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A few days ago there was some discussion about the "Pi" trading
system from http://www.tradingsystems.freeserve.co.uk/. The general
consensus at that time was that, since it was based on P&F charts,
and TS doesn't handle backtests on P&F charts properly, it was almost
certainly bogus.
Yesterday I saw that the Pi vendor was offering a free trial copy of
his system, so I got a copy. I thought you all might be interested
in the results.
I applied it to a 0.25x3 P&F chart, so as to get lots of trades in a
short time. If you apply it to SP9U for today, you'll find that from
10:02 to the close, the system cleared a cool $1980 in profit.
Yahoo! Looks like we have a money machine, right?
However: I started running the system on SP9U in **REALTIME** this
morning at 10:02. And guess what? The trades that the system called
in real time, as you would have traded them, ***LOST*** $2920 for the
day.
So if you look at backtest results of this system, it might look
fabulous. But if you try to trade it, you will lose your shirt. And
when you turn off your PC and start it up again the next morning,
you'll see that it reports entirely different trades than it did when
you were trading it.
I've appended the trade-by-trade logs from 10:02 onward. You'll see
that the 10:02 trade shows the same entry price in the realtime log
(pi-rt.txt) and in the backtest log (pi-bt.txt), because I started
the system *after* that 10:02 entry. After that the realtime and
backtest results are totally different.
I've gotta think the guy marketing this thing doesn't have a clue
that his system is bogus, or else he would never offer a free trial.
Anybody who runs the thing will immediately see it's worthless. You
have to wonder why **HE** never ran it. He's either too naive to
test his own systems in realtime, or he figures other people are too
stupid to do so.
Gary
Pi System Trial P&F DSP9U-(0.25x3) 06/02/99 - 08/04/99
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
08/04/99 10:02am Sell 1 1330.00
**** STARTED RUNNING IN REALTIME **AFTER** THIS 10:02 ENTRY
08/04/99 10:44am SExit 1 1334.30 $ -1205.00 $ 63847.50
08/04/99 10:44am Buy 1 1334.30
08/04/99 11:04am LExit 1 1334.00 $ -205.00 $ 63642.50
08/04/99 11:04am Sell 1 1334.00
08/04/99 1:09pm SExit 1 1329.30 $ 1045.00 $ 64687.50
08/04/99 1:09pm Buy 1 1329.30
08/04/99 1:20pm LExit 1 1328.00 $ -455.00 $ 64232.50
08/04/99 1:20pm Sell 1 1328.00
08/04/99 1:47pm SExit 1 1328.50 $ -255.00 $ 63977.50
08/04/99 1:47pm Buy 1 1328.50
08/04/99 1:47pm LExit 1 1327.70 $ -330.00 $ 63647.50
08/04/99 1:47pm Sell 1 1327.70
08/04/99 2:19pm SExit 1 1323.30 $ 970.00 $ 64617.50
08/04/99 2:19pm Buy 1 1323.30
08/04/99 2:49pm LExit 1 1324.00 $ 45.00 $ 64662.50
08/04/99 2:49pm Sell 1 1324.00
08/04/99 3:20pm SExit 1 1317.00 $ 1620.00 $ 66282.50
08/04/99 3:20pm Buy 1 1317.00
08/04/99 3:24pm LExit 1 1315.00 $ -630.00 $ 65652.50
08/04/99 3:24pm Sell 1 1315.00
08/04/99 3:32pm SExit 1 1317.00 $ -630.00 $ 65022.50
08/04/99 3:32pm Buy 1 1317.00
08/04/99 3:38pm LExit 1 1314.00 $ -880.00 $ 64142.50
08/04/99 3:38pm Sell 1 1314.00
08/04/99 3:49pm SExit 1 1316.00 $ -630.00 $ 63512.50
08/04/99 3:49pm Buy 1 1316.00
08/04/99 3:58pm LExit 1 1310.00 $ -1630.00 $ 61882.50
08/04/99 3:58pm Sell 1 1310.00
Pi System Trial P&F DSP9U-(0.25x3) 06/03/99 - 08/04/99
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
08/04/99 10:02am Sell 1 1330.00
08/04/99 10:46am SExit 1 1333.75 $ -1067.50 $ 61490.00
08/04/99 10:46am Buy 1 1333.75
08/04/99 11:12am LExit 1 1334.50 $ 57.50 $ 61547.50
08/04/99 11:12am Sell 1 1334.50
08/04/99 1:12pm SExit 1 1328.75 $ 1307.50 $ 62855.00
08/04/99 1:12pm Buy 1 1328.75
08/04/99 1:21pm LExit 1 1328.75 $ -130.00 $ 62725.00
08/04/99 1:21pm Sell 1 1328.75
08/04/99 1:47pm SExit 1 1328.00 $ 57.50 $ 62782.50
08/04/99 1:47pm Buy 1 1328.00
08/04/99 1:49pm LExit 1 1328.25 $ -67.50 $ 62715.00
08/04/99 1:49pm Sell 1 1328.25
08/04/99 2:20pm SExit 1 1322.75 $ 1245.00 $ 63960.00
08/04/99 2:20pm Buy 1 1322.75
08/04/99 2:53pm LExit 1 1324.50 $ 307.50 $ 64267.50
08/04/99 2:53pm Sell 1 1324.50
08/04/99 3:20pm SExit 1 1316.25 $ 1932.50 $ 66200.00
08/04/99 3:20pm Buy 1 1316.25
08/04/99 3:25pm LExit 1 1315.75 $ -255.00 $ 65945.00
08/04/99 3:25pm Sell 1 1315.75
08/04/99 3:32pm SExit 1 1316.25 $ -255.00 $ 65690.00
08/04/99 3:32pm Buy 1 1316.25
08/04/99 3:38pm LExit 1 1314.75 $ -505.00 $ 65185.00
08/04/99 3:38pm Sell 1 1314.75
08/04/99 3:49pm SExit 1 1315.25 $ -255.00 $ 64930.00
08/04/99 3:49pm Buy 1 1315.25
08/04/99 3:58pm LExit 1 1310.75 $ -1255.00 $ 63675.00
08/04/99 3:58pm Sell 1 1310.75
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