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TH wrote:
> Pierre,
> I think you misunderstood. I require "audited account statements
> documenting the real time system performance," meaning actual executed
> trades documented by brokerage statements from the system vendor. You
> probably thought I was talking about system backtesting. I'm talking about
> real trades.
PO wrote:
>>>
>Ok.
>A misunderstanding from me .
>I was of course speaking of backtesting.
>This is also important.
>If you backtest on such amount of data, with realistic slippage, this is as
>good as an audited account (at least for the developer that may rely on his
>probity).
Extremely important...I fully agree. I believe that a lot of mechanical
systems fail over time because the developer was sloppy in his / her work.
A system is as sound as the foundation upon which it is built, and that
foundation is good clean data and a lots of it.
I have a minor disagreement over the statement that a good backtest (with
realistic slippage) is as good as an audited account. While I use a those
standards in my own system development, I require a higher standard from
those who sell systems. Why? When I test my ideas, I'm all too familar
with them (sometimes familarity breeds contempt <g>). But if I buy a black
or gray box system, I'm not privy to the system rules and math, just the
output...buy, sell, or flat. And as we all know too well, systems can be
tweaked to provide a realistic performance in the backtest, but fall apart
in real time trading.
I can anticipate your next question: But Pierre uses backtest data set and
reserves a portion of the data for real time performance evaluation! I
have to agree that this approach is better than none at all, but a lot of
system vendors are not as thorough, ie, more sloppy rather than crooks. I
guess I'm back to the higher standard thing again. Real time account
performance is measured by executing actual trades and testing the system
in the trenches under market conditions. There's really no better
substitute than actual market combat conditions.
Tony Haas
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The commodities market is that creation
of man that humbles him the most.
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