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Bob what an excellent post if you don't mine I'm going to save it. I will
use it for all the times I needed to say what you have so eloquently stated
here about system buying. Of course your name will always be listed as the
author.
Robert
At 07:58 PM 9/23/98 -0400, Bob Fulks wrote:
>You seem to have hit a nerve with your post. I generally agree with the
>responses so far and will try to address topics not covered by the other
>responses.
>
>When I first saw the post I deleted it, basically putting it in the
>category of so many that ask, in effect, "Where can I buy a machine to
>print legal $100 bills. I am willing to pay a few thousand dollars for such
>a machine."
>
>But your follow-up message indicates that you are disappointed that no one
>could solve your problem so many people decided to post serious replies.
>
>One problem not mentioned by the others is related to the many unspecified
>characteristics of a trading system. One particular part of your
>"specification" was particularly curious:
>
>> Which systems do you think are worthwhile to purchase and, more
>> importantly, to follow blindly for about three years?
>
>Below is a list of questions I usually ask someone who asks me this kind of
>question:
>
> > Effort Required - Do you want to sit in front of the computer
> full time and make trades, do you want to give the system to
> your broker to takes all signals blindly, or is this a side
> activity such that you need to look at data after work or on
> weekends?
>
> > Holding Period - Do you want to hold a trade for minutes,
> hours, days, or months?
>
> > Markets - What markets do you want to trade and how many at
> a time?
>
> > Capital - How much capital do you have to put into a trading
> account and is it your kid's tuition next year or can you
> really afford to lose it?
>
> > Psychological Factors - Do you need a high percentage of
> small profits, or would you sit through a high percentage
> of losses waiting for the big win?
>
> > Black or White Box - Would you be happy with a closed system
> (Black Box) or do you want to know what is inside it (White Box)
> so that you might modify it when (not if) it stops working.
> If you want to modify it, do you understand how to write program?
>
> > Data - What kind of data to you use, end-of-day, intraday
> delayed, or intraday real-time? How reliable is it? If there
> is a bad tick that causes a bad trade signal, will you recognize
> it or will you take the faulty signal?
>
> > Special Cases - Trading systems can only handle "expected
> situations" that they were programmed to handle. Does it need
> to be "idiot-proof" and get you out of any adverse situation
> or will you recognize that something isn't working right and
> stop trading until "normalcy" returns.
>
> > Support - How much hand-holding will you need while trading
> the system? What is your risk tolerance?
>
>As you can see there are a lot of factors so that a system that is good for
>one person will most likely not be good for many others.
>
>>
>>I received many messages saying that such a system does not
>>exist.
>>
>
>I can assure you that great systems exist and are traded by many on this
>list but they are not for sale for lots of good reasons.
>
> > They are worth much more than anyone will pay for them. If they
> can really make money they are almost priceless.
>
> > If many people use the same system, it will stop working. Systems
> usually depend upon some repeatable characteristic of a market.
> If everybody knows about the characteristic, it gets "arbitraged
> away".
>
> > If you let a system out of your private control, it will eventually
> "leak out" to the world and be used (or sold) by others.
>
> > The legal problems of selling systems are such that even if your
> system works, you can expect to spend lots of time defending
> yourself from the bureaucracy.
>
>There are also "decent" systems for sale. They can have a positive expected
>return but they often have extended periods of drawdowns or are not
>"robust", meaning they may stop working at any time or require reoptimizing
>to be tuned to the market frequently.
>
>But I would agree with your quote from Ralph Vince that "systems, like
>market ideas, are 99.73% junk".
>
>The audience is cynical because most of us have bought a lot of this junk,
>spending thousands of dollars and causing us to loose thousands more in
>bad trades.
>
>Bob Fulks
>
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