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Re[2]: Trading Systems



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Hello  Jon,

JW> turned out to 65 acceptable systems none of which were good all the time but
JW> all had their moments where they were very good.

then  you  really had no system at all really.  a flip of the coin has
its moments but its hardly a trading system.  so i think that you have
not yet found a good consistent definable in code method yet.

JW> The spreadsheet logic was
JW> based on the equity curve of each system and the idea was to switch to the
JW> best system when the current one was failing. I was surprised to find that
JW> that method did not work and in fact when it looked like the current system
JW> had been doing well and had just about peaked out on a relative equity
JW> curve, select the system with the worst recent performance produced better
JW> overall results. I abandoned that spreadsheet and ended up modifying it to
JW> take 9 system results day by day from tradestation and go thru time giving
JW> each of the system results a different weight and build a composite buy/sell
JW> signal.

a  composite  of  bad  systems is just that, you still have mush.  try
concentrating  long  enough on just one system until you have something
that is stand alone consistent and looks pretty good.  then build upon
that  and  make  variations of it.  do not follow the shotgun approach
unless your testing proves that's the best method (which i doubt)

JW> That work fine but again it was just another gigantic curve fitting process
JW> as it did not work well on future data. I was about to turn it into a
JW> walkforward system but TS2000i came out so I start working on putting all of
JW> my spreadsheet logic into TS2000i since the memory constraints were gone.
JW> But I ran into trouble moving forward and backward in time with easylanguage
JW> because I use xaverage and it relies on an accumulation of prior bars.

walking  forward  with  mush  boy  oh  boy  does  anyone remember
alon shadammie the walk forward king?

JW> That's why I now use Winbatch.

yes  now you have taken curve fitting to new heights, at least it will
now  be  faster  to  discover  you still do not have one good singular
system.   at  best  you  will  be  able  to assemble a arsenal of over
optimized  baskets  of bad systems which perform in history in concert
as  you  wish.   however  they  will be totally random in their future
outcome and  you will never find the confidence you need to trade them
with conviction.

JW> This thread has been very informative about what seems to be some kind of
JW> "footprint" which can be used to describe what could be called the current
JW> environment. And the concept and being able to identify a changing footprint
JW> is also very good. But I don't know how to do it. Hearing other people talk
JW> about implying that it works and is possible helps me to keep on searching.

either  you  have the desire or you don't - it's not a temporary flame
of  desire  with many of us.  if it's not that way to you then find in
life what does fuel your flame.  maybe trading isn't you bag.

JW> Sometimes I think that this mechanical trading stuff is impossible but I
JW> continue to try because I am lazy and somehow I think that I can create a
JW> system that will work now and in the future so that I can stop this search
JW> and let the computer tell me when to buy and sell so that I can have a life
JW> or something.

it  is impossible, however impossibilities are becoming possible every
day in every field.  trading is no different.

--

Have a Great Day, Mark

http://www.markbrown.com