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> -----Original Message-----
> From: Mark Brown [mailto:markbrown@xxxxxxxxxxxxx]
> Sent: Sunday, April 13, 2003 1:30 PM
> To: omega-list@xxxxxxxxxx
> Subject: Re[4]: Available Portfolio testing programs for TS2000i
>
>
> Hello Charles,
>
> CJ> Mark, some basket models, such as Aberration (which I know you
> CJ> have criticized) are very simple, use the same parameters for all
> CJ> securities,
>
> stop - the optimal parameters according to the two different manuals i
> have which were purchased years apart show that the optimal parameter
> has changed on all but a couple of the commodities traded. dispute
> that and i will have to publish it again i did it once on this list it
> is in the archives. so this is "a fact" the parameters have changed.
>
> not to mention the friggin baskets! criminal!
I read your prior discussions about this with Mark Johnson(no relation). Is
it possible that it is Catscan or some other system besides Aberration that
you are thinking of? Other than in your posts, I have seen no mention of the
vendor recommending different Aberration parameters for different markets,
or changing them from year to year. I'm not saying you are wrong; you may be
right -- just wondering.
I have never seen an Aberration manual and do not trade it.
Fitchen's web site shows a number of different portfolios and both
uncompounded and compounded results.
>
> CJ> were released a long time ago, and produce positive returns over
> CJ> time if one can tolerate significant drawdowns. In several of
> CJ> these respects, they resemble Oddball.
>
> if one market was picked and traded using abber it's equity curve in
> terms of drawdown would not even come close to oddball - besides how
> did oddball get thrown into this? this is about a fit all basket type
> system on daily data, trying to use diversification to survive.
>
> i claim if a system doesn't hold it' own on a individual commodity
> basis then what good is that. all this exercise is just for people
> who can not model - can not be honest with themselves - have no talent
> for trading - are greed struck and did i mention stupid? mostly they
> will be control freaks who think their professional career success
> buys them the right to know something about modeling.
If an equity curve looks bad on individual markets but good on a basket of
markets, and one needs to trade multiple markets to survive, and it works,
what's wrong with that?
The ability to develop good trading systems is not very common, so naturally
people will latch onto something that seems to work. And to a lot of people,
simple trend following systems on baskets of commodities seem to work.
Of course, if there's something that works better, it is preferable.
>
> the sad perpetuating fact is that some are successful and we all here
> about these successes, sang to the high heavens by the few who hit the
> lotto. come one come all, see how i lucked out - you can too follow
> me jump right in. btw be sure to subscribe to our monthly newly
> updated recommended portfolio and our new model of the month club.
You did raise some good points in your exchange with Mark Johnson about his
results being bad if he had gotten in at a different time, etc. I am not
sure I would have the stomach to trade Aberration or a similar system, and
as you pointed out there is an element of luck to avoid a long period of
miserable drawdowns.
But simple, sloppy multi-market systems like Aberration or the ones Mark
Johnson has posted intrigue me because they look like they might make money
in real-life trading going forward. Am I all wet on this? (Actually, one of
Mark Johnson's posted systems, I don't remember which, fell apart in real
life trading...)
By the way, thanks again for your generosity with Oddball.
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