Mike, I'll be frank, there's not a possibility of duplicating a 14,000 trade backtest, but good luck anyway with it. You're placing far too much emphasis on having a lot of trades. You have enough data. Filter some trades out. I'd want to get it down to a manageable 10 trades a month. 14,000 won't happen, guaranteed. It's not within an individual's capacity to trade that much. At the institutional level this would still be difficult and you might as well be a market maker at that point.
Firstly, I don't think you even read my posts since you've missed most of my salient points. This particular result has 14k trades from 1982-2009 over 700 symbols on intraday data. That's 26 YEARS of worth of trades which is ~540 trades per year - or - about 45 trades per month. You need work on your reading/listening skills. Secondly, I'm not asking for your opinions - I'm showing you what a good edge looks like in real life and what key elements are required to validate and trade such an edge. If you can't demonstrate your edge over AT LEAST 1000 TRADES YOU DO NOT HAVE AN EDGE... I'm using capital letters not to yell but to get this point across to any aspiring system designers in general. If you can't duplicate 14k trades then your tools are kindergarten tools. Get some professional tools (wealth Lab doesn't count) and get some real data - at least 25 years worth. It appears to me as if you're choosing to dismiss what I'm telling you, i.e. that you're missing certain critical aspects of the system design/validation process. Let me say then that the system attached is one of the core systems I run my fund with - i.e. I trade it live with REAL MONEY day in day out and it does just fine. I've been doing this since 1998 (managing OPM since late 2006). Frankly at this point, I'm leaving this thread as you've proven difficult to engage. Your replies thus far have been arrogant and lacking informative content. Good luck. Mike
www.collective2.com/go/spy_1_perday Funny, reading through some of your older posts, I get the distinct impression you have either: a) a great view of your parent's washer and dryer as you reside in your folks basement.... or, b) a great view out of your high school computer lab (psst... someone might come by so best if you turn off the porn). In either case, you do not have "20 years experience" in anything, other than maybe in being full of sh-t. Laughingly, Mike
Funny, a person who demonstrate his prowess via a tinker toy C2 system. Sorry, that is one of the more pitiful claims you could possibly make. So how are your 5 subs at $150/month doing, less your C2 fees - finally able to pay for the cardboard box you got from Homeless Depot? Yes, C2 is where all the people who run "a fund" are. Goldman Sachs, and you Unfortunately, a system having APD of 0.19 would not be what a serious person would be using to demonstrate "prowess". It is called "Hang on&Pray." Thanks for the good laugh. Another would-be Jesse Livermore for the ignore list. HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA HA bye, "Jesse"
Sucks to get owned, doesn't it pal? Off all the trolls I've met on ET in my time here, you're one of the funnier ones. I especially like the "exclamation" you add to your poignant posts via larger fonts. You know special people like to write in large letters too? And by special I don't mean that your mom thinks you're special - I mean having to wear a "helmet at all times" special. Easy there TraderZones... I know this kind of confrontation can be painful, especially when emotions get the best of you. Anyhow, C2 isn't for fees... its for a track record... do you even know what a track record is? Speaking of which, you ought to at least provide an imaginary track record for that imaginary trading you're doing, or even a reference to that imaginary IB you worked at... at least that might not make you seem so.... well, what's the right word here.... s p e c i a l. Here's the best part: you have 2300 posts since Mar. 08. Wow... for someone with your limited executive functioning abilities that's quite an accomplishment. Keep it coming TZ, this is pure gold Mike
Ross (aka TZ, Port1385, Index, rcanfield, Ross Canfield, etc.) has at least a dozen years of market "experience" that I know of. He was a Usenet troll long before he was an ET troll. You may remember him flogging his "Index Trader" system on misc.invest.futures. If you are a C2 vendor, you may be familiar with his posts on the forum there, where 77% of the users have him on ignore. His current handle there is "Index," but he changes it often. His C2 systems have all been utter failures, as was his recently abandoned website. The one useful concept Ross has ever come up with is the APD, or "Hold & Hope," Ratio.
I'm sure time has more of a factor to me. 3 years of market data is plenty to validate a system. Number of trades... not sure I care, certainly having more is better, but once you get beyond 30, you have a normal population. Not to mention each day is actually a datapoint, so if you have more than 700 bars or so, you have a pretty good idea about the long term prospects of a system. Each day you can either buy sell or hold or do nothing. This is why time is important just as much as the number of trades, though I've found I don't have the time to play with NT to make other high frequency systems work. 10% beats on a regular basis is enough to be as rich as Buffet was the whole point, and I'm very confident my system will do that, but it wasn't really an advertisement about my c2 system. I've found it useful to have a system just to show people a history, when most just think you're a paper trader, and, aside from Mike and the trade journal dude from earlier, I don't see anyone that I would consider knowing how to trade. There's others from my past that I know trade well, but they're not in this discussion. I'd rather be shown on the net where I can draw my own conclusions.
It does appear you have no statistical experience, therefore it is doubtful that you're going to understand what I'm saying. The APD stat is skewed to the left. This suggests its distribution is not normal. I'm of the mind that an APD above 0.1 to 0.2 is actually quite good. I'll expand on this. During the first six months, outlying APD's can be seen, these are ones above 0.4. Twelve months out, we'll see these decline to the middle of the skew to 0.2. When you go more than 1.5 years out there's strong evidence that you can see from the grid that most long term system converge on the 0.1 to 0.2 range. Over time these systems will stay there, so 0.1 to 0.2 appears to be decent long term sustainable results. Outlying systems above 0.3 will not be sustainable, and, since we know the APD stat distribution, we could go as far as saying that it is more likely that a high APD stat system is one to be avoided rather than subscribed to, and that should bake anyone's noodle to think about because this is actually "performance chasing." You probably won't know you're chasing performance until after you subscribe, and, hence, why we get the "it stopped working" review so frequently on the site. This kind of review comes often enough that makes me know that the subscribers chase performance on regularly, because they haven't quite figured out how to analyze system's correctly, yet. I hope this post will help them out as they look at other systems. Having no research based history behind this stat, the only conclusions that can be drawn about a portfolio manager's APD stat can be taken from collective2.com. Any system with a higher APD stat, I believe, is just an outlier, and that at the core of all trading is "hold and hope." Were we to analyze Buffet I can tell you his APD would be around this average rate. He just took several years for his bets to play out. Anyway, for me it's just the APD stat is skewed to the left, and that says enough about its distribution that I know that where the highest percentage of system lie, which is less than 0.2 is where nearly all of them are. So to sit there and say one system is better than others ignores length of time on c2. Over time, I believe all systems will converge to the middle and to the left of center on the bell curve somewhere betwee 0.1 and 0.2 ideally for profitable systems. You can watch either my own system or Mike's system if you want to watch our APD stats converge on this range, because that's where all "profitable" systems will be over long periods of time. I think with as much experience watching the effects of trades on any system's APD stats suggests that no one will have high APD's if they stay long enough. The ones that do, we call outliers, but this says nothing about predicting future performance, and so APD is not actually an ideal indicator after all. Not that it doesn't tell us anything, but that to state 0.4 for a six month system means it's better than a 3 year old system with a 0.2 APD is not actually comparable. Only DD's and APR's can be compared across different time frames. If it were normally distributed we'd have more to say about its validity. Since we don't, all we can see is what happened in the past. WL has the APD indicator now thanks to me coding it, but it will only work for stock based or ETF based systems. I've found very little evidence that the best systems on wl4.wealth-lab.com will have high APD's, and I found the negative skew just as we find it on collective2. This stat mainly is a statement of past profitability rather than a predictor of risk adjusted returns. For that, you need to go back, study finance, and use the Sharpe Ratio and some profit factor based filter.
I apologize if it appears that way, but I still think it would be difficult to duplicate even that many trades per month. That may be your average, but I'm sure some months are quite a bit more active than others. I guarantee SuperBands, with Linear Regression Analysis would do well with your dataset. Anyway.... I was mainly making a point that all Buffet has done is beat the S&P by 10% annually, net of taxes, transactions costs, and other things that decrease value. I'm thinking of opening a roth IRA so I can immediately eliminate the taxes.