|
PureBytes Links
Trading Reference Links
|
John,
So do
I run different explorations on the S&P, NASDQ, and DOW indices to identify
these different periods in the overall market? I think I can use MA's for Up and
Down Trends but I will have to do some research on developing an Exploration for
price consolidation/small
pull back and price consolidation/pull back with
rotation.?
Thanks, Scott
Scott, If you are going to confine your
trading to a specific
universe, say the 217 symbols, then it is reasonable
to run the
exploration tests on only those symbols.
You don't need
to optimize again for about a year. However, the most
important aspect of
making money is knowing how the system performs
under the different market
conditions.
Many systems test very well because they perform good in up
trends.
When you remove the up trend the system is a disaster.
You
should pick historical periods for the explorations where the
overall
market was in an up trend, down trend, price
consolidation/small pull back
and price consolidation/pull back with
rotation. The latter is the most
difficult to trade.
Most of the time those historical periods should
last at least a month
for them to be long enough to influence the
performance of your
system. Run explorations on 10 days out of the period
and see how many
stocks the system finds each day on average, define your
trading
rules, open the charts, apply your trading rules and see how many
of
the candidates you would actually have bought. (If you want to see
how
it works mechanicall, buy them all.)
Check the buys and figure
out how many made money and how much money
they made. It's very difficult
for someone to look at chart history
and not pick and choose trading rules
that match the performance of
the stock. You should write down the trading
rules and force yourself
to apply them exactly.
If you keep good
history, you should see all of your statistics
change, often dramatically,
in the different market conditions. You
may find that you only want to
trade your system in up trends. Okay,
no problem. Learn to define an up
trend and trade away.
There is no such thing as a system that works in
all market
conditions. There are no specific trading rules that work in
all
market conditions. There is no one psychological set of
circumstances
that exist in all market conditions. The systems tester won't
define
how your system and you react to these things.
The MS systems
tester is really poor at calculating drawdowns. Most
people would be
shocked to learn how many losers in a row their
winning system is going to
encounter. In addition, most systems,
especially those written by
inexperienced people, find far too many
trades for one human being with a
reasonable capital account to take.
So how many do you take, and how much
does your picking and chosing
impact the systems test results? If you don't
take all the trades the
tester recommends, then you aren't going to achieve
the results the
system tester did.
The average trader can not make
2500 trades a year. They don't
multiply the average trades per symbol
by the number of symbols
they've tested to see how many trades they would
have to make a year
to trade on a mechanical basis. On an EOD basis, a
trader has to make
10 trades per day every day to hit 2500 a year. Ain't
going to happen.
There are all kinds of other issues, too many to
discuss in a post.
Most system tester results aren't worth the paper
they're written on
because they have nothing to do with real life. Very few
people can
trade a mechnaical system totally mechanically. The drawdowns
are too
large, the trades can't be executed automatically without
human
involvement and the normal trading account would be churned too much.
Individuals are poor choices for mechanical trading. Hedge funds
and
other money managers are good choices for mechanical trading. How
many
individuals could watch 50% or more of their trading account
vanish
and keep believing in the system and keep trading it?
It
takes a number of years of experience to put together a system that
has
good numbers and is also rational from the perspective of being
able to
trade it in live trading. The vast majority of traders would
have made more
money using the buy and hold techniques defined in The
Four Pillars of
Investing than they would have from trading some
system they created in a
system tester or got from a guru.
I'm not even sure a systems tester
should come with a program like MS.
I often think you shouldn't be able to
buy the tester module until you
have 3 or more years of trading experience,
and then I might have a
trader demonstrate they can make at least 5
successful trades using a
moving average--sort of like a driver's license
test.
Have fun with the
explorer!
--- In
Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx> wrote:
>
Super,
> I re-ran the system test on 10 years of data again (Thanks
again
Dusant). I
> ran them from Jan 1 to Dec 31 of each year. Out of
the 800+ symbols
I have
> in my group I narrowed the list to 467 that
had history back to 1995. I
> uploaded the spreadsheet up to the files
area.
>
> In the 1995-2004 Worksheet you will find my summary. On
the far right I
> calculated the winning percentages for each symbol. In
the bottom
right cell
> I calculate the number of symbols that had a
80% or better hit rate.
I came
> up with 218 securities. I will
re-run my criteria on those 218 only and
> report my results.
>
> Do you think it is reasonable to run the explorer only on the 218
best
> candidates? I would guess that I would re-run this exercise
every
quarter or
> so to keep the symbols fresh.
>
>
Scott
>
>
> -----Original Message-----
> From:
Metastockusers@xxxxxxxxxxxxxxx
>
[mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of superfragalist
>
Sent: Friday, April 15, 2005 1:34 AM
> To:
Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] System Tester
Results Comparison with Scott's
> system
>
>
>
> Since we're having fun with numbers, I ran a comparison
of part of a
> system I saw that Roy is publishing in his
newsletter next month
> against the system results Scott
published for us. Scott's results
> look good.
>
> I used Scott's criteria, $20,000 in equity, 100% in. All
trades are on
> the open after the signal so that's a one
bar delay. (Scott didn't
> tell me what he was doing with
the entry/exit.) Roy's is a long only
> system. I don't know
if Scott's is long only or both long and short. I
> ran
Roy's on the S&P 500 and did not eliminate losing stocks. Oh,
I
> almost forgot. I didn't optimize it. Scott's is
optimized.
>
> Scott's dates are 4/13/xxxx to
4/13/xxxy Normally I won't test across
> skewed dates,
but I wanted good comparisons so I used Scott's dates.
>
>
Roy's
Scott's
>
> 2004/5
$500.965 $139,048
>
2003/4 $613,302
$234,187
> 2002/3
$17,897 $106,714
>
2001/2 $198,010
$158,116
> 2000/1
$75,173 $(-29,693)
>
1999/0 $219,871 $290,114
>
> If you guys are interested in seeing how this works, get
a copy of
> Roy's next newsletter. The code for this part of
the system will be in
> there. Since Roy is having other
trader's write articles, maybe Scott
> would be willing to
share his system in Roy's newsletter also. I would
> read
about it, and play with it.
>
>
>
>
>
>
>
>
>
>
>
----------------------------------------------------------------------------
>
--
> 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 Links
|