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Okay, Scott, If you take a look at Quantitative Trading Strategies by
Lars Kestner, you see many many tests of various indicators and
trading systems from Lars and others. He provides charts showing how
each system performed over a ten year period. His charts illustrate
the problem with relying on TA for your trading. You will see that he
could not find a stock trading system that showed any consistency
across more than a couple of years. In addition, if you historically
test a system, the historical results have nothing to do with what is
going to happen next year. There is no predictabilty value except over
very long time frames.
Your test system could show you would have made 5000% last year, and
then when you trade it this year you could lose 5000% this year.
Assuming that back testing is relative to future performance, if you
back test your system year by year, instead of over many years at a
time, you can put plot the performance of each year and you'll see the
risk of trading the system more clearly.
If you want to make money every year, you have to either develop a
strategy that's not based on a system of indicator but rather on a set
of market conditions, develop a strategy which is not dependent on TA
alone, or develop a strategy that employs multiple systems
simultaneously across multiple markets. However, if you use the last
strategy your overall returns, while possibly positve, will be diluted.
Most traders learn all of this the hard way.
Based on what I've said, throwing out last year's losers may be
throwing out this year's winners.
Just because a system failed to work on a stock the last three years
doesn't mean it won't work on a stock the next three years.
If you just want to create a file with the magical results in it, you
sort the systems test results, highlight the ones you like and copy
them to the clipboard, open excel, paste them in, copy the column with
the symbols in it, open word, paste the symbols in as unformatted
text, use the replace function to replace the paragaph marks with semi
colons and then copy and paste that list into MS to create a history
file. Download the historical data and now you're ready to make your
fortune. It only takes about 10 minutes.
Good luck!
--- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx> wrote:
> Super,
> I did read Mr. Wright's series of articles as you suggested
previously. I
> found it very informative. I found that I was already doing many of the
> things he suggested in developing a system. I have applied many of
the ideas
> he talked about since reading the articles, more like a book!
>
> He does not address the validity of throwing out losers, based on a
system
> test, from an available list of potential stocks to trade.
>
> I know there are a cagillion system developing books to read. I will
pick up
> a few to read when I have the time.
>
> Can you C&P system test results from MS8.0?
>
> Scott
>
>
> -----Original Message-----
> From: superfragalist [mailto:jackolso@x...]
> Sent: Wednesday, April 13, 2005 8:34 PM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] Re: System Tester Results (Redu)
>
>
>
> Looks like you're using the systems tester without much knowledge of
> systems development.
>
> Read a few books on system design and then you'll see you're wasting
> your time.
>
> There's a very good article on this coming up in the May issue of
> Roy's newsletter.
>
> Don't ask for book recommendations because one book won't do it.
> You'll need to read around a dozen or so systems development books to
> get a really good take on how things work. Once you've done that,
> you'll soon figure out that using TA by itself is not the best method
> for picking stocks to trade, the performance of any system based on TA
> is going to dramatically change each year with a lot of losing years,
> there are no indicators that work even reasonably well across a
> variety of stocks or in changing market conditions, and searching
> thousands of stocks every night for something to trade is in the long
> run a losing idea.
>
> Does that mean you can't make money using TA. You can, but you have to
> have a well thought out strategy and apply the strategy appropriately
> for the market conditions.
>
> I'm amazed at how many people that refuse to spend a dime on
> education, information, good data or anything else that might help
> them, but they'll pay a guru thousands for useless trading methods or
> lose thousands more making bad trades. It's baffaling.
>
> You can read Charlie Wright's series of articles called Trading as a
> Business. That will give you some basics about how to approach this.
> Read all the articles in the series. They all have something important
> to say.
>
> http://www.elitetrader.com/tr/index.cfm?s=17
>
> Give Roy's newsletter a try. It's all about MS with the code for
> everything discussed in it. You'll learn more from that in a few hours
> of reading the back issues than you will from playing with the systems
> tester for next few years.
>
> www.metastocktips.co.nz
>
>
>
>
>
>
>
> --- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx> wrote:
> > O.k.,
> > I have finally cooked the indicators enough (nothing new) to come up
> with a
> > system that is profitable over several different period back tests,
> at least
> > in MS. My question is, do I remove the loosing or zero trade tickers
> from my
> > potential list of tradable tickers I will run my Exploration on when
> looking
> > for a new trading opportunity? MS seems to be keen on "cleaning
up" by
> > removing the losers. Doesn't make sense to me to say because the
> tickers did
> > not hit or make a profit over x amount of periods they will not
make a
> > profit in the future. Or does it increase my potential
profitability by
> > removing them? Can I somehow export the remaining ticker symbols to
> excel or
> > csv so I can adjust my HSQuote list accordingly?
> > Thanks, Scott
>
>
>
>
>
>
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