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First off, the tech bubble wasn't the only significant crash in
prices in history. So don't exclude this from ever happening again
in another form. Second off, this shouldn't distort your results.
You system should be able to have intelligent enough exit strategies
implemented that it will exit when the market turns against your
position. That, or reverse your position and go short, depending on
how your system is written. If you are using a trending system, when
the market starts to fall to such a level, the system should fire off
a sell signal. Same as if it would normally do when a trend is
ending (If you're using a contrarian system, then god help you as you
buy into the downfall). Depending on your stop rules, this will
determine on how efficiently you exit the market given another
possible significant drop in prices. Another thing is just
experiment. The only way you're really going to learn something is
through experimentation and mistakes/failures. I, or anyone else,
can recommend something to you but you're really not going to believe
it's correct or wrong for your style of trading until you test it.
Although there is an infinite amount of possibilities in trading,
almost everyone single one of them is hard. Start from the ground up
using only a small percentage of your equity for trading to make sure
you can withstand the beginning failures and succeed into "hopefully"
later successes. It's all about money management and exit
strategies. Entry strategies, although important, are really
secondary in my opinion. Good luck!
Best Regards,
David
--- In equismetastock@xxxxxxxxxxxxxxx, "metastkuser"
<andysmith_999@xxxx> wrote:
>
>
> David,
>
> I will try backtesting with 10 years worth of EOD bars, but I have
a
> couple of questions:
>
> 1) Let's say I backtest 50 systems with 10 years data so that I can
> find the best system for a particular security. With 10 years data,
I
> will catch the unrepeatable bubble market (1997-2000). Will this
not
> corrupt the results?
>
> 2) Is another option to select (or build) a system that has
performed
> well over the last 250 bars, and then as the market conditions
> change, to abandon that system for another better performing
system
> that fits the new market conditions (i.e. system rotation)?
>
> Thanks.
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "David" <junk@xxxx> wrote:
> >
> >
> > I'm sure everyone would more than emphatically agree with me that
> the
> > more historical bars the better to test on. When you use less
bars
> > in your system test, the more likely you are going to be curve
> > fitting your system to the data. That, and what happens if/when
> the
> > market reverts to a state similar to previous years, ie. stops or
> > begins trending.... Your system more than likely won't be able
to
> > cope with the changes. You want to make sure the system that you
> > design is more than capable of performing well (or at least
> > minimizing losses) in all types of market conditions thereby
making
> > it more robust. You'll thank yourself later. Two years is a
> > ridiculously small amount in my opinion. That isn't enough to
> cover
> > bull/bear and trending/non-trending markets. For me, I would be
> hard
> > pressed to put trust in any sytem that hasn't been tested on at
> least
> > a decade of historical daily data. I'm skeptical of the system
I'm
> > designing now because esignal has only 5 months of 60 minute data
> for
> > forex. But even that is still well over 2000 bars. Plus I'm
using
> > the same system for 20 different pairs to make sure I can at
least
> > cover as many different market conditions as I can...
> >
> > Best Regards,
> > David Piatek
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "metastkuser"
> > <andysmith_999@xxxx> wrote:
> > >
> > >
> > > I usually do MS EOD System Testing with 500 bars (just under 2
> > > years). I notice that the manual says I should use at least
1000
> > bars
> > > (preferably 2000) in order for the results/data to be
> statistically
> > > significant.
> > >
> > > My question: Is it really better to use 2000 bars instead of
500
> or
> > > 250 bars? The stock had a completely different "personality"
2000
> > > bars ago, and the market itself may have been very different
from
> > > what it is today. Don't I want to focus on trading systems
which
> > have
> > > been the most successful it the last few months?
> > >
> > > TIA
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