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andy abraham wrote:
>
> Has anyone tried any of Bruce Babcocks trading systems.. especially
> his volatility versions..?? thanks
I delayed answering bec. I really hadn't thoroughly studied the system
altho I bought it. (dumb?) However here's some thots on Volatility
Tamer.
I also have a couple of his written systems (Ultradirectional and
TripleTrailing something or other). These writeups (no code for most)
are only $50 or so, and probably worth it just to learn about
techniques. Ultdir. uses a DMI variant. I'm fuzzy at the moment on TT,
but I think it was a trailing stop thing based on volatility, using
fairly close stops maybe a reversal system. Mr. Babcock made no great
claims that these written systems were still profitable; they were sold
"as was" at the time they were introduced thru his "system of the month"
service in the 80's (?). Occassionally RB trading offers a package of a
number of these at a discount. I've considered getting them, assuming a
lot more education per $ than in getting one of the $2K systems
available.
Babcock had about 4 systems which were "current" and that he stated he
traded in his own accounts. His "best" system is said to be Gann Pivot
which I don't have. Volatility Tamer was perhaps a 2nd tier system but
he traded it and said it was the best suited for small accounts (15K).
In VT, Trades are preliminarily triggered based on a fairly shorterm
directional indicator and an even shorter efficiency indicator. But Vt
makes a test which is quite reasonable prior to taking a trade. It
tests recent volatility and compares that to the fixed stoploss, and
rejects the trade if this is unfavorable. I believe there's a breakeven
stop and a trailing stop for exits.
The volatility test increases the %wins to a somewhat impressive level
(60%?) for a commercial system. In fact if you are going to use fixed $
stops I think a vol. test is v. beneficial. (The inverse is to let the
vol determine your stops.)
The downside of the vol. test was that the system oftened entered trends
late. You could have a sudden move down and only when the market was
stalling did you enter. The system does not distinguish between
unidirecional volatility and v. erratic movement, at least with the
default parameters. (I think tho you might be able to adjust the vol
test and the efficiency test and change this now that I think about it -
I might have to try that). The late entries bothered me. I think I
prefer to see a signal with a volatility based stop and then compare
that to max. risk for my tiny acct. If too big look at options. If
still too big just skip it, don't get in late.
With the generic parameters it was not profitable in some of the time
segments I picked though I could fairly easily find other combo that
worked. (It includes testing routines.) That bothered me bec. Babcock
makes a big deal about "same parameters in all markets" for his
systems. In reality, it's probably not surprising that you would need a
different $stop in coffee than in corn! So I no longer view that as a
bad thing, tho it is a "degree of freedom" to pick this parameter.
I pull it out and play with it for a couple days every 6 months or so.
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