Been trading profitably for the last few months, after putting in more than 5 years. The main thing I have noticed is that its all about finding the edge, and the edge is found by applying sound reasoning and logic, in the same way as is done to solve a very interesting but a very tough puzzle. Testing has no part to play in it. Once you find the edge, or find your path through the puzzle, its almost always a proof in itself. Its only when you don't have a clear edge, that you start testing with loads and loads of data, and I guess not much comes out of it..!!
A few profitable months doesn't mean much. Because even a negative edge systems can make money for 18+ months. You could have a real edge. Just a few months is too short to tell. Thats why you need atleast a 3 year track record. And even that is really too short.
Even the construction of mathematical proofs require tinkering. You don’t design a system by pure derivation. But it’s okay. There is no proof without refutation. And time is the best challenge for a system to overcome.
%% HUH?? Rather do to much work than too little LOL. Regular buy SPY + or QQQ can work real well............................................................BUT you or any would not know that without plenty of reading work/tests. Congrats on 5 years of tests, work + several months profit...................................................................Sounds like you will do well if commissions /slippage don't kill you.,
I agree. Starting with derivation and concentrating more on derivation seems to a better way, than starting with testing as the main source for the edge.
Well, easier said than done. Only if it were that easy to find an "edge". Also how will you know if your edge is robust without testing?
So, you've only been successful in during a sustained uptrend in a bull market and think you know it all. Say hello to selection bias. My oven is on - got some humble pie cookin'
My take is if you’re not sure whether you have an edge and need lots of fancy backtests and statistics, you probably don’t have that good an edge. Sure backtests and stats are useful tools and have their place (maybe you can aggregate multiple smaller edges into something reasonable and leverage it), but in my experience the best trades’ outcomes are clear enough there’s not much doubt.
I would say that it's when you 'think' you have a true edge that lots and lots of testing begins. You are trying to find out where it could break and robustness, etc.. before executing it. By looking at lots of scenarios, you get a better expectation of variations in the outcome, so you know if you are within those variations as you might expect, once you start executing live. Maybe someone could explain an outcome set (sans cheating or having inside info, latency edge etc) where the "outcomes are clear enough that there's no doubt." I also think a lot of this relates to what (possibly subjective) some even consider edge.