Registered: Sep 2011
Posts: 1521

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Quote from JasonEdinburgh:

Hi Wide Tailz,

You have some pretty excellent looking equity curves in this thread and I wondered if they turned out to be generally successful, or if they were the result of over-optimisation.
Kind Regards,

-Jason

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Greetings!

Thanks for sharing your thoughts and I'm sure if you post a few more times, your PM privileges will kick in. I have a different background from most system traders (mechanical / aerospace engineering) and it may be why I'm doing things they normally wouldn't. If you are afraid of curve fitting, my optimization efforts were probably a bit over the top for what you may consider valid.

The process I used was (from what little info I found) fringe industry standard: make the program, optimize it, test it out of sample, then dump it all into a walk forward tester. Finally, let it run forward for enough time to confirm that the equity curve characteristics are still there in the future, and keep re-optimizing it on a set schedule. Note what is missing: testing one program on several different stocks / futures / markets. I don't believe in this. I think it is an invalid assumption to believe that if a system works on several markets then it must also work the future. Working in the future is what is important, and has nothing to do with working on several unrelated instruments.

My 'over optimized' algos mostly passed this process, but some of the more filtered stock buyers are still in forward test because they don't trade as often as the SPY system.

In my opinion, the only rule that matters is that the algo must make money in the future in the actual market. You can try to go with the simplest thing that works if it helps you believe that it won't break down in the future...... or you can go with something that you have proven to work in the future, which was made to trade the particular instrument for which it is applied. And yes there are professional fund managers using trend following algos of this type.....

The way I see it, why use a pair of channel lock pliers when you could get much better results with a torque wrench and set of sockets?

Registered: Sep 2012
Posts: 2

Thats a bit disappointing. I was hoping you had more success with devising other trading strategies - I was hoping for something that does quite well in a range bound environment - to save me the effort of manually drawing trend lines and marking up charts for discretionary trading.. (or semi discretionary with the computer monitoring the markup on the charts.)

What I find amazing is that what I'm building isnt already part of TradeStation. Or maybe I just havnt stumbled across it yet..

I need to put more effort into developing some alternatives to just the trend follower I have. Since it relies on finding the right stocks to fit it in order to work. And that has its own difficulties.

And I dont really trust any backtest on a strategy that doesnt produce at least a few trades a month - since very few stocks worth looking at have trends that extend that far without backtracking on themselves to a lesser or greater extent.. Unless you only look at strategies that relate to much longer term moving averages such as the 100 or 200 days.. or 200 week... But what validity can they have if they cant be properly tested..

Plus if the logic of the strategy is to be of any use then it has to be capable of being proven on historical charts. If it cant be applied under a given set of circumstances then it doesnt have validity - or it cant give the required confidence and confirmation that it can be applied to the future data with any sense of optimism.. or certainty

The markets may have changed in recent years due to HFT machines etc.. But they have not changed so much that nothing that worked in the past is still applicable. We just havent been able to describe the rules and method thoroughly enough..

I agree with what you say about the only test being future prices.. But I do think that certain rules are followed repeatedly.. and finding ways to fit those patterns is what is useful.

I will get on with my studies. Thank you for your help

Kind Regards,

-Jason

Registered: Sep 2011
Posts: 1521

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Quote from JasonEdinburgh:

Thats a bit disappointing. I was hoping you had more success with devising other trading strategies - I was hoping for something that does quite well in a range bound environment - to save me the effort of manually drawing trend lines and marking up charts for discretionary trading.. (or semi discretionary with the computer monitoring the markup on the charts.)

Kind Regards,

-Jason

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Yes, I'm not after the grail, but an insect that can survive and bring me the $$$ over time. I found one that I particularly liked, mutated it, then set the group of them loose on suitable environments so that they would tend to balance each other out.

Portfolio Maestro proved that the theory of firing on many cylinders does indeed make a smoother power delivery.......

My life's passion isn't trading systems, unfortunately. I'm a lot like a Russian engineer - designer of very simple, crude, functional solutions that no one would show off at an expo.

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