|
PureBytes Links
Trading Reference Links
|
very funny response - I guess it wasn't your money..................
----------
> From: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>
> To: David Olson <trader7@xxxxxxxxxxxxx>
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: Weintraub on Backtesting Questions
> Date: 31 July 1998 15:56
>
> David, how could that happen. These systems were backtested on trade
station
> What happened? Who wrote the system. Was it the same guy wrote the "Birth
of
> the Blues."
> -----Original Message-----
> From: David Olson <trader7@xxxxxxxxxxxxx>
> To: xet73@xxxxxxxxxxxxxx <xet73@xxxxxxxxxxxxxx>; Neal T. Weintraub
> <thevindicator@xxxxxxxxxxx>; Steven Buss <sbuss@xxxxxxxxxxx>
> Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> Date: Thursday, July 30, 1998 9:29 PM
> Subject: Re: Weintraub on Backtesting Questions
>
>
> I got into one of Robbins systems and lost over 50% in three months
before I
> bailed. Last time I do that.
>
> Dave
> -----Original Message-----
> From: Peter Kiefer <xet73@xxxxxxxxxxxxxx>
> To: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>; Steven Buss
> <sbuss@xxxxxxxxxxx>
> Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> Date: Wednesday, July 29, 1998 10:16 AM
> Subject: Re: Weintraub on Backtesting Questions
>
>
> >You can't be serious Allaron and Robbins are THE Worst .
> >
> >----------
> >> From: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>
> >> To: Steven Buss <sbuss@xxxxxxxxxxx>
> >> Cc: omega-list@xxxxxxxxxx
> >> Subject: Re: Weintraub on Backtesting Questions
> >> Date: 29 July 1998 17:26
> >>
> >> Steven, I did not know that I had to prepare an academic report. this
is
> >> merely my opinion from knowing hundreds of trading and lecturing
around
> >the
> >> country for Omega and BMI. When I speak at Futures West, and Trading
> >> Technology seminar is New York I will be more accurate. Perhaps, you
can
> >> give me a list of questions or should I ask them about their
experiences
> >> with such brokerage firms like Allaron and Robbins that market systems
> >>
> >>
> >> -----Original Message-----
> >> From: Steven Buss <sbuss@xxxxxxxxxxx>
> >> To: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>
> >> Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> >> Date: Tuesday, July 28, 1998 9:12 AM
> >> Subject: Re: Weintraub on Backtesting Questions
> >>
> >>
> >> Comments inserted below.
> >>
> >> -----Original Message-----
> >> From: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>
> >> To: Steven Buss <sbuss@xxxxxxxxxxx>
> >> Date: Tuesday, July 28, 1998 7:47 AM
> >> Subject: Re: Weintraub on Backtesting Questions
> >>
> >>
> >> >Steve
> >> >I will give Grant a call this evening and talk about this.
> >>
> >>
> >> I'd love to hear more about what Grant says about preparing seriously
to
> >> trade the markets.
> >>
> >> >Back testing for futures is interesting and academic and may give you
an
> >> >indication but that is about it. It is not the Holy Grail.
> >>
> >>
> >> An "indication" of what?
> >>
> >> So, your knowledge that backtesting provides interesting results that
> >> provide little value other than academic knowledge is based on
what....?
> >> I'm looking for phrases like, "take a look at this book..." or "you
know
> >S&C
> >> published this article not long ago..."
> >>
> >> I'd even settle for a "You know, I have access to a proprietary study
> >done
> >> by xyz trading company and they found...."
> >>
> >> No one on this list has used the word "Holy Grail" to describe the
value
> >of
> >> backtesting that I know of so I don't know whose view you are arguing
> >> against here.
> >>
> >> >Back testing is like predicting the weather based on every July 29th
for
> >> the
> >> >past twenty years.
> >>
> >> And, your knowledge that backtesting provides as little predictive
value
> >of
> >> the worth of a trading system as a prediction of the "weather on every
> >July
> >> 29th for the past twenty years" is based on what?
> >>
> >> >I spent six months doing consulting for Omega. I was in every nook.
> >>
> >> And, the "six months doing consulting for Omega" and the fact that you
> >were
> >> "in every nook" (whatever that means) provided you with what specific
> >> information that has relevance to the issue of whether backtesting
> >provides
> >> value?
> >>
> >> > Let
> >> >Omega trade a system
> >>
> >> And, whether or not "Omega" could trade a system has what specific
> >relevance
> >> to the issue of whether backtesting provides value or not?
> >>
> >> > After all even Boeing tests its own aircraft.
> >>
> >> And, whether or not Boeing tests its own aircraft has what specific
> >> relevance to the issue of whether backtesting provides value or not?
> >>
> >> >the
> >> >market will do what ever it takes to fool the most number of people.
> >With
> >> >all these back testers why are most people net losers?
> >>
> >>
> >> So, what specific knowledge do you have about the relationship of the
> >number
> >> of folks who have done serious trading system backtesting to the
number
> >of
> >> people who are net losers?
> >>
> >> >I know let,s back test that too!
> >>
> >>
> >> By positioning yourself as a kind of "expert" on the markets (I'd be
> >happy
> >> to expound on the ways that you've done that if you like) it seems to
me
> >> that you'd want to substantiate the opinions that will appear in your
> >book
> >> and that you publish to the list or to its ftp site.
> >>
> >> IMO, the attempt at levity here does nothing to negate the fact that
your
> >> note doesn't substantiate your view that backtesting provides little
> >value.
> >>
> >> I know that there are alot of folks who are members of this list
> >(including
> >> myself) who are sincerely and extremely interested in the backtesting
> >value
> >> question. If I may be so bold as to speak for some of these folks for
a
> >> moment, we just want to know whether there is substance to your views
on
> >> backtesting or whether you're just being chatty when you express them.
> >>
> >> Steven Buss
> >> Who only wishes he had more expertise in backtesting trading systems
> >>
> >> >-----Original Message-----
> >> >From: Steven Buss <sbuss@xxxxxxxxxxx>
> >> >To: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>
> >> >Cc: Omega List <Omega-list@xxxxxxxxxx>
> >> >Date: Tuesday, July 28, 1998 5:10 AM
> >> >Subject: Weintraub on Backtesting Questions
> >> >
> >> >
> >> >Neil,
> >> >
> >> >I'm trying to figure out what it is that you're saying about
> >backtesting.
> >> >In your interview with Grant Noble, he says on p. 6.
> >> >
> >> >"...You can have a good system but you don't trust it enough to
follow
> >> every
> >> >signal. To get a system, you can trust and use, you must know its
> >> parameters
> >> >and strengths/weaknesses. In other words, you never are going to
> >purchase a
> >> >"system" whose results year and year out are better than the average
> >trend
> >> >following system. So you might as well design your own and stop
> >frustrating
> >> >yourself."
> >> >
> >> >And then you say:
> >> >
> >> >"Well, the people advertising trading systems won't like to hear
this.
> >And
> >> >neither will people promoting back testing software packages."
> >> >
> >> >Question:
> >> >
> >> >What SPECIFICALLY is it that you believe Grant Noble said that back
> >testing
> >> >software package vendors won't want to hear? I would think that it
is
> >> >precisely system backtesting that would help to secure Mr. Noble's
> >> suggested
> >> >goal of "knowing...[a system's]...parameters and
strengths/weakneses."
> >I
> >> >don't see anything that he said that would justify the last statement
> >that
> >> >you made. Your statement could imply that you believe software that
may
> >be
> >> >used for backtesting, like TS, is no more valuable than some "trading
> >> >system" software that can be purchased. Is this what you mean to
imply?
> >> Do
> >> >you believe that backtesting a trading system doesn't provide value?
> >> >
> >> >On the following page the exchange goes like this:
> >> >
> >> >Grant: "The best advice is to read everything you can and practice
> >before
> >> >you trade real money. "It's amazing how people will spend years of
study
> >> and
> >> >thousands of dollars to become a lawyer or a doctor, but somehow they
> >think
> >> >they can enter the high income profession of futures trader without
> >doing a
> >> >bit or preparation…Again and again I have seen public traders lose
tens
> >of
> >> >thousands of dollars and be none the wiser after all their time and
> >money.
> >> >They should have put that lost 10,000 into buying every futures book
> >they
> >> >could find. All that time watching prices could have poured into a
> >> >self-directed 'college course' learning about the market. "(Pg.46,
"The
> >> >Traders Edge"). Nothing is going to work until you have confidence
it
> >is
> >> >going to work and that takes time."
> >> >Neil: "So buying a piece of software won't cut it."
> >> >Grant: "Right."
> >> >
> >> >Now again, your position, and Mr. Noble's, vis-a-vis trading system
> >> >backtesting is unclear. I would think that backtesting is a terrific
> >means
> >> >of securing the objective Mr. Noble advocates of having confidence in
a
> >> >trading system. But Mr. Noble just advocates "practice." Does
> >"practice"
> >> >mean "paper trading"? I'm not clear that it could mean anything else
> >> >because when you state that buying software won't help (including
> >> >backtesting software like TS) Mr. Noble says "Right."
> >> >
> >> >I believe that if you explained your views on system backtesting
clearly
> >> and
> >> >in detail to the list you'd get alot of feedback, which is, I assume,
> >your
> >> >purpose in posting the interview to the Omega list FTP site.
> >> >
> >> >If, in fact, you don't believe backtesting a system, using software
like
> >> TS,
> >> >provides value, it would be helpful if you could point to your own
> >> >experience with backtesting systems that led you to such a view or to
> >other
> >> >materials upon which your view is based.
> >> >
> >> >Steven Buss
> >> >Walnut Creek, CA
> >> >sbuss@xxxxxxxxxxx
> >> >"There's nothing more practical than good theory."
> >> >
> >> >
> >>
> >
> >
>
|