Re: testing entries for a trend following system

[editorial@xxxxxxxxxxxxx]

Now you understand why Chuck emphasizes exits!  :-)

I respect Chuck LeBeau greatly as a vendor.  He is as honest as they come.  But I have a beef with his form of "entry testing" - using random exits to test entry viability.  I believe that this form of testing, by its construction, favors reliability (percentage of profitable trades) over pure profitability.  In this sense, he's "taking his eye off the ball".  The game is not:  "be right".  The game is:  "make money".

To me, there is no such thing as an entry divorced from an exit.  One's approach to system development must be holistic - it must begin with a concept of how markets work and derive *both* entries and exits from that concept.  

In a nutshell then, I believe that your results are consistent with your testing method and that you will arrive at the incorrect conclusion that incorrect testing demands:  that the only thing affecting your system results is your exits.


The Omega Man


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Tim wrote:

I was wondering if some of the more experienced system designers might be able to share some of their experience with a novice.

I have been testing some entries for a trend following system that I have been working on. I have been using the testing method that is described in
the Chuck LeBeau book. That is simply exiting the market after 5, 10, 15, 20 days.

I have been using 5 years of data, daily bars, across 6 markets (Oil,Gold,eurodollars,Yen,T-Bonds,Wheat) using a large number of different entries.

What I have found is that most of then come out with % profitable of Between 56-59%. This figure represents the average % profitable for all of the markets for all of the time frames(average of 6 mkts * 4 times frames = 24 results per entry). I have been getting 5-15% variation between markets and time frames for each entry but the average of all these is remarkably
stable.

Considering the different techniques I have been employing I have found the low variability between entry methods very interesting. Is this because I am
unintentionally testing the same idea expressed a different way or is this a common experience.

thanks in advance

regards

Tim.