Re: [Metastockusers] Re: What to Look for in a System Test

["Scott Mariani" <mariani@xxxxxxxxxx>]

Jose,

Point taken. I wouldn't put developing a trading strategy using specific trading tools in the same category with trying to write a novel using a random letter generator, may be my ignorance.

 

Can you trust other authors when then they discuss their own observations on market behavior? If so, who do you recommend?

 

Thanks, Scott

----- Original Message -----

From: Jose

To: Metastockusers@xxxxxxxxxxxxxxx

Sent: Sunday, March 13, 2005 7:59 PM

Subject: [Metastockusers] Re: What to Look for in a System Test

Scott, using computer power to devise a trading strategy is not
dissimilar to attempting to get your PC to write a novel through trial
and error, by combining all letters of the alphabet at random and see
what comes up.

Try putting together some sound logic (based on market behaviour
observations) into your strategy, and then relate it to the real
trading world, away from number-crunching.

Imagine yourself in a trading room surrounded by 20 other traders, and
only one of you will leave the trading room with a profit.  Ask
yourself, would number-crunching give you an edge here?
Put things into perspective, and you'll save a lot of time.


jose '-)
http://www.metastocktools.com



--- In Metastockusers@xxxxxxxxxxxxxxx, "Scott Mariani" <mariani@xxxx>
wrote:
> Jose,
> How do you build a sound trading strategy without testing an idea
> for soundness? This is where computers really shine?! I can run
> several different tests in minutes!
> Of course if the tests are bogus, what is the point.
> Thanks again Jose, Scott
>
>
> ----- Original Message -----
> From: Jose
> To: Metastockusers@xxxxxxxxxxxxxxx
> Sent: Saturday, March 12, 2005 11:27 PM
> Subject: [Metastockusers] Re: What to Look for in a System Test
>
> Scott, it seems that you are attempting to develop a profitable
> trading system with the aid of a bunch of indicators thrown into the
> System Tester pot.  You are unlikely to develop a sound trading
> strategy just by analyzing system tester results.
>
> Note that the System Tester has been named thus, to test systems. 
> Otherwise it might have been named "System Developer".
>
> My humble advice is to forget the System Tester for the time being,
> and concentrate on developing a sound trading strategy.  Once this
> is in place, by all means test it in the System Tester or preferably
> TradeSim.  Don't forget to include transaction costs (brokerage/
> spread/slippage).
>
>
> jose '-)
> http://www.metastocktools.com
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "Scott Mariani" <mariani@xxxx
> wrote:
>
> O.k.
> I have been building system test after system test, trying several
> different combinations of indicators. Since I use EOD data I have
> given up on getting accurate exit values. I get a bunch of high
> losses which I attribute to the EOD data not exiting until the
> close.
>
> I assume the object of a system test is to have more winning trades
> than loosing ones? I have resorted to adding one optimization so I
> can look at the overall system performance on a total $$ basis. The
> only problem with this is that with the exits being what they are,
> my losses are humongous. I have been trying to find a system that is
> better than 50/50 but have yet to stumble on anything that yields
> more winners than losers.
>
> How do others go about analyzing system tester results?
> Thanks, Scott



arbitrary value

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