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Dear Viper,
your wrote:
>
> I have been watching this string attacking Mark and his free
> Oddball system
> that he provided to all of you. Once again, it's the same old babble back
> and forth - from people who spend their time typing these emails
> attacks and
> don't really trade in the first place, they just play with computers.
I do not recall any attacks on Mark or his system recently. I have observed
some questions on robustness. Perhaps you have something else in mind that
you could point to specifically.
>
> Being a professional money manager (and not a techno weenie) for over a
> decade with the major firms - I felt quite ignorant not knowing what
> "Oddball" was prior to September 2001 having owned TradeStation for years.
> However - I studied the statistics from Mark's models and created a risk
> model to fit them into -similar to what I have used before when selling
> options. It took me about a day to put it together - and about 2 weeks of
> of putting real money at risk to truly guage where I found it to
> be the best
> risk/reward ratio in the eyes of institutional allocators if I decided to
> add these models to my CTA programs.
As a professional money manager you appreciate the importance of risk
management. There are differing kinds of money managers. In money management
with technical trading systems, there is a concept of "variable robustness,"
or the ability for a system's variables to make money over a wide range of
market conditions. People often dismiss what they do not understand as
"technical." Money managers who are not familiar with measures of robustness
may in fact dismiss measures of robustness as "babble" and created by
"techno weenies" whereas in reality they are invaluable with **Technical**
Trading Systems.
You may profit from a consideration of the book "Design, Testing, and
Optimization of Trading Systems" by Robert Pardo, at:
http://www.amazon.com/exec/obidos/ASIN/0471554464/. Kaufmann also has a
must-read chapter on the subject in his book "Trading Systems That Work:
Building and Evaluating Effective Trading Systems" at:
http://www.amazon.com/exec/obidos/ASIN/007135980X.
These sources are merely techno-babble by journalists but real measures to
protect yourself against systems that simply stop working. If you must
choose one, I recommend Kaufmann over Pardo. A professional money manager
may "know" a good model when he sees it but such "knowledge" may in fact be
subjectivity. How do you know unless you have an objective way to measure
the results? Otherwise, you may be trading an excellent, excellent system
that goes to zero as many, many excellent systems have in the past.
Your profits below look good. Thank you for sharing your experience.
Sincerely,
Wes Williams
Professional Hedge Fund Manager
>
> Here's what I got:
>
> 1) Oddball:
>
> November 2001: - 4.76%
>
> December 2001: did not trade - transferring accounts from 1 FCM to
> another
>
> January 2002: - 2.07%
>
> February 2002 *: + 15.76%
>
> Since November 1, 2001 - February 19, 2002: + 8.00%
>
> Worst peak-to valley drawdown: -11.61%, January 2002
>
>
>
>
> 2) Oddball w/ 10 year US Note hedge:
>
> November 2001: + 11.50%
>
> December 2001: did not trade - transferring accts from FCM to new one
>
> January 2002: -3.43%
>
> February 2002*: + 4.90%
>
> 11/1/01 - 2/19/02: + 12.95%
>
> Worst peak-to-valley-drawdown: - 8.66%
>
> Now these are REAL NET performance - the good with the bad - slippage is
> present and the commission rate being charged is $25 per contract
> p. RT! I
> figured that if your rate is between $10 - $12 p .rt, one could
> add another
> +3.5% to those figures.
>
> When these CTA programs open up in March - commission rates will
> probably be
> at $10 p. RT like the institutional allocators only allow for, so if you
> follow the same principles - your costs will be very low. I have
> about $250
> k invested in these models as we speak - when real money is at stake - one
> forces themselves to develop risk management measures and one has to do it
> themselves.
>
> Backtested data should only be used as a guide - the rest is
> placed on sound
> cash management. Oddball works great - plain & simple - you just need to
> know how to use it.
>
> I'm no techno weenie but I do see a good raw model when I see one and
> Oddball is just that - so if you understand programming which I
> have no clue
> about - tweak the system until it fits your risk tolerance and realistic
> performance expectations and end this string!
>
> Viper
>
>
>
>
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