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I wrote the statement below a few days ago and although no one on this forum
replied I did come up with some additional data that might be of interest.
We were researching what tends to be a very bad market on any system that is
tested on it - the British Pound. From 1996 to present, no matter what
system tested (unless over-optimized), they all lost money. I'm talking
about well known and very good performing systems. However, ALL of the same
systems made money (and nicely too, I might add) from 1980 to 1990. These
are all good systems that presently make consistent returns year in and year
out in other futures markets.
Thought it might be of interest.
Regards,
Michael McGahee
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I my investigation of systems and statistical probability I've gone down the
road that essentially says the longer the system survives with the least
amount of draw down and the highest return (by tracking actual trades in
very very liquid markets so as to minimize the possibility of over
optimization) the higher the probability that I can rely on that system
continuing to perform. As some of you know I've stated similar comments in
previous strings. This, of course, comes with the same caveat that past or
present performance is not indicative of future performance (which applies
to any theoretical or practical system).
The above simple philosophy put into practice has led me to look at certain
data and systems from that point of view. The only limiting viewpoint that
I ask is to put forth ideas or postulates based on applicable material and
not to stray too far into the "theoretical" as that tends to muddy the
water. The floor is open. Any takers?
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