> > > > > >
> > > > > > Apologies.
> > > > > >
> > > > > > Better use the correct syntax.
> > > > > >
> > > > > > Buy = DayOfWeek() == 1;
> > > > > > Sell = DayOfWeek() == 5;
> > > > > >
> > > > > > BuyPrice = O;
> > > > > > SellPrice = C;
> > > > > >
> > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com>,
> > > > > > "brian_z111" <brian_z111@> wrote:
> > > > > > >
> > > > > > > Is 20% PA EOD good?
> > > > > > >
> > > > > > > Run this on YHOO using Yahoo data - I have a 97 to 2006
> > > > database.
> > > > > > >
> > > > > > > Buy = DayOfWeek() == 1;
> > > > > > > Sell = DayOfWeek() == 5;
> > > > > > >
> > > > > > > BuyPrice == O;
> > > > > > > SellPrice == C;
> > > > > > >
> > > > > > > What PA% do you get (it is the first stock I picked to
try)?
> > > > > > >
> > > > > > > Should I backtest?
> > > > > > >
> > > > > > > It gets rid of all of my bad ideas (a Dennisism!)
> > > > > > >
> > > > > > > If I can trade now, without a computer and backtesting,
it
> > is
> > > > only
> > > > > > > because of the thousands of hours of computer trading
hours
> > I
> > > > have
> > > > > > > under the belt.
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > You have to generalise before you can specialise.
> > > > > > >
> > > > > > > brian_z
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > >
> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> >
> > > > 40yahoogroups.com>,
> > > >
> > > > > > "louisprefontaine" <rockprog80@>
> > > > > > > wrote:
> > > > > > > >
> > > > > > > > Hi everyone,
> > > > > > > >
> > > > > > > > I am not at home right now, and it's really a
pleasure to
> > read
> > > > > > you
> > > > > > > > while drinking this marvelous Côtes-du-Rhônes. I
really
> > > > > > appreciate
> > > > > > > > all the ideas you shared with me (and the group).
> > > > > > > >
> > > > > > > > I must say that everyone seem to have different
visions
> > of the
> > > > > > > > problem, with people focusing on walk-forward
> > optimizations,
> > > > > > others
> > > > > > > > on specific date backtesting and still others
(someone who
> > > > > > > contacted
> > > > > > > > me in private) refuse to backtest and want to trade
> > directly
> > > > with
> > > > > > > > easy to follow rules.
> > > > > > > >
> > > > > > > > For what I have read (and I will re-read tomorrow, at
> > home), I
> > > > > > need
> > > > > > > > more data if I want to follow the « rule » of the 30
> > trades.
> > > > > > Right
> > > > > > > > now, my system is based on a major index and it issues
> > only
> > > > about
> > > > > > 3-
> > > > > > > > 5 signals a year (which, at a 20% portfolio ratio is
15
> > to 25
> > > > > > > > trades), so I would need between 6 to 10 years of
data,
> > which
> > > > of
> > > > > > > > course is impossible to do because we all know the
market
> > 10
> > > > > > years
> > > > > > > > ago as nothing to do with what it is right now.
> > > > > > > >
> > > > > > > > On the other side, I could use minimal backtesting,
but
> > then
> > > > the
> > > > > > > > data-mining bias would increase, considering that my
> > system
> > > > has
> > > > > > > only
> > > > > > > > a very limited of trades each year. Let's say that if
I
> > use
> > > > only
> > > > > > > > one year back-testing (a bull market, a sideway
market,
> > and a
> > > > > > bear
> > > > > > > > to sideway market), that would be about 3-5 trades.
How
> > can I
> > > > > > say
> > > > > > > > with certitude that the gains are not due to luck on
such
> > a
> > > > small
> > > > > > > > amount of signals on the major index? Even if I get 30
> > trades
> > > > > > from
> > > > > > > > buying the stocks linked to the index, this may still
be
> > only
> > > > > > data-
> > > > > > > > mining to the major index, as the stocks tend to
follow
> > that
> > > > > > > index.
> > > > > > > > (As an example, if I data-mine perfectly the Dow
Jones,
> > > > chances
> > > > > > are
> > > > > > > > that buying the 30 companies in the index will give a
good
> > > > > > > > result... I would have a lot more trades, but in fact
they
> > > > would
> > > > > > > be
> > > > > > > > based only on the same data-mined Dow Jones
index...) --
> > BIG
> > > > > > > PROBLEM-
> > > > > > > > -
> > > > > > > >
> > > > > > > > Finally, there is the suggestion of going intraday.
I'd
> > like
> > > > to
> > > > > > do
> > > > > > > > this, butmy RT data provider only provides 1 year of
> > intraday
> > > > > > > data.
> > > > > > > > Do you know other provider who gives more?
> > > > > > > >
> > > > > > > > And finally finally... Are you sure Brian one can
expect
> > 40%
> > > > per
> > > > > > > > annumm on EOD data? This seem like very very good!
> > > > > > > >
> > > > > > > > My strategy right now is based on a very limited
number of
> > > > trades
> > > > > > > > with extra-limited drawdowns (I need to thank a
member of
> > this
> > > > > > > board
> > > > > > > > who helped me with this... You know who you are...
Thanks
> > > > > > again!).
> > > > > > > > So I can put maximum margin and boost the results. But
> > with
> > > > > > extra-
> > > > > > > > little trades comes the problem of significance of the
> > > > results:
> > > > > > are
> > > > > > > > the results good because the system is good or are the
> > results
> > > > > > good
> > > > > > > > be cause of good luck?
> > > > > > > >
> > > > > > > > That was the purpose of the first message, and so far
I
> > have
> > > > new
> > > > > > > > ideas but I am still wondering what I should do.
> > > > > > > >
> > > > > > > > Louis
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx <amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com>,
> > > > > > "brian_z111" <brian_z111@>
> > > > > > > > wrote:
> > > > > > > > >
> > > > > > > > > > I agree that there is a serious problem when the
only
> > data
> > > > > > that
> > > > > > > > is
> > > > > > > > > >available
> > > > > > > > > > contains no period that is similar to what is
> > expected in
> > > > the
> > > > > > > > > >future.
> > > > > > > > > >
> > > > > > > > >
> > > > > > > > > Getting enough data is an issue for EOD traders.
> > > > > > > > >
> > > > > > > > > A few possible solutions I have mentioned in the
past (I
> > > > > > > > like 'live'
> > > > > > > > > work but the negative is that it doesn't persist -
> > unlike a
> > > > > > book).
> > > > > > > > >
> > > > > > > > > - new traders should work in old EOD data, say 1995-
> > 2000,
> > > > until
> > > > > > > > they
> > > > > > > > > address all of the basic issues, like length of IS
> > versus OS
> > > > > > etc.
> > > > > > > > >
> > > > > > > > > They should save up the best years (the current 5)
until
> > > > they
> > > > > > > > start
> > > > > > > > > to get good == backtests > 30-40% per annum on OOS
> > tests and
> > > > > > then
> > > > > > > > > move to fresh and/or bought data for
> > confirmation/trading.
> > > > > > > > >
> > > > > > > > > (of course we know that a lot of ideals will never
make
> > it
> > > > to
> > > > > > > > common
> > > > > > > > > practice - some are just too hard to sell).
> > > > > > > > >
> > > > > > > > > - use other markets (that is why I highlighted the
S&P
> > > > global
> > > > > > > 1200
> > > > > > > > in
> > > > > > > > > a UKB post) - a US trader could practice on the ASX
top
> > 20
> > > > for
> > > > > > > > > example - ASX market behaviour of the 20 most liquid
> > stocks
> > > > is
> > > > > > > > > similar to the US top 100 or 200.
> > > > > > > > >
> > > > > > > > > - become an intraday trader (plenty of data then)
> > > > > > > > >
> > > > > > > > > - take a ten year history that included different
market
> > > > > > > > conditions,
> > > > > > > > > filter it for liquid stock (for concept testing I
like
> > only
> > > > > > stock
> > > > > > > > > that trade everyday - no data holes - in real time I
> > know
> > > > when
> > > > > > a
> > > > > > > > > stock isn't trading) - sort the data by 10 year
> > performance
> > > > > > i.e.
> > > > > > > > 10
> > > > > > > > > year % return - assign them an ordinal number -
then put
> > > > every
> > > > > > > > even
> > > > > > > > > stock in an IS testing watchlist and every odd
stock in
> > an
> > > > OOS
> > > > > > > > > testing watchlist.
> > > > > > > > >
> > > > > > > > > Now you have a 10 year IS and OOS database with a
range
> > of
> > > > > > > > conditions
> > > > > > > > > and equal numbers of bullish and bearish stock.
> > > > > > > > >
> > > > > > > > > I have done that with the most liquid stock in Jim's
> > Yahoo
> > > > > > > > database
> > > > > > > > > and I am comfortable working with it like that.
> > > > > > > > >
> > > > > > > > > > Artificial data has no value.
> > > > > > > > >
> > > > > > > > > One exception is for training.
> > > > > > > > >
> > > > > > > > > I have learnt a lot using (crude) randomly generated
> > data
> > > > as a
> > > > > > > > > training benchmark - I regard the Black Swan as my
> > > > adversary so
> > > > > > I
> > > > > > > > > have studied his/her habits in depth.
> > > > > > > > >
> > > > > > > > > The beauty of RGD is that, while it is not real, it
is
> > > > > > > > lifelike,and
> > > > > > > > > more importantly, we know in advance what it's real
> > > > performance
> > > > > > > is
> > > > > > > > > (W/L ratio, %period returns).
> > > > > > > > >
> > > > > > > > > I can't recommend that type of synthetic trading
highly
> > > > enough.
> > > > > > > > >
> > > > > > > > > In all other trading tests we never ever have
certainty
> > > > about
> > > > > > > > those
> > > > > > > > > numbers - I love the certainty of simulated data for
> > > > comparing
> > > > > > > > real
> > > > > > > > > behaviour to theoretical behaviour (if they don't
mactch
> > > > then I
> > > > > > > am
> > > > > > > > > not confident my theories will stand up in real
life).
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > brian_z
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx<amibroker%
40yahoogroups.com><amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com>,
> > > > > > "Howard B" <howardbandy@>
> > > > > > wrote:
> > > > > > > > > >
> > > > > > > > > > Hi Louis --
> > > > > > > > > >
> > > > > > > > > > I agree that there is a serious problem when the
only
> > data
> > > > > > that
> > > > > > > > is
> > > > > > > > > available
> > > > > > > > > > contains no period that is similar to what is
> > expected in
> > > > the
> > > > > > > > > future.
> > > > > > > > > >
> > > > > > > > > > Artificial data has no value.
> > > > > > > > > >
> > > > > > > > > > Using data that is earlier in time than the in-
sample
> > > > period
> > > > > > > has
> > > > > > > > > limited
> > > > > > > > > > value. You can test earlier data, but you will
over-
> > > > estimate
> > > > > > > the
> > > > > > > > > > performance that you can expect in the future.
> > > > > > > > > >
> > > > > > > > > > Are there other tickers that are closely related
that
> > have
> > > > > > data
> > > > > > > > for
> > > > > > > > > the
> > > > > > > > > > periods you would like to test?
> > > > > > > > > >
> > > > > > > > > > In the end, you will need to make a decision on
> > whether to
> > > > > > > place
> > > > > > > > > actual
> > > > > > > > > > trades. And that decision must be based on your
> > > > > > understanding
> > > > > > > > of
> > > > > > > > > and
> > > > > > > > > > confidence in your system. The only way to gain
that
> > > > > > > confidence
> > > > > > > > is
> > > > > > > > > by
> > > > > > > > > > observing the transitions from in-sample testing
to
> > out-
> > > > of-
> > > > > > > > sample
> > > > > > > > > simulated
> > > > > > > > > > trading.
> > > > > > > > > >
> > > > > > > > > > Thanks,
> > > > > > > > > > Howard
> > > > > > > > > > On Tue, Apr 8, 2008 at 10:37 PM, Mike
<sfclimbers@>
> > wrote:
> > > > > > > > > >
> > > > > > > > > > > Howard's comments are consistent with those of
> > Robert
> > > > > > Pardo
> > > > > > > > (The
> > > > > > > > > > > Evaluation and Optimization of Trading
Strategies,
> > Wiley
> > > > > > > > 2008),
> > > > > > > > > with
> > > > > > > > > > > respect to training periods.
> > > > > > > > > > >
> > > > > > > > > > > Pardo recognizes that there is a tradeoff
between
> > more
> > > > > > robust
> > > > > > > > > > > strategies which require longer in sample
training
> > > > periods,
> > > > > > > > > require
> > > > > > > > > > > fewer reoptimizations, trade for longer out of
> > sample
> > > > > > periods
> > > > > > > > and
> > > > > > > > > are
> > > > > > > > > > > generally less profitable, vs. more responsive
> > > > strategies
> > > > > > > which
> > > > > > > > > > > require shorter in sample training periods,
require
> > more
> > > > > > > > frequent
> > > > > > > > > > > reoptimizations, can only trade for shorter out
of
> > > > sample
> > > > > > > > periods
> > > > > > > > > and
> > > > > > > > > > > are generally more profitable.
> > > > > > > > > > >
> > > > > > > > > > > Pardo suggests that strategies generating more
> > frequent
> > > > > > > > signals
> > > > > > > > > can
> > > > > > > > > > > use shorter in sample training windows since
they
> > > > generate
> > > > > > the
> > > > > > > > > > > minimum 30+ trades sooner than strategies that
> > generate
> > > > > > less
> > > > > > > > > frequent
> > > > > > > > > > > signals. But, that in any case, one should try
to
> > use
> > > > an in
> > > > > > > > sample
> > > > > > > > > > > period sufficiently long to capture bull, bear,
and
> > > > > > sideways
> > > > > > > > > markets.
> > > > > > > > > > >
> > > > > > > > > > > Further, when first trying to evaluate the
worth of
> > the
> > > > > > > > strategy,
> > > > > > > > > > > Pardo suggests backtesting the in sample
history in
> > > > > > segments
> > > > > > > > > rather
> > > > > > > > > > > than one shot (e.g. 10 year history divided into
> > five 2
> > > > year
> > > > > > > > > > > segments). This gives you better insight as to
> > whether
> > > > the
> > > > > > > > results
> > > > > > > > > > > are due to a single segment or are consistent
> > accross
> > > > > > > > segments,
> > > > > > > > > and
> > > > > > > > > > > provides insight to your eventual in sample/out
of
> > > > sample
> > > > > > > > periods
> > > > > > > > > for
> > > > > > > > > > > Walk Forward Optimization.
> > > > > > > > > > >
> > > > > > > > > > > Finally, Pardo suggests that regardless of
whether a
> > > > long
> > > > > > or
> > > > > > > > short
> > > > > > > > > > > training period is used, a rule of thumb for in
> > sample
> > > > vs.
> > > > > > > out
> > > > > > > > of
> > > > > > > > > > > sample is for out of sample to be between 1/8 to
> > 1/3 of
> > > > the
> > > > > > > in
> > > > > > > > > sample
> > > > > > > > > > > period (e.g. 24/8 = 3 and 24/3 = 8, so it would
> > > > be "safe"
> > > > > > to
> > > > > > > > trade
> > > > > > > > > > > out of sample for 3 - 8 months based on a system
> > > > backtested
> > > > > > > > over
> > > > > > > > > 24
> > > > > > > > > > > months.
> > > > > > > > > > >
> > > > > > > > > > > Yet another good book covering the topic. I
> > reccomend
> > > > it.
> > > > > > > > > > >
> > > > > > > > > > > Mike
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx<amibroker%
40yahoogroups.com>
> > <amibroker%
> > 40yahoogroups.com><amibroker%
> > > > 40yahoogroups.com><amibroker%
> > > > > > > > > 40yahoogroups.com>, "Howard B"
> > > > > > > > > > > <howardbandy@> wrote:
> > > > > > > > > > > >
> > > > > > > > > > > > Hi Louis, and all --
> > > > > > > > > > > >
> > > > > > > > > > > > I know David Aronson, respect him, and like
and
> > > > recommend
> > > > > > > > his
> > > > > > > > > book.
> > > > > > > > > > > >
> > > > > > > > > > > > My view is that the in-sample period should
be as
> > > > short as
> > > > > > > > > > > practical. My
> > > > > > > > > > > > thought is that: the system we are testing /
> > trading
> > > > is
> > > > > > > > trying
> > > > > > > > > to
> > > > > > > > > > > recognize
> > > > > > > > > > > > the signal from among the noise; and the
signal
> > > > patterns
> > > > > > are
> > > > > > > > > > > changing over
> > > > > > > > > > > > time. So the length of the in-sample period
is a
> > > > > > tradeoff --
> > > > > > >
> > > > > > > > > short
> > > > > > > > > > > to be
> > > > > > > > > > > > able to change as the characteristics of the
> > > > underlying
> > > > > > > > market
> > > > > > > > > > > change, but
> > > > > > > > > > > > not so short that the system is over-fit to
the
> > noise
> > > > > > > rather
> > > > > > > > > than
> > > > > > > > > > > learns the
> > > > > > > > > > > > signal.
> > > > > > > > > > > >
> > > > > > > > > > > > You can test this in AmiBroker. Have your
system
> > > > ready to
> > > > > > > > buy
> > > > > > > > > and
> > > > > > > > > > > sell. In
> > > > > > > > > > > > the Automatic Analysis window, use Settings
and
> > set up
> > > > > > the
> > > > > > > > Walk
> > > > > > > > > > > Forward
> > > > > > > > > > > > parameters. Try an in-sample period of 10
years,
> > an
> > > > out-
> > > > > > of-
> > > > > > > > > sample
> > > > > > > > > > > period of
> > > > > > > > > > > > 6 months or 1 year. Run Optimize > Walk
Forward
> > and
> > > > look
> > > > > > at
> > > > > > > > the
> > > > > > > > > in-
> > > > > > > > > > > sample
> > > > > > > > > > > > and out-of-sample equity curves. Shorten the
> > length of
> > > > > > the
> > > > > > > > in-
> > > > > > > > > > > sample period
> > > > > > > > > > > > to 9, then 8, then 7, ... then 1 year,
keeping the
> > > > out-of-
> > > > > > > > sample
> > > > > > > > > > > period
> > > > > > > > > > > > unchanged. Depending on your system and the
> > market it
> > > > is
> > > > > > > > > trading,
> > > > > > > > > > > you may
> > > > > > > > > > > > find that there is a sweet spot in the length
of
> > the
> > > > in-
> > > > > > > > sample
> > > > > > > > > > > data. If so,
> > > > > > > > > > > > that is the amount of data that allows your
> > system to
> > > > > > > > recognize
> > > > > > > > > the
> > > > > > > > > > > signal
> > > > > > > > > > > > without being overwhelmed by the noise.
> > > > > > > > > > > >
> > > > > > > > > > > > Thanks,
> > > > > > > > > > > > Howard
> > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > > > On Tue, Apr 8, 2008 at 8:56 AM, Louis
Préfontaine
> > > > > > > > <rockprog80@>
> > > > > > > > > > >
> > > > > > > > > > > > wrote:
> > > > > > > > > > > >
> > > > > > > > > > > > > Hi,
> > > > > > > > > > > > >
> > > > > > > > > > > > > I've been thinking a lot lately, and here is
> > > > something
> > > > > > I
> > > > > > > > would
> > > > > > > > > > > like to
> > > > > > > > > > > > > have your opinion on.
> > > > > > > > > > > > >
> > > > > > > > > > > > > I've been introduced to automated systems
by a
> > trend
> > > > > > > > following
> > > > > > > > > > > book which
> > > > > > > > > > > > > related how some trend followers built their
> > > > systems in
> > > > > > > > the
> > > > > > > > > 70s
> > > > > > > > > > > or 80s and
> > > > > > > > > > > > > got rich with them, and how their system
did not
> > > > really
> > > > > > > > change
> > > > > > > > > > > all this
> > > > > > > > > > > > > time. They didn't change their system
because
> > they
> > > > say
> > > > > > the
> > > > > > > > > > > market does NOT
> > > > > > > > > > > > > change. They looked at historic market data
> > from the
> > > > > > > 1800s
> > > > > > > > and
> > > > > > > > > > > the market
> > > > > > > > > > > > > was as it is right now. So they say.
> > > > > > > > > > > > >
> > > > > > > > > > > > > On the other side, lately I have been
> > introduced to
> > > > the
> > > > > > > > > concept of
> > > > > > > > > > > > > ever-changing markets and have had a hard
time
> > > > trying
> > > > > > to
> > > > > > > > > build my
> > > > > > > > > > > system.
> > > > > > > > > > > > > Got a very promising start with a system
getting
> > > > around
> > > > > > > 15-
> > > > > > > > 20%
> > > > > > > > > > > average for
> > > > > > > > > > > > > April 2007 to April 2008 (with little
drawdown,
> > > > which
> > > > > > > mean
> > > > > > > > > that
> > > > > > > > > > > with
> > > > > > > > > > > > > leverage I can boost this a lot). In any
> > variation
> > > > over
> > > > > > > > > > > thousands of stocks
> > > > > > > > > > > > > the results were nearly all positives. But
> > then, I
> > > > > > tested
> > > > > > > > that
> > > > > > > > > > > same system
> > > > > > > > > > > > > for the years 2000 to 2008, and that was
> > > > disappointing.
> > > > > > > > Even
> > > > > > > > > more
> > > > > > > > > > > > > disappointing from 2001 to 2003, another
> > troubled
> > > > > > market
> > > > > > > > like
> > > > > > > > > the
> > > > > > > > > > > one we are
> > > > > > > > > > > > > in right now.
> > > > > > > > > > > > >
> > > > > > > > > > > > > So here I am, wondering where to go from
now.
> > > > Aronson's
> > > > > > > > > > > excellent book
> > > > > > > > > > > > > talk about the importance of having a very
large
> > > > sample
> > > > > > > of
> > > > > > > > > data.
> > > > > > > > > > > But the
> > > > > > > > > > > > > problem is: the larger the data, the
> > > > more "historic" it
> > > > > > > > gets
> > > > > > > > > and
> > > > > > > > > > > the less it
> > > > > > > > > > > > > seems to work.
> > > > > > > > > > > > >
> > > > > > > > > > > > > Is my system not working, or did the markets
> > really
> > > > > > > > change?
> > > > > > > > > Do I
> > > > > > > > > > > need to
> > > > > > > > > > > > > make it more robust (that is, it MUST make
> > profit
> > > > even
> > > > > > > > from
> > > > > > > > > 2001
> > > > > > > > > > > to 2003),
> > > > > > > > > > > > > or can I have complete faith in what
happened
> > in the
> > > > > > last
> > > > > > > > > year?
> > > > > > > > > > > > >
> > > > > > > > > > > > > All those questions... Would be nice to read
> > what
> > > > you
> > > > > > > think
> > > > > > > > > > > about this.
> > > > > > > > > > > > >
> > > > > > > > > > > > > Louis
> > > > > > > > > > > > >
> > > > > > > > > > > > >
> > > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > >
> > > >
> > > >
> > > >
> > >
> >
> >
> >
>
------------------------------------
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