|
PureBytes Links
Trading Reference Links
|
...and you can add a little bit "Monte Carlo Simulation" to your
testing process:
http://www.zentrader.de/mcsprocess_e.pdf
First, you can add "data simulation":
If your system has good system report results not only with your
original data, but also with simulated data (which has some relation
or properties of the original data), the system might be more stable.
Second, you can add "system simulation":
If the Monte carlo simulation shows satisfying profits and
low "account drawdowns" the system might be even a little bit more
stable and you can think about to trade it.
Only my two cents.
I've put the freeware version of my product "Zen Monte Carlo
Simulator v3" in the Files section of this Forum. You can download
it also from my website:
http://www.zentrader.de/download.html
...and if you think, this idee is useful, you can also buy a
professional version:
http://www.zentrader.de/zen_mcs_english.html
:-)
But pay attention:
These are (in my opinion useful) tools to decrease your risks and
improve the quality of your system development process. But there's
always a risk concerning trading, which cannot be avoided thru any
system or method - that's life!
bye,
Volker
www.zentrader.de
mail to: info@xxxxxxxxxxxx
--- In Metastockusers@xxxxxxxxxxxxxxx, "superfragalist"
<jackolso@xxxx> wrote:
>
> 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
> >
> >
> >
> >
> >
> >
> -------------------------------------------------------------------
---------
> > --
> > Yahoo! Groups Links
> >
> > a.. To visit your group on the web, go to:
> > http://groups.yahoo.com/group/Metastockusers/
> >
> > b.. To unsubscribe from this group, send an email to:
> > Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
> >
> > c.. Your use of Yahoo! Groups is subject to the Yahoo! Terms
of
> Service.
------------------------ Yahoo! Groups Sponsor --------------------~-->
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/zMEolB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/Metastockusers/
<*> To unsubscribe from this group, send an email to:
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|