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Michael,
how many trades did these systems generate (on average) between
1980-1990? How many trades did they generate since 1996?
Friday, February 21, 2003, 11:33:10 AM, you wrote:
MM> I wrote the statement below a few days ago and although no one on this forum
MM> replied I did come up with some additional data that might be of interest.
MM> We were researching what tends to be a very bad market on any system that is
MM> tested on it - the British Pound. From 1996 to present, no matter what
MM> system tested (unless over-optimized), they all lost money. I'm talking
MM> about well known and very good performing systems. However, ALL of the same
MM> systems made money (and nicely too, I might add) from 1980 to 1990. These
MM> are all good systems that presently make consistent returns year in and year
MM> out in other futures markets.
MM> Thought it might be of interest.
MM> Regards,
MM> Michael McGahee
MM> **************************
MM> I my investigation of systems and statistical probability I've gone down the
MM> road that essentially says the longer the system survives with the least
MM> amount of draw down and the highest return (by tracking actual trades in
MM> very very liquid markets so as to minimize the possibility of over
MM> optimization) the higher the probability that I can rely on that system
MM> continuing to perform. As some of you know I've stated similar comments in
MM> previous strings. This, of course, comes with the same caveat that past or
MM> present performance is not indicative of future performance (which applies
MM> to any theoretical or practical system).
MM> The above simple philosophy put into practice has led me to look at certain
MM> data and systems from that point of view. The only limiting viewpoint that
MM> I ask is to put forth ideas or postulates based on applicable material and
MM> not to stray too far into the "theoretical" as that tends to muddy the
MM> water. The floor is open. Any takers?
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