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Nevertheless I agree with John, A three month period generates pretty random
results for most systems. If one performs over the other, it really doesn't mean
anything, except it had a better fit over three months. So one year is indeed a
much better yardstick.
Gwenn
Tom Stein wrote:
>
> John........
>
> While your returns using systems this years have been wonderful....I would
> disagree
> with your statement...
>
> "12 month run which is the standard time frame to evaluate any mechanical
> trading system"....
>
> ie:Almost ANY trend following system will show dramatic results in a year
> where a particular market has been trending. Almost ANY trend following
> system will show "stinko" results in a year where a particular market has
> not been trending. I would be very cautious of any system that has not been
> backtested on tick data, using contract
> rollovers for at least ten years....otherwise you are really at the mercy of
> "luck" (which does play a role anyway) as to whether one year "test"
> results are repeatable......
>
> Tom Stein comfut@xxxxxxx
>
> -----Original Message-----
> From: John Cappello <jvc689@xxxxxxx>
> To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
> Date: Thursday, February 05, 1998 6:59 PM
> Subject: Re: TRADING CONTEST (Beep Beep or PRO?)
>
> >
> >Dear Robert,
> >
> >Although this is probably the best idea you have had so far[and also the
> most intelligent],it is not doable because of the drawdown factor in
> mechanical trading systems.Three months is not long enough.
> >
> >I will however call Chris Eudy to persuade him on a 12 month run which is
> the standard time frame to evaluate any mechanical trading system.If this is
> possible, I and probably others will meet you at 'High Noon'.
> >
> >I hope you don't go awry.
> >
> >Descretionarily-mechanically yours,
> >John
> >
> >
> >
> >------------------ Reply Separator --------------------
> >Originally From: Robert Winters <rwinters@xxxxxxxxxxxxx>
> >Subject: TRADING CONTEST (Beep Beep or PRO?)
> >Date: 02/05/98 05:40pm
> >
> >
> >
> >
> > Starting FEB, 9th is a trading contest BY TRADE COMP
> >INTERNATIONAL for three months. For less than the price of one of your
> >beep beep trades... that has gone a rye! you can see if your methodology
> >holds water!!!!!!!!!
> >
> >Contact: Chris Eudy:AT (800-233-7906)or fax (704-698-1607)
> >
> >
> >Discretionary Yours,
> >Robert
> >
> >
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