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> Based on this, I took the numbers from the recent
> article in Futures
> Magazine about top 10 trading systems (thanks Mr.
> Simms), put them into an
> Excel spreadsheet, and charted all the systems based
> on the above 2 numbers
> (attached, the green line is the breakeven
> borderline). Talking about the
Neat plot Ivo.
> "Holy Grail" trading systems, most of the systems
> based on these numbers
> clearly do not qualify into this category.
> Moreover, even the systems that
> look really good obviously performed so well only
> due to some very nice
> bull-markets.
Ahh. This is an interesting point. Expanding upon it
a bit, I also wonder how many systems were not
included because they weren't good enough, etc. Not
having read the article, I feel I am probably wasting
bandwidth here, but the criteria for selecting these
system becomes important. I indeed venture to ask
what would have happened if we had 10,000 monkeys
trade 10,000 different accounts. Then picked the top
100 monkeys and sent their audited results to future
magazine (not telling them who these furry traders
really are). How differently would that chart have
looked? (Yes I know I could be talking about Bayesian
statistics here but I much prefer monkeys since even I
understand them.)
The only holy grails I know for sure exist are 1)
insider trading which I've seen on options charts and
2) profitable accounts. The latter is where brokers'
employees duplicate the trades of the most profitable
accounts. (Or in some cases, do the opposite of
consistent losers.) Since these guys can
simultaneously trade 100s of accounts and their equity
curve is as flat as a ruler.
The Pretty Good Oscillator system is supposed to be
good. A profit factor>=2 is what I've heard is a
lower cutoff of a good system. You're threshold of
0.7*3.5=2.45 is nice too. I agree that many of those
systems would die in this market which does not have
as high a novice/pro volume ratio to be that
inefficient anymore. Here is where testing with older
pre-bubble data may provide insight.
Looking forward to read responses from those who
actually MAKE money ...
Jack
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