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Bob,
I agree with everything that you said except that my comparison of buy and
hold is meaningless. You missed my point entirely. I guess that I gave a
bad example. I am sorry.
I have traded quite successfully short term (1-5 days) as well as longer
term. I have run thousands of tests. However, I don't claim to have all the
answers. I have tested systems from others that were free and some that were
expensive as well as my own. My point was that I have never found "one"
intraday system that makes more than single systems that I have developed
that are open for 20-30 days. It takes a combination of several intraday
systems to beat my longer total net profit. I have (20-30 day) systems that
make 150%+ of what "buy and hold" would have made and a reward/risk
(profit/drawdown) of 17. I haven't found any single intraday systems that
make that much net and reward/risk. I am not saying that this is impossible
for intraday systems. I was just admitting my failure in creating such a
system.
I guess you didn't read my first post where I said that no one would hold a
position for multiple months and that I was only using it as a benchmark. My
benchmark for intraday systems is a profit of $326,825 and a risk/reward that
is near 17 (I didn't say that before). I was merely trying to determine if
those people that trade for a living and have backtested their intraday
systems at least for 15 years have done better than the net profit of
$326,825 and a reward/risk greater than 17.
I have read every book on system testing that I am aware of and didn't want
this to be a discussion about system testing methodology. However, I am sure
I still have a lot to learn. I was just trying to determine if "anyone" had
done proper testing on intraday systems that had better results than my
benchmark.
I realize that there are many people on RT that believe that backtesting is a
waste of time and that I will never convince you otherwise. Again, I just
want to know if anyone has done better than my benchmark with "proper"
backtesting.
The example that I gave in my previous post may have been poor, but I still
think it shows what can happen to seemingly profitably intraday systems. I
have seen indicators, filters, etc that look great for a few months or maybe
a few years, but don't hold up for several years. That is why I backtest. I
don't expect the same performance as even the best backtesting procedures
produce. However, I sure won't trade a system just because it looks good or
tests good for a few months but is a loser for 15 years.
Bob, this post is for everyone that read my post. I have no intention to be
hostile to you and I want to thank you for responding.
BTW, my systems were not in the market last Monday, 10/16/87 or 10/19/87.
Russ
<<<<<<<<<<
This comparison is meaningless. Yes, with 20/20 hindsight a long position in
the S&P held from 1983 through the present would have been profitable, but
what
about the drawdowns? Would you have held long through the Oct '87 "crash"?
Would you be prepared to buy one contract now and hold it for the next 14
years?
What if you had bought it in July '97? Your drawdown Monday would have been
nearly 150 big points, or $75,000. Do you think then market will continue to
rise for
the next few years? I'm not saying it will not - just that I don't know.
Somehow I
doubt it.
A good daytrading method has the potential to capture profits with reasonable
risk
exposure, intraday only. Overall market direction is irrelevant. If the
system or
method is profitable, and generates a reasonably smooth equity curve, then
the
account equity will grow and the number of contracts traded can be increased.
This can ideally produce an exponential growth of equity which could soon
eclipse
any long-term one-contract position. Alternatively, it can produce an
income
stream which can be withdrawn and used for other purposes. Risk can be kept
under control by the use of reasonable stops. What would be a "reasonable"
stop
for a buy and hold method in the S&P? If you are stopped out, with a huge
loss,
would you have the courage and resources to re-enter?
With a good crystal ball you might do it! Personally, I have enough trouble
trying to
figure out where price will be an hour from now, let alone in 10 years or
more!
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