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Metastockuser--You wrote a nice explanation of what you are trying to
do--especially for a beginner. It appears you've read a lot of books.
You certainly have the terminology down. Congrats on developing your
own SPY system. Maybe you can share it with the group!
I re-read all of the posts and I don't think anyone was particularly
upset. It sounds to me like manohohman didn't want to respond to
anymore questions with answers that should have been transparent to
begin with.
For example, Zweig's 4% trading rules are well known. You can look
that up for yourself. It has nothing to do with any code. Then there
was a 20 day moving average added to that. How hard can that be? So
setting up a systems test of your own should be easy, if you will
look up a couple of definitions. If you can't set up a systems test
based on the original Zweig's trading rules with the moving average
added, then you can't trust the results of your test anyway.
He said there were quesitons about curve fitting and out of sample
data. Sounds like a lot of people don't understand curve fitting.
This system was presented for only one security in one time frame.
You can't change the security, the time frame, or the trading rules
which were defined by someone else. The 20 day moving average is the
most used moving average there is. He said the backtest results he
looked at were for 10 years. That's straight forward to me. What is
there to curve fit?
I think he said he used the system as a trend indicator, rather than
something to trade everyday, although you certainly could do that
with it. He mentioned using other indicators with it to prevent
whipsawing if he were going to trade it, but he didn't say what
indicators he would use. I don't think backtesting really defines the
amount of whipsawing a system has, or the conditions under which it
takes place. I assume that's why he said he goes over the charts by
hand. I wonder if the drawdowns are easily seen by hand.
Since you've got your own SPY system, maybe you could take the charts
from it for a couple of years and compare them to the charts from the
posted system and see how much better yours is. Then you could post
your system with an explanation of how and why it improves on the 4%
system. That would really benefit the group.
This 4% system is as simple as it gets. It sort of sets a floor to
compare other SPY systems to.
Of course I didn't see manohohman's emails, just the posted
responses. I didn't see any questions on drawdowns or losing trades.
After I joined, I read through the archives. I was hoping more people
would post unique systems or techniques for trend following and other
stuff. But so far I haven't found much.
I see a lot of questions on programming issues, some discussion on
theory, and a few questions on how to use metastock, but nothing that
would really make metastock more effective to trade with.
I guess no one has anything to share, or maybe there's no pay off for
sharing!
Metastockuser, here's your chance to start the ball rolling on the
sharing thing. Hope you will take this opportunity to do so.
John
--- In equismetastock@xxxxxxxxxxxxxxx, "metastockuser"
<metastockuser@xxxx> wrote:
> John,
>
> I'm merely trying to understand it so I can break it out and test
> it. I've recently gone live with my own SPY system. If I were to
> find a better system I'd sure be willing to trade it.
>
> But I have to see the equity line over ten years or so of data in
> different markets and so forth. check out the drawdown, etc etc.
> Also, I want the stats so I can know EXACTLY what to expect going
> forward in number of losing trades in a row, winning trades in a
row,
> average loss, average win, relative and absolute drawdown, and so
> forth. So if it encounters a market it does not work well in I'll
> know by the behavior against past stats hopefully before my bottom
> line is seriously affected. But that means I have to run the tests
to
> have the data on hand to use as control limits for using or no
longer
> using the system.
>
> One reason I like tradesim for back testing is that it makes it
easier
> for me to see on a month by month and year by year basis exactly how
> the system plays out. I also don't have to play games with it to
get
> it around 8.0 issues regarding next day purchases being cancled and
so
> forth.
>
> I just don't see why anyone would take offence at someone trying to
> understand an indicator so they can back test it. It took longer to
> lecture me on it than it would have to put a few lines of
> understanding by each code line so I could understand what it was
> actually doing.
>
> My problem is that I'm so new to all this and programming in
> particular that it's like trying to understand greek. But I'm
> certainly smart enough not to play a system that I haven't first run
> my own back tests against. Hand work is fine, and I fully
understand
> the need to work through enough trades by hand to make sure the
system
> test is valid. I find setting up an expert system and comparing it
to
> trade logs helps in that regard. But nothing beats running a system
> tester of years and years of data in various types of markets to get
> at the performance of a system in a reasonable amount of time.
>
> I appreciate the work this guy did and am sure he did a fine job.
As
> soon as I have time to work it out I'm sure I'll enjoy running the
> test and seeing how it performs in various markets.
>
> Just pasting someone elses work into my expert system and using it
> without understanding it and backtesting it is not something I would
> ever do.
>
> --- In equismetastock@xxxxxxxxxxxxxxx, johndoeforever49
> <no_reply@xxxx> wrote:
> > I don't think he backtested it at all. I think he said he looked
at
> > the charts for several years to see if he could use it to get
similar
> > results to the backtested results. I think he said it did.
> >
> > As I remember it, manohohman said a lot of other people had
> > backtested this. Along those lines, I remember seeing results
from
> > Zweig, Mcdonald, and some other people who have looked at this
system
> > since it was developed. Each one was a little different from the
> > original one Zweig came up with. But I don't remember everybody
who
> > has commented on it, or even when.
> >
> > I don't remember him recommending that anybody trade this. I
> > certainly never would rely on the results of other systems
developers
> > like Zweig.
> >
> > From my stand point you are exactly right--don't use this.
> >
> > John
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