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Super,
Thanks
for sharing your experience, again.
I am
using 0 for the money market percentage. I learned that one early on. I was
bouncing off the walls when I ran an early system test with it set to 3%. When I
finally realized what was happening I went from making millions to losing my
butt.
I am a
little concerned about the sensitivity of slippage. I am using 0 for slippage
and $10 for entry and exit commissions. When I put in a .02 slippage for both
buy and sell my system goes into negative territory. I enter at the close on the
signal bar and exit at the open after an exit signal. On paper I have
been entering just below the close price and exiting at or a little above the
open price. I am not sure how realistic this is based on the number of shares I
am trading, average 1500. I am trying to make sure the stocks I trade are fairly
liquid.
Once I
graduate from paper to real, Roy's newsletter is on top of my list of purchases.
I am wondering how handicapped I will be with MS8.0 using Roy's
information?
Scott
Roy's newsletter has methods for figuring
out the type of market
you're in.
The rotation issue is one of no
conviction. Stocks are pulling back
and leadership is changing. However,
the new leadership only lasts a
day or two. This is the hardest kind of
market there is to trade in.
The market has done that a couple of
times.
Moving averages are good for figuring out market trends. Like I
said
Roy's newsletter details more sophisticated and accurate methods
of
defining the bias.
When you run your systems test, are you
putting a 0 in the money
market rate of return. The money market box can
really screw up a
systems test.
You need to test your system under
all four conditions. Read the post
I did on using explorations to see how a
system is going to work when
faced with certain market issues. You'll see
big changes in all
aspects of your system statistics as the market bias
switches.
--- In Metastockusers@xxxxxxxxxxxxxxx, "Scooter"
<mariani@xxxx> wrote:
> 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
> -----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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