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At 08:17 PM 3/26/98, Jim wrote wrote:
>I am a fulltime stock index futures trader, and have been for four years.
>backtesting beyond the past few months is a complete waste of time. What
happened in >1982, 1987, 1992, 1995, or 1997 has absolutely no bearing on
how the stock index futures >trade today.
If what you are trying to say relates strictly about daytrading the stock
futures, you might be right, because the stock futures do seem change much
more significantly on intraday patterns.
I beg to differ though with the general statement that backtesting beyond
the past few months "is a complete waste of time".
If you learn something about the market, or about a particular method of
trading it, or about what works now but didn't work back then, or why a
method worked then and not now, if any of that can be gleaned from historic
backtesting, then to me it's not 'a complete waste of time' at all. It's all
part of the learning process.
I know of stock futures systems that trade off daily bars that worked in
1982, 1987, 1992 and 1995 and 1997, that still work today. Haven't found a
mechanical daytrader that stands up for that long though, but it's still
very useful to find out how good or how badly a particular method or
indicator performed two years ago, and hopefully, why.
But since you've traded for the last 4 years only, and since you don't
backtest, how can you 'possibly' know that "what happened in 1982, 1987,
1992, 1995, has absolutely no bearing on how the stock index futures trade
today"? What evidence are you relying if not personal trading experience or
historic analysis?
You also said: "A sound methodology and a fundamental understanding of the
markets
(along with practical money management principles) is the only way to
succeed in today's markets."
Agreed, it's probably always been that way, in 1982, 1987, 1992, 1995 and
1997 as well.
Isn't that the point of testing.
Michael Paauwe
mpaauwe@xxxxxxxxxx
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