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Most of these sytems are designed in hindsite. A broker will hire someone to
write a system that fits the data. Please inform the NFA about your
experience. And contact the system developer.
He is in the Florida Keys running around after fish.
-----Original Message-----
From: David Olson <trader7@xxxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Friday, July 31, 1998 6:19 PM
Subject: Re: Weintraub on Backtesting Questions
>The story was that the system developer created this system and even
>submitted it to Futures Truth for verification. He had Robbins
mechanically
>trading the system. Supposedly Robbins noticed how well it was doing and
>asked him to open the system to outside accounts. Robbins trades the
>system, they get trading commissions and a management fee. The system
>developer gets a monthly fee. I had no trouble with the fees if the system
>had made the money it had made in the literature. Robbins showed a two and
>a half year real time track record. I thought I had done my homework. I
>have no reason to believe that all this was not true but the system sure
>took a dive the second I got it. It was almost funny, a joke, and yes, the
>money was "family" money ($50,000). I got an email statement of account
>each evening. Every time I saw the words "S&P" I knew I was in for another
>loss. It had about 75% losing trades during the time I was in.
>
>I assume all material I received regarding the system was truthful. There
>are lessons here. Don't do something like this with anything but
>speculative money (which this was). All systems can crack or at least
>exceed their historical drawdown no matter how carefully tested. Maybe the
>real lesson is that you have to sit through the drawdowns. Who knows, the
>system may have made a million since I bailed out.
>
>The remaining money is being managed in another "high return" system not
>trading futures but Rydex funds. They jury is still out with them.
>See....we never learn.
>
>Dave
>
>-----Original Message-----
>From: Trader J <editorial@xxxxxxxxxxxxx>
>To: Neal T. Weintraub <thevindicator@xxxxxxxxxxx>; David Olson
><trader7@xxxxxxxxxxxxx>
>Cc: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
>Date: Friday, July 31, 1998 8:02 AM
>Subject: Re: Weintraub on Backtesting Questions
>
>
>>How could it happen? Let me count the ways:
>>
>>- Poor system back testing methodology and/or
>>- Not a purely mechanical system (any trader discretion here?) and/or
>>- Not all trades taken (inadequate
>>capitalization/diversification/discipline) and/or
>>- Inadequate time of use of system (3 months in this case, very common
>>problem) and/or
>>- Poor match between system risk and trader personality and/or
>>- Poorly designed system (how many parameters? who set them?) and/or...
>>
>>
>>I'm a singin' the "System Trader Blues....."
>>
>>
>>Trader J
>
>
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