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Michael
Why were you unsuccessful trading OB? Were you trading the standard
version, a public variation, or one of your own creation?
On another note, I don't think drawdown alone should be the judge of when a
system has stopped working. You also need to consider profitability after
the drawdown (assuming the system comes out of the drawdown). And I think
something bigger than 1.5 times the previous drawndown should be used to
consider system death. Though certainly anytime it gets above the previous
drawdown, it would tend to make one sweat.
Kent
----- Original Message -----
From: "MT" <mtzianos@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Friday, December 13, 2002 5:47 AM
Subject: Re: Limited life span of mechanical systems?
carrslem wrote:
>
> >
> > What would be the mechanics that would cause a system like OB to stop
> > working ?
>
> If you discover the answer to this, please let us all know!
>
Carrol,
It was me, not BF, who posed that question.
In any case, I would empirically quantify the fact that any system has
"stopped working", if it exceeds its previous depth and duration of
drawdown by a wide margin. If e.g. MaxDD during the last 5-months
increased to $32k vs $22k for the previous 51months, i'd say it stopped
working.
I keep an eye on about 10 different systems based on OddBall. The
variations I track include trend and gap filters of my own and all
"public" versions discussed over the last 2 years. Some of them had nice
smooth equity curves (which in retrospect I attribute to curve-fitting),
going back to 1996 until end of Sep-2001 (years 2000 and 2001 were
generally very good for OB-type systems, whereas 1999 was bad for most
of them).
My own OB-base system, produced very small profits and two 100+ point
DDs the last 5 months. But it had a good time in June-2002 where it came
ahead by about 180pt overall in U2, whereas Z2 is breakeven: TS says Net
AvgTrade (Win-Loss) is less than 1pt, so in reality it'd have produced a
mild loss.
MaxDD during this period was 120pt, which is still much lower than
historical MaxDD, so I wouldn't say OB has "stopped working". But I
think it's a very hard system to trade (I tried, but was unsuccessful).
I know others who reported good results of their own OB-versions. Care
to share how they performed the last half year?
Regards, Michael.
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