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| -----Ursprungliche Nachricht-----
| Von: pierre.orphelin [SMTP:pierre.orphelin@xxxxxxxxxx]
| Gesendet am: Wednesday, September 22, 1999 11:11 AM
| An: omega-list@xxxxxxxxxx
| Betreff: Re: Neurofuzzy, ex-Trailing stops are invalid
|
<snip>
| 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.
| And again, the system that passed the test were considered as valid.
| None has of course, after, reached the 2*DD limit ( actualized to the price
| level:
| A max DD of 300 points occuring in a trading range around 1500 has not
| the same meaning when it occurs in a 500 price area and the reverse)
I meant validation occurs if return = 4* Max DD in any 200 trade period
To make things clear on my testing, I used my system after tests over 5000
trades generated in 50.000 successive bars, and over 1000 Monte Carlo runs of
20 independant parameter setups giving these series of 5000 trades.
The systems did not continuously validated my 4*DD criteria. For lack of better
I traded these nevertheless scrupulously.
In real time, Max DD was 2* tested max DD within 2 years thereafter although
original test period was 15 years.
In real time still, the 4 systems I used which had never drawn down
simultaneously in 15 years and combined 20.000 trades drew down together after
only 18 months.
Profitability in general has been in the lower 10% percentile of the Monte
Carlo spectrum results and has remained there.
My assumption was it would be 1%, so it still worked out, but I grew less than
thrilled, and eventually dumped the whole idea after three years of this, to
trade with less stress, more fun in the ways I did in my early days, less the
mistakes of then.
Oddly, I have better results with less risk and less stress.
|
| >
| > So let's start right here:
| > 1- What is your trading philosophy then?
Thanks for your other inputs,
GwennFrom ???@??? Wed Sep 22 08:59:30 1999
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From: gm@xxxxxxxxxxxxx (Gerald Marisch)
To: <ribau@xxxxxxxxxxxxx>, <omega-list@xxxxxxxxxx>
Subject: Re: How to back up data?
Date: Wed, 22 Sep 1999 10:47:54 -0500
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Status:
Have SafeSoft "drop ship" their product to you through a private Canadian
citiznen.
I'm sure you can hook up with a Canadian on this list.
-----Original Message-----
From: ribau@xxxxxxxxxxxxx <ribau@xxxxxxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: September 22, 1999 10:38
Subject: Re: How to back up data?
>SafeSoft can be reached at 204-669-463, they are in Canada. I love it and
>have used it since TS4 was released. It works perfectly with all TS4
>upgrades including TS4b23. It is especially useful if you travel with a
>notebook.
>
>The program reads your dongle and creates a software driver that is loaded
>by system.ini when Windows boots. You can then put your dongle safely in a
>drawer where it belongs. It is definitely a must have product because, as
>you know, the dongle is a real nuisance.
>
>Unfortunately, I've heard that SafeSoft is no longer available in the US,
>something about being blocked by a paranoid company that thinks the whole
>world wants to rip off their software. That company recently solved their
>paranoia problem by making an upgrade that doesn't need a dongle because it
>doesn't work as advertised.
>
>>>I am considering purchasing the safesoft product. How do you like it?
Does it
>>>work with ts4b23? How does it work? I am curious to hear your thoughts.
>
|