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Gary,
Outstanding recap.The only exception I would note is the Trade Station
data at the site is not really generated via Trade Station but just
uses the format.The developer claims they are hypothetical trades
using the mathematical system and put into Trade Station format.
Your info on the second system is intriguing.
John
------------------ Reply Separator --------------------
Originally From: "Gary Fritz" <fritz@xxxxxxxx>
Subject: Re: S&P Systems ELA
Date: 06/14/1999 10:07am
> A few weeks ago I purchased 2 systems from www.callnetuk.com
>
> Since there was no non-disclosure or license agreement I have
attached
> both systems for your perusal.They both use close stops and 50%
> trailing stops once profit is above $1000.Any ideas on usefulness of
> these systems would be welcome.They are set up for Trade Station.
John, the systems in the ELA you sent did not use any stops. Did you
forget something?
If I remember correctly, this site came up on the Omega list a month
or two ago. The TS system reports show an average length of 0 bars
in losers, and 1 bar in winners.
This is a major red flag. Particularly in combination with the
"tight stops" you mention (which are presumably built-in TS stops),
this almost certainly indicates that the results are "cooked." By
using internal TS stops that are tight enough to create 0-length
trades, you can create the appearance of fabulous results -- but you
will find you can't replicate those results in realtime.
The problem is that TS blithely reports it successfully closed out
the 0-bar trade with e.g. the trailing stop -- but with no knowledge
of the price action within the bar. TS assumes the "best" and tells
you the trade was profitable. In reality you probably would have
been stopped out for much less profit, and probably a loss.
TS's internal stops can safely be used if your trades are generally
several bars long -- say, at least 4 to 6 bars. That way you can
usually be sure that the maximum favorable excursion (MFE) of the
trade was hit at time X (on one bar), and the retreat from the MFE
happened at some later time X+Y (on a later bar). If the MFE *and*
the exit happen on the same bar, you can't be sure that the MFE
happened before the exit.
Bottom line, you CAN'T TRUST the TS system backtest reports for a
system that reports 0- and 1-length trades. Follow the system in
realtime for a while and see how it *really* performs.
The PDSIntra system is interesting. It appears to be a version of
the PDS system, but intended to run on intraday data instead of on
daily. That lets you test it much more realistically.
I tried running it on 30min SPX. If you're willing to accept
extremely low win% (e.g. 18%, not the 70% claimed on the website),
you can run with a $250 MM stop and the system actually does fairly
well. In the last year, using the default parameters, it made $107k
with only a $7357 drawdown, averaging $438 per trade even with the
low win rate. Higher MMstop values did worse. However, remember
that is on SPX, and you can't directly trade that. It does much
worse with real SP data.
So: it looks to me as though the system does a pretty poor job of
calling market moves. The system report on the website seems to be
bogus. I'd love to be proven wrong -- it would be great to have
systems with that level of accuracy!! :-)
BTW, the correct URL is:
http://www.callnetuk.com/home/tradingsystems/
Note, no space in "tradingsystems".
Gary
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