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Anyone that shows you the results from an 'in sample' backtest has
already disqualified themselves from the 'entry tests'... it's such a
basic error, they clearly need to go back to their learning.
--- In amibroker@xxxxxxxxxxxxxxx, <professor@xxx> wrote:
>
> Fred,
>
> You are right. I have written several systems that will produce a
profit when I backtest them. I have one that showed a profit for 50
years trading every stock in the DIA. However, it doesn't work when I
backtest it this year. I don't use optimize, but I do make change to
get better results. I also agreed that anyone buying a system should
get proof that it works and is profitable by getting a statement to
prove that it was traded profitably.
>
> Thanks for your comments,
> Tom
>
>
> ----- Original Message -----
> From: Fred Tonetti
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, August 07, 2008 9:08 PM
> Subject: RE: [amibroker] Re: Anyone actually making money?
>
>
>
> Almost anyone can write a system that can produce 30% CAR in sample .
>
>
>
> "Entry tests" are better geared to something like . Show me your
year end audited brokerage statement for the last 10 years .
Everything else is some form of fish story which gets better and
better as time goes by .
>
>
>
>
>
------------------------------------------------------------------------------
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf Of brian_z111
> Sent: Thursday, August 07, 2008 8:21 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Anyone actually making money?
>
>
>
> Dick,
>
> Thankyou very much.
>
> You have been around a while and must have seen it all and heard it
> all several times over.
>
> I liked the article.
>
> I have been over and around this trade many times, but not using
> those particular indicators.
>
> I still learnt 1 or 2 new things and reinforced some others
> (sometimes you need a fresh view of an old problem to open your eyes
> to it a bit wider).
>
> I agree with his core trading philosophies e.g. his idea of "Reality
> Based Logic".
>
> If I was recruiting some upcoming traders, for a trading team, the
> entry test would be "show me your 30% EOD equities system" (for any
> mature economy/market), "now explain to me WHY it works".
>
> It there isn't an underlying logic, based on market behaviour, then
> it is probably a statistical fluke.
>
> My concern with computer/AT trading is that it is fine when it is a
> means to an end but it could become counter productive if it becomes
> an end in itself.
>
> I haven't rushed to it because I believe I need to keep looking at
> the charts to stay in touch with market realities (sometimes trading
> seems hard but as soon as I look at the charts it is easy again).
>
> If I became a computer driven trader I would spend more and more time
> looking at formulas, and computed results lists, and less and less
> time chart reading/market watching.
>
> Re the trade example in the article.
>
> It is based on some of my core trading elements:
>
> - it has a trend (trade with the trend)
> - it has momentum
>
> AND in that situation a big countertrend (pullback), with a trend
> continuation confirmation, performs better than a small pullback +
> TCC that doesn't break the trend (it is a type of contrarian trade -
> both pullbacks have a similar W/L but the deep pullbacks produce a
> much higher PayOff ratio) - in fact the deeper the better, as long as
> it doesn't break a key pivot point.
>
> I found the SFO and the tradingacademy sites by googling....
>
> thanks once again.
>
> brian_z
>
> --- In amibroker@xxxxxxxxxxxxxxx, "areehoi" <areehoi@> wrote:
> >
> > Brian.
> > You have given Louis (and others) some excellent advice. You may
> find
> > an article on Trading Systems appearing in the current issue of SFO
> > magazine (I'm not sure you receive it in Australia) titled "System
> > Trading: Whose on the Other Side" of interest. You'll be amazed at
> > the simplicity of a trading system according to the author. I've
> > posted it in the files section of the AB Group.
> >
> > Dick H
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@> wrote:
> > >
> > > Louis,
> > >
> > > This could be the longest AB thread ever.
> > >
> > > Some wonderful people gave you some wonderful answers.
> > >
> > > To help you get some lasting value from it, here is my close.
> > >
> > >
> > > When you started in AB you asked me "can we really make money
> trading
> > > and how much"
> > >
> > > I told you >50% but that you should aim for >30% to start with,
> as a
> > > benchmark.
> > > Others said that was not possible.
> > > Since then I have gone on to say 100% PA is good and 1000%PA is
> > > possible.
> > >
> > > Now you are asking the same question again!
> > >
> > > (others have now confirmed they ARE doing over 50% but no one
> else is
> > > talking about 1000% yet).
> > >
> > >
> > > You asked me where you should start and which approach was better.
> > > I told you that you should learn in US EOD stocks because it has
> all
> > > of the basic elements of trading right there etc
> > > I said that RT data was a lot harder to handle and not worth the
> > > trouble to newcomers.
> > >
> > > You went to RT and had trouble.
> > >
> > > I told you that almost no one trades using 1000's of symbols in
> RT
> > > (most long term traders narrow down to the indexes, a filtered
> > > watchlist of stocks, a small semi-permanent list of stocks, Forex
> or
> > > Commodities.
> > >
> > > You tried to use 100's or 1000's of RT stocks for your first
> system.
> > > You had trouble with that.
> > >
> > > I told you it would take years.
> > > Now after only 7 months you are struggling with it.
> > >
> > > In this thread I have laid it all out for you (roughly) although
> I am
> > > only saying what others have said in different ways, but to close
> out
> > > I will briefly summarise/explain what I have said.
> > >
> > > Method:
> > >
> > > a) isolate the key skills required to trade
> > > b) practice them repetitively until they become second nature
> > > c) positively reinforce your trading alter ego by focus,
> simplicity,
> > > positive thinking, repetition etc
> > >
> > > a) is the reason that so few succeed.
> > > b) and c) are a piece of cake.
> > >
> > > It takes so long to isolate the key skills of trading because the
> > > subject is so vast and there are so many conflicting opinions AND
> > > very few, if any, traders who make it will lay it all out for
> anyone.
> > >
> > > All in all it is like going through a library full of books and
> > > distilling the info down to a single Readers Digest.
> > >
> > > The super traders distill it all down to a tablespoon of gold.
> > >
> > > This takes a lot of time and many don't have what it takes to see
> the
> > > wood for the trees.
> > >
> > > After years I have got it down to the last pile of books (you can
> > > easily successfully trade at that level, in fact you can trade
> > > reasonably well if you only make it half way through).
> > > I only managed that because I was lucky enough to be an intuitive
> and
> > > this helped me find the shortcuts (I didn't have to read all of
> the
> > > books).
> > >
> > > So once again, here is my practical advice to you.
> > >
> > > Don't take on the whole library - it is overwhelming.
> > >
> > > Take on one section.
> > >
> > > Start with US EOD trading, no leverage.
> > > After you learn to get >30% there you can then start to learn
> > > leveraging stocks (via options OR Single Stock Futures).
> > > After you learn that then you can quickly and easily learn
> > > Commodities/Futures etc or whatever you want - the trading world
> is
> > > your oyster.
> > >
> > > All of the core elements of trading are right there in EOD stocks.
> > > If you can't find them there then you are not going to make it
> > > anywhere.
> > >
> > >
> > > Re AutoTrading.
> > >
> > > This is like having your car on auto-pilot.
> > > First you have to have a car.
> > > Then you have to learn to drive it.
> > > Then you can say "now I will automate it and put my feet up while
> it
> > > drives down the road".
> > > You don't just decide to learn autodriving before you fulfil the
> > > first two steps.
> > >
> > >
> > > Why not start with commodities?
> > >
> > > because you will be trying to learn trading and leveraging both
> at
> > > the same time plus all of the elements of trading are not exposed
> the
> > > way they are in stocks (you have the complication of seasonality
> plus
> > > you are limited to 20-30 instruments).
> > > In stocks you get a much better feel for trading with the
> different
> > > cap levels, different volatilities, sectors and global
> relationships
> > > etc - things you don't see so clearly in other instruments.
> > >
> > >
> > >
> > > Why not start in RT?
> > >
> > > because so much of your time will be taken up with
> software/hardware
> > > issues when you should be focusing on learning to trade (plenty
> of
> > > time for RT once you can trade).
> > > Also - once you can trade then trading RT bars is barely any
> > > different - you can go straight on with it (tick trading is
> something
> > > else again - only suitable for people who are right at home with
> IT
> > > skills)
> > >
> > > Wheh should I learn Money Management?
> > >
> > > First you have to get a system that can do >=30% when paper
> trading
> > > i.e. it does that live, for a reasonable period (on data you have
> > > never seen before).
> > >
> > > IF YOU CANT DO THAT FIRST YOU CAN FORGET THE REST AND GIVE UP.
> > >
> > > Then, if you get that far, you need to learn the basisc of MM
> before
> > > you start to trade with real money (you can improve your MM based
> on
> > > your trading experience but you must now the basics before you
> start.
> > >
> > >
> > > Realistically, only those with above average aptitude are going
> to be
> > > able to do that while they are holding down a job (the magnitude
> of
> > > the task is pretty big unless you have a mentor, a friend or you
> have
> > > the right stuff to skip through it).
> > >
> > > All the best with your endeavours,
> > >
> > > brian_z
> > >
> > > please excuse me if I don't answer any further questions on the
> > > subject.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Louis P." <rockprog80@> wrote:
> > > >
> > > > Hi,
> > > >
> > > > I was only wondering... Anyone actually making money or making
> a
> > > living
> > > > with AB and trading?
> > > >
> > > > I've been working on ideas and plans for over 7 months now and
> > > didn't find
> > > > anything convincing yet. I've been searching daily data, then
> > > hourly,
> > > > 15-minute and now I am into 1-minute data and nothing seems
> > > satisfying.
> > > > Been searching RSI, MFI, ADX, MA, HHV, LLV... nothing seems to
> work.
> > > >
> > > > So... Anyone is making consistent money with this, and if so,
> at
> > > which
> > > > timeframe and how do you do it?
> > > >
> > > > I'm beginning to think about switching to tick database; it
> seems
> > > even
> > > > 1-minute is too slow for intraday trading. Anyone making money
> with
> > > > 1-minute?
> > > >
> > > > Thanks,
> > > >
> > > > Louis
> > > >
> > >
> >
>
>
>
>
>
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