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In a message dated 12/6/98 12:11:08 PM US Mountain Standard Time,
CRLeBeau@xxxxxxx writes:
<< It is not fair to test TD indicators (or any other indicators) as systems
unless they were promoted as such. I'm glad Tom stuck around and survived
his
baptism on the list. I look forward to his sharing more information about
his
indicators and the problems they might be applied to as well as anything else
he might care to comment about. >>
I would be interested if Tom has tested any of his indicators "as a system" or
"part of a system" as an entry alone without a specific exit system as Chuck
demonstrates in his excellent analysis of proper system testing. I think I
got the idea from Chuck to test entry systems by using a fixed number of bars
as an exit to enable proper statistical comparison between entries. i.e on
daily bars I may use "if BarsSinceEntry = 3 then ExitLong at market; or if
intraday bars ""if BarsSinceEntry = 40 then ExitLong at market". I test all
entries against several bar lengths. I have discovered that the best entries
preform best at all # of bars. i.e. if it is the best intraday entry at 40
five minute bars it is also the best at 80, 120, etc.
I tested several of TDs indicators as described above when his first book came
out. This was during my initiation to EL programming so it is possible I did
a poor job testing. However, with that caveat, I did not get excited about
any indicator at that time. Perhaps I was just to green at the time; but I
concluded that I it was best to seek my entries elsewhere. I have not tested
any of his work since.
I am impressed by TD's accomplishments and would be eager to see if Tom could
provide us with his % win rate for entries on his indicators converted to
systems when based on a specific number of bars for exit in specific markets.
Van Tharp in his latest book says any entry that has less than a 55% win rate
is merely random. (Please don't make posts stating % wins don't determine
success....I know that! However, % wins is the one of the best statistics to
compare entries when using fixed # of bars for exit prior to changing the exit
to the exit you actually use for trades). BTW, I have developed entries that
exceed 80% win rates at various number of bar exits. However, I have found it
extremely difficult to find any "single entry" that gives enough trades to
satisfy me. Therefore, I need to find multiple entries and all help is
appreciated.
I believe that exits are more important than entries but one never has enough
high preforming entries! Testing exits only like testing entries only will be
my next discussion.
This will be my only post on this subject because I am in the middle of a move
and my time is limited. I will check for responses to this post.
Thanks Tom. Best of luck to you and your critics. I even enjoy your critics'
posts...as long as they have substance.
Russ
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