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Dear Sirs,
I hope you dont mind me interfering the battle between the 2 frogs with a
simple question....
Gwen wrote:
> > | Maybe yes, maybe no.
> > | If I succeed to build trading systems that are better than 4* DD in
> > 200 | weeks, | I'm probably not the only one. |
> >
> > 4*DD in any 200 trades, not weeks, unless it takes 200 or more weeks to
> > do 200 trades.
PO replied:
> Easier in this case...
> I have never seen, for a system that I have backtested and kept as a valid
> one, the case where the max DD was above 2 times the max DD during
> historical training or building period. I usually backtest systems on
> thousands of bars ( 50,000 at least) and this produces not only 200 trades
> but rather 2000 or 3000.
Do you talk about INTRADAY data or EOD (or both) - obviously its very easy
to get a lot of RECENT bars when you would look at 1 or 5 or so min bars.
However going to EOD, i.e. daily charts would require 200 years of data
<g>......so cant be that...... so you probably use 5min bars (or so), which would
be some 2.5 years of S&P.
Brings me back to my original question:
How valid is a test on a e.g. DAILY S&P chart since inception, i.e. back to
1982 in THESE days - most systems I have seen make more (or loose more)
in last 2-3 years than the entire period before. Is a volatility adjustement, i.e.
trade MORE ctks in old days when swings and ranges were lots smaller the
cure ? or just a workaround (tm OMGA) ?
Would it, for those reasons of changing markets, it be more recommendable
to use INTRADAY data as you can have more bars of more recent periods
than of EOD stuff (yes, I dont believe in any information of DJII chart from
1920)
rgds hans
no web site
nothing to sell
might even peek at that sirtrade.com one day
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