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In regard to the number of symbols you use, it all depends again on
market conditions. When the market is in an up trend your system might
find 60 good trades out of 200 stocks. In a down trend it might find
10 possible trades out of 200. In a period of rotation it may find 5
possible trades, none of which turn out to make any money.
You might get by on 50 symbols when the market is in an up trend, but
you might need 4 times that many under other conditions.
You won't know until you look at each of the 4 basic types of markets.
In addition, you may have to change your trading rules and the
%winners will vary all over the board.
A lot of people can trade a system in an up trend because so many of
the trades turn out to be good trades, but in the other market
situations, they may very well hit 10 losers in a row and then
everything changes in their minds.
Your system probably won't get 80% winning trades when you trade the
system live. If you do, the majority of them will be very small or
barely profitable trades. Those kind of trades can go negative in a NY
minute, and they will.
--- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter" <mariani@xxxx> wrote:
> John,
> When I calculated % winners in my comparison I used symbols that did not
> lose any money as winners. When I remove those with $0.00 as winners
the %
> Winners goes way down. If I lower the % Winners I would trade to 60%
from 80
> % I am left with 67 symbols to run explorer on. Is this also
reasonable or
> may it be too limiting?
> Scott
> -----Original Message-----
> From: Metastockusers@xxxxxxxxxxxxxxx
> [mailto:Metastockusers@xxxxxxxxxxxxxxx]On Behalf Of John
> Sent: Saturday, April 16, 2005 9:41 AM
> To: Metastockusers@xxxxxxxxxxxxxxx
> Subject: [Metastockusers] System Tester Results Comparison with
Explorer
>
>
>
> 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.
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
>
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> >
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>
>
>
>
>
>
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