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Dear Mark,
We all know that the perfect system does not exist. and so we all should be
sceptical.
I am not selling this system and hence don't need to make it better or worse
than it is.
Maybe I state the obvious:
The system switches quickly and that is the reason you might see a large
number of consequtive loosing trades. The amount of money lost in that
period however is limited.
I know of all these statistics but take a look at going month-by month.
Should I not be more interested in stability of a system over time or should
I apply a system that has one or 2 great months in a year but does pretty
badly the rest of the year.
Indeed some sort of "volatility" filter might work where you simply don't
trade when the market is "going nowhere".
I do that by trading less as the system draws down and trading more when it
moves up.
You trade this by starting with 1 NQ, just since you might start of in a bad
month (of which there were very few). Just increase your position with money
made in the market.
Going month to month or even week to week you just get good result and you
can't argue that $180 commission is for real.
If I would sell the system I would not put in the commission/slippage.
ND $0 night: prof.factor 1.90 sharpe 3.81 K-ratio 4.23 RINA 417 <= this
would be "advertised"
ND $180 night: prof.factor 1.67 sharpe 2.71 K-ratio 3.59 RINA 268
Anyway the idea is not to brag on my system but to see if we can setup some
"sharing" issues.
As you know not many systems get shared, but if you get something for giving
something maybe some of us can set up group where we are completely open
about our results.
It is simply too much work to just give it away to "the whole world".
Also that way other people can apply technics and we could maybe improve
each others systems (some have a mathmatical approach other are just more
pragmatic).
Thanks for the reply,
Robert
===============================
Robert Linders
Orlando, FL
email: mugsnug@xxxxxxxxx
===============================
----- Original Message -----
From: "Mark Brown" <markbrown@xxxxxxxxxxxxx>
To: "Robert Linders" <mugsnug@xxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Wednesday, November 28, 2001 12:04 PM
Subject: Re: Will "trade" my great tradingsystem
>
> Hello Robert,
>
> ps you don't ever have a great system till the profit factor nears 2.0
> or better ok? just so you know.
>
> RL> Profit Factor1.67
>
>
> --
>
> Have a Great Day, Mark
>
> http://www.markbrown.com
>
>
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