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Mr. Marius... this post just shows that you are
applying the 'canned' system ballbusting backtesting
techniques without really thinking about what you are
doing.
First, I don't own aberration, I'm not involved with
the creator and I would NEVER buy a system from
someone else unless it was completely white box
(someone gave me ALL the details -code- of the
system). And I'm not saying that aberration is good
or bad because I do not own it or dealt with it at
all.
But I do no my charts... and what I want to say is
that if a system -or trading technique if you will- is
meant to identify and make profit of a chart that
looks like this:
I
I
I I
I I I
I I
(I hope it shows in your email editor)
And you throw at it a chart that looks like this:
I I
I I I I I I
I I I
Then it will not do as well because the patterns that
it was ment to find are simply not present in the
different time compression. Choosing the right time
compression should go hand in hand with your system
and should change from market to market because it
will change the type of patters that show up in your
chart. Using MB's analogy, these slippers might not
work for mountain climbing...
H
--- Gaius Marius <magnus@xxxxxxxxxxx> wrote:
> :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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