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Excellent. You can be sure I will read all the articles -- several
times. Thanks for the link.
--- In equismetastock@xxxxxxxxxxxxxxx, superfragalist <no_reply@xxxx>
wrote:
>
> Your questions are typical of people who want to be traders. These
> are the most frustrating questions there are to answer, and frankly
> in my experience a total waste of time to answer. (Sorry boys,
that's
> been my experience!)
>
> Research done by the SEC and academics have concluded that 95% of
all
> traders lose money. Now why is that? Is it because they don't have
> good systems? Or they didn't read the one right trading book? Or
they
> didn't ask the one key question on this site? Or maybe they're just
> dumb. No, it's because trading is a business and 95% of the people
> who get into any business have no idea how to run it, especially
one
> like this one.
>
> A lot of people confuse part time trading with having a hobby. When
> you have a hobby, you aren't doing it to make money. When you start
> trying to make money with it, it's no longer a hobby--it's a part
> time business.
>
> I posted a reference to a group of articles by Charlie Wright that
> explains very clearly how to develop a trading system, how to use
it
> and how to make money trading.
>
> A total of probably 5 people bothered to read even one of the
> articles, muchless all of them. And the 5 people who read them are
> the very people who don't need to read them.
>
> Here's the reference again.
>
> http://www.elitetrader.com/tr/index.cfm?s=17
>
> These articles will fill you in on the fundementals of developing a
> trading strategy for all ten of your stocks. It's a good place to
> start. From there you only have another 100 or so books to read, 5
> years of applying what you've learned, and a lot of tuition to
> graduate school in trading, and then you've arrived---or you've
lost
> your capital and found a new hobby.
>
> The debates on this site are nearly worthless, just like that last
> discussion on the number of bars to test. You have no idea if the
> opinions being expressed are backed up by knowledge and experience,
> or if, like most opinions, they're just hot air. No one has to post
> their trading resumes. Just because someone is say an engineer, or
a
> Ph.D., or Albert Einstein that doesn't mean they know squat about
> trading quarters with their grandmother.
>
> The vast majority of opinions aren't backed up by anything like
> knowledge or experience. Opinions are cheap, success is expensive.
>
> People post questions pleading with someone to give them some
little
> piece of code. They don't have time read the manual, study the
> formula primer or learn how to do things for themselves, because if
> they just had this one piece of code they could make money trading,
> and after all, that's all they want to do. Those suckers are the
> worst of the lot. Don't be one of them.
>
> There is an individual trading system for every person who becomes
a
> successful trader. For those who survive long enough, it's arrived
at
> through education, trial and error, countless hours of work, and
some
> luck. No single trading system works for every person. You notice I
> didn't say there is no single trading system that works for every
> stock. The trading system is about the person using it, not the
> symbol it's applied to. A trading system is only one part of a
> trading strategy. Most want-ta-be's never get far enough to even
get
> close to having a trading strategy.
>
> If you read Wright's articles, you'll find out that a trading
> strategy is not, "I'm going to trade breakouts based on the price
of
> spam tomorrow." Far from it. Just that one little piece of
knowledge
> will put you ahead of most of the pack.
>
> Nearly everyday I talk to successful traders and systems developers
> and some of them are doing just the opposite of what I'm doing. The
> only thing we're both doing is making money, and have for a long
> time. Neither of us tries to convinence the other one we're right.
>
> The bottom line is, whether you're trading 1 stock or 500 stocks,
> it's a business. Learn the business. It's a brutal business. There
> are more people selling information on how to trade successfully
than
> there are successful traders. That ought to give you a clue.
>
> Just remember, if some simple system, formula, charting technique
or
> whatever worked really well, everyone would be doing it, and
they're
> not.
>
> The magic is in the way the system fits you. That's it. That's the
> secret.
>
> Read the articles and start learning how to tailor a suit of
clothes
> that fits you and you alone, not your ten stocks.
>
> If things don't work out, buy a copy of The Four Pillars of
Investing
> by William Bernstein. It's the best buy and hold book ever written.
>
> And please remember, if you're going to lose your money, at least
> have some fun while you're doing it!
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "metastkuser"
> <andysmith_999@xxxx> wrote:
> >
> >
> > Well I had no idea my question would spur such a debate. After
> > reading opposing viewpoints, here is what I have converged to:
> >
> > I am trying to find the best systems with which to trade my 10
> > favorite stocks. I have about 50 systems at my disposal. I have
> > decided to backtest each stock (against all systems) with 5000
> bars,
> > 1000 bars (which excludes the dot com bubble years) and 250 bars.
> > Then, for each security, I will choose a system that performs
well
> > over all three time periods.
> >
> > So do I have an ice cubes chance in hell?
> >
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "David" <junk@xxxx> wrote:
> > >
> > >
> > > While I do respect your opinion on the matter that more
> > > isn't "necessarily" better given changes in market conditions
> from
> > > the past. My view lies more in the fact that if you can design
a
> > > system not only to perform well in past market conditions, but
> also
> > > in the dramatic recent changes, your system is obviously more
> > > robust. And I'm not talking about a system that performs well
in
> > the
> > > past "on average." I mean consistent gains yearly as much is
> > > possible. I would much rather have a system that performs just
> as
> > > well in the past as it is still doing recently, than having a
> > system
> > > that performs well recently but not in the past. In that
aspect
> I
> > > believe more is better.
> > >
> > > But maybe my motives are different. I look for robust systems
> that
> > > can be applied to various securities for diversity and perform
> > > consistently. I'm not looking for max possibly return. If a
> > > businesss is to be run, you can't expect to have occasional
> > > profitable results showing up here and there just when they
feel
> > like
> > > it. If your system can only do well in today's market but not
a
> > > decade old market, who's to say that history won't repeat
itself
> > and
> > > the market reverts to old? Not to say you can't adjust your
> system
> > > when the time comes, but you cannot pinpoint that until
possibly
> > > years too late.
> > >
> > > You said that the number of bars used has very little influence
> on
> > > curve fitting. In the most ridiculous of examples, if you have
> > only
> > > one month of data and go test a basket of systems, you will
> > obviously
> > > come up with a few that bought and sold at the exactly the
right
> > > point. Not necessarily because they are good systems. So
what's
> > > next? You can't have one month of data represent a whole year
of
> > > market movememt, it's not accurate enough of the whole. What
> about
> > a
> > > year? That sounds like a decent amount, but it only represents
> 10%
> > > of a decade worth of data. Just as a month is only roughly 10%
> of
> > a
> > > years worth of data and thats not accurate enough, then how
> should
> > > one year be enough when it's only 10% representative of the
> market
> > > conditions over the past decade? Maybe, that then lies more in
> the
> > > time frames you plan to choose. If your trade time frame with
> the
> > > designed system is short, then superfragalist may be right,
more
> is
> > > not necessarily better. The short time frame expected to trade
> > might
> > > be close enough to the previous short tested time, then you
might
> > > make money with the system you designed for it. But I wouldn't
> be
> > > willing chance my money on it. So even aside from the possible
> > curve
> > > fitting issue, I still would find the lack of bars to be a
> negative
> > > obstacle given that your system wouldn't have had time
to "prove"
> > > itself in more varying market conditions. As I said, I respect
> > your
> > > view superfragalist, but the aforementioned reasons is why I
> > believe
> > > otherwise. But after writing this, I guess a lot boils down to
> > > personal objectives and trading style.
> > >
> > > Best Regards,
> > > David
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, superfragalist
> > <no_reply@xxxx>
> > > wrote:
> > > >
> > > > Sorry, but I don't agree with this statement. "I'm sure
> everyone
> > > > would more than emphatically agree with me that the more
> > historical
> > > > bars the better to test on."
> > > >
> > > > While I do agree that using too little data can be a problem,
> too
> > > > much data is just a big an issue. Curve fit is a complex
issue
> > and
> > > > the number of bars of data you use to develop your system has
> > very
> > > > little influence on it.
> > > >
> > > > I'm not going to go into a long piece on curve fit because
> there
> > > are
> > > > many really good systems development books and internet
> articles
> > > that
> > > > define, explain and debate the issue.
> > > >
> > > > Curve fit is easy to test for using out of sample data in
walk
> > > > forward tests. Indicators can be tested for robustness prior
to
> > > walk
> > > > forward testing.
> > > >
> > > > Curve fit is caused by over optimization, lack of robustness
in
> > the
> > > > indicators, too many variables in the optimized equation and
> poor
> > > > selection of variables within the equation.
> > > >
> > > > Not one of the systems development books that explore the
issue
> > of
> > > > curve fit have a set number of bars of data that should be
> tested
> > > to
> > > > reduce curve fit or to validate equations.
> > > >
> > > > No one says that 500 bars are too few and 2000 bars are too
> many.
> > > > Everyone has a different view. However, most authors and
> systems
> > > > develop people do agree on what causes curve fit.
> > > >
> > > > Robert Colby in The Encyclopedia of Technical Market
Indicators
> > > often
> > > > tests using 20 to 40 years worth of data. Does that mean that
> the
> > > > best performing systems he has found historically will work
> well
> > > > today. Absolutely not. He admits that many of the
historcially
> > best
> > > > performing systems have done poorly in the last few years. Is
> it
> > > > because of curve fit? No, it's because his historical data
> > averages
> > > > out all types of market cycles and the last few years have
been
> > > > anything but average. The point of his book is not to use
> what's
> > > been
> > > > great over forty years, but to look in similar places for
> current
> > > > versions of the similar things that will work in these
markets.
> > > >
> > > > Sorry I can't support your opinion. I've gotten a different
> > > > perspective from studying the issue.
> > > >
> > > > Esignal is slowly increasing the amount of historical data
they
> > > > maintain because of intraday system's developers requests for
> the
> > > > data. However, there has been talk that the historical data
> will
> > > not
> > > > be available to users of MS but only to Esignal trading
> clients.
> > > > Equis says this is not true, but I've seen some evidence of
it.
> > > >
> > > > Historical one minute data since 1997 on the S&P 500 can be
> > > purchased
> > > > for about $2500 from Price-data.com. For people doing
intraday
> > > > trading that's reasonably priced. You can buy individual
> symbols
> > > for
> > > > $75.
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