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:Can you build a system that will trade all
:markets? yes. Would I want to trade one like that? no. So what is the
:validity of a system if it can not trade all markets? Well, it no one
:system should be required to trade all markets profitably, no more than one
:shoe should fit all feet. Can you make a shoe fit all feet? yes. Would I
:want to wear the thing? no.
:If trend trading is so great then why does
:every trend trader trade a basket of commodities rather than a single
:commodity? I tell you why, its like betting on every table in Vegas or
:betting at only one table. Its a game of chance that something will hit,
I
:personally would rather concentrate on 1 (commodities) good hand of poker
:than to be rolling dice at 28 different (commodities) tables.
:Many systems look
:great with small data samples, but very few withstand the crushing rigors
of
:massive testing! Wiggles give many more opportunities to make money and
to
:gain a "consistency of trading" that markets true personality, whereas
trend
:following doesn't capture a particular markets behavior.
I have to agree with Mark on this one...as it matches my own views. ;-)
The more data you have, the better...if you can get a handle on this 13,000
bars limitation in TS 4.0.
To keep busy while I was waiting for the markets to open this morning, I
decided to play with Aberration on the S&P. To make the results as realistic
as possible, I used 2 continuous futures contract, 1 back adjusted and one
without any kind of adjustment at all. Data going all the way back to March
of 1992. Before 11/01/97, Big Point Value was $500 per contract. After,
$250. I used $20 as commision and 1 point as slippage.
On a Daily chart, I optimize the length from 2 to 200 with the best fit
found to be 87. It made $31,470 on the back adjusted contract and $113,780
on the non back adjusted (the disparity can be explain in that I haven't
made the adjust for rollovers yet.) It suffered a $53,850 Max DD for the
adjusted and $192,750 for the non adjusted. Profit factor was 1.28 for the
adjusted and 1.34 for the non adjusted. Using Bob Fulks' ELA for the sharpe
ratio, aberration has a 0.17 for the adjusted contract and .21 for the non
adjusted.
For intraday trading, I decided to split up the data. My test data was from
March 2, 1992 til March 2, 1996. With my out of sample testing data, I used
March2, 1996 until May 19,1999. Also, this way I can get aroud the 13,000
bars limitation in TS.
First I tried 60 minute data. No matter parameter I tried to optimize it
for, I found that it was unprofitable. Then I tried 45 min bars. Same
thing. Unprofitable from 2 to 200. 90 min bars. It was profitable on the out
of sample test but unprofitable on the test data (I switch because of
frustration).
The only thing I can conclude is that this system being sold for $1800 is a
curvefitted piece of shit. Trade it at your own risk.
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