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Hi Glenn -
Ain't it the truth - You're not alone.....
I've been at it for 18 years and tested everything under the sun. I just
hope most guys continue to fool around with ridgid systems, (especially
optimized)..... 'cuz I do not want to trade against guys like yourself who
can change with the market on a moment's notice...and are light years ahead
in decision making ability vs: a computer....That is assuming that you are
disciplined and have gone through the gauntlet to appreciate it all.
Ya know...I read somewhere that the reason the CFTC is so brutal against
system vendors, hypothetical results and the like is 'cuz they feel all
"systems" are doomed to fail....and nothing works no matter what you
do.......and the system promoters (losers) are out there trying to fleece
the public. If you have witnessed the heavy fines, prosecutions, new
proposed legislation, etc. happening lately with the NFA, etc. concerning
this stuff you will know what I mean. I think the Feds think it is their
job to really let the public know the real score, and if they still want to
invest then so be it.
Hey, I have seen it myself.... systems that work for a while...but when the
probabilities turn the other way, they get friggin destroyed. It's all a
wash over time...break even.... The only thing I've seen really perform in
a stellar manner over a long period of time is a discretionary human being
USING a computer as his tool to aid his decision making and crunch the
numbers. It's really a bell curve like everything in life. If you have 1000
systems working, 950 will break even, 50 will make a lot of money, and 50
will get destroyed. (I'm being very generous and general) The next month
(or whatever time period) another group will work and the others will get
destroyed. There always has to be a bell curve when optimized systems try
to predict human behavior.
And something else....UNLESS you have discovered something VERY unique that
no one else is using AND is unlikely to be easily discovered in mass, your
system is doomed to break down as other "optimizers" start finding what
works this month, etc. It's like a dog chasing it's tail. There was a guy
(Joe Ross?) who said he's witnessed a long term 7 year cycle where the
"volatility break out" systems work, and then the "Turtle-type" trending
systems start working again. I've seen the same. (Unfortunately there are
many faster cycles that mix in with the 7 year one) Remember when Bob
Buran was touting his break out systems? I tested that and different
versions. It worked great, then got destroyed. Same with the Turtles....and
all the rest. They work , then they don't, then they do, .....a wash. BTW,
Buran claims his performance is partly 'cuz of discretionary. Same for
Sands, the Turtle. They employ the brain also to help choose.
I've had a number of guys send me messages saying they have fully optimized
stuff that works, but I really feel it is 10-20% a year kinda stuff, if
that, over time. To achieve 100-200% per year like say, Tudor Jones, and
other discretionary traders requires just that...discretionary. I mean
10-20% can get blown out real fast in a bad month. If the potential isn't
100-200%+ why in the world take the kind of risk we do in futures markets?
I feel computers are wonderful....I live with three in front of me trading
all day...but I would never let a progarm dictate my trades again...like
you, it's too darn expensive.
All I really wanted to say is that I feel your frustration. <G> I'll bet
the majority of people on this list cannot believe the time they've spent
testing systems (like you and me) and maybe think there is something wrong
with them..."why can't I make money like everyone else?" Well, it's
OK..... You're not alone.
I am saying all of this NOT from a frustrated, "given up on systems" point
of view, but from someone who has been through this rough endless road and
is finally happy after settling on a different method.
Glenn, let me know how you make out.
Good Luck -
Tom Cathey
(private trader )
----------
> From: Glenn Schultz <glens@xxxxxxxxxxxxx>
> To: Omega List <omega-list@xxxxxxxxxx>
> Subject: Unidentified subject!
> Date: Thursday, March 12, 1998 5:59 PM
>
> I am a discretionary trader. For the past year I have been looking into
> system trading and to date have been unable to create a system that can
> outperform my historical record. I addition, I have a friend that traded
> like I do and he went to system trading and lost his butt.
>
> In my opinion the evidence is beginning to stack up against system
trading.
> Has anyone out there switched to system trading and found their
performance
> improve. All I can say is that I am glad I looked into this system
trading
> stuff before I put my capital behind it.
>
> Reaching the point of frustration and exhaustion with system trading
> Glenn
>
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