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Super -- you have time on your hands and a caustic wit to match. All
the better for this board! Thanks for helping out on several
occasions.
--- In equismetastock@xxxxxxxxxxxxxxx, "David" <junk@xxxx> wrote:
>
>
> I like your response superfragalist. Way to hammer it home, I
agree
> 100%.
>
> Regards,
> David
>
> --- 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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