|
PureBytes Links
Trading Reference Links
|
> Throw out whatever displeases you, but until you look at the
> distribution functions of what concerns you, you won't have a clue
> as to what you are analyzing.
You're the stat expert, Robin, and I don't claim to be. I have no
idea how you would analyze the data to see if the results are valid.
Why don't you take a look at the markets in question and see if they
really do, on a consistent basis (especially when viewed as an
aggregate), perform the way I said they do? Do they in fact have
occasional large breakouts that can be profitably traded with a
system like Aberration?
Do you think ANY trend-following model can work? For example the
Turtles system supposedly takes many small losses, but relies on the
occasional "home run" to keep it securely profitable. Would you
discard the Turtle model because it depends on those outlier trades?
(It might not be a picnic to trade, but when traded well with good
money management, it HAS demonstrated a pretty good track record, no?)
> Let's throw some science at the problem, before you adjust your travel
> plans, Gary.
Terrific. I'd love to hear what you find.
Personally I have no interest in trading Aberration, and I agree with
some other posters that there was an element of luck in Mark's track
record. Aberration, even with the basket he chose, suffers some
nasty drawdowns. If you happen to start trading at the start of one
of those drawdowns, you're going to be one unhappy camper. Hopefully
you would have done your homework and capitalized your account
sufficiently to withstand the kinds of drawdowns demonstrated by the
system in the past, but it still wouldn't be fun.
But I still have the (somewhat uninformed) opinion that Aberration is
not as bad as some have said. I have a good friend who is an IC
process engineer at Hewlett Packard. He has a deep stat background.
He also does extensive research in trading, especially trend-
following models, and has been doing it for over 15 years. He's an
analysis freak and dissects everything to the Nth degree. He
recently put Aberration through the wringer, and determined it beat
nearly every trend-following method he had been working with. On a
risk-adjusted basis it was better than almost anything he could come
up with. (In my opinion that proves he's looking at a too-limited
universe of trading models, but that's just MHO.) For now he's
decided to put some money into a managed account based on the MLM
index, which doesn't have quite as high a return/risk factor but
which has much lower transaction costs, and is just simpler to
manage. But he still is impressed with Aberration, and I have quite
a bit of respect for his opinion. He is **NOT** easily impressed.
I haven't done the analysis myself. I have neither the background
for it nor the interest in Aberration to justify the effort. I rely
on the opinions of others I trust for that. The fact that you and
Mark B. express such serious doubts makes me cautious, but the fact
that my friend is impressed by Aberration makes me reluctant to
discard it out of hand. Your mileage may vary.
Gary
|