Discussion in 'Educational Resources' started by Avalanche, Aug 8, 2005.

  1. Thanks, I remember reading that a while back.

    I have to agree with there testing as far as single contract position sizing goes. The reason being, they want the tests to show primarily the accuracy of the trading signals, not how much money a system could make.

    Generally if someone wants to make more money they just adjust the number of lots or shares by what they are comfortable with and they can ratchet up the total profits (or loses).

    If they allowed vendors to submit systems with money management algorithms there would be no way to compare apples to apples any more as even a small edge when run with fixed fractional or optimal f would result in massive gains over a number of years, but a system trading a one lot s&p in 1990 might call for a 500 lot today, and that's not realistic.

    The small portfolio criticism is valid but again some systems are designed for just particular markets. I mean the S&P is a countertrend market. Some guy that develops a trend following system is usually gonna design it for specific markets, those that tend to trend, if its traded in the S&P or Cattle or something its gonna get killed.

    Having said that I did read somewhere that FT allows vendors some flexibility as to what markets FT tests on.

    For example, aberration runs on about 30 mkts, for them to drop say Sugar and add copper to the results that are posted at FT, well that's obviously a problem.....especially if aberration just booked a 4 grand loss in sugar and just make a killing in a copper trade. So in short I'd have to agree with your post. i.e. Before you run anything you need to backtest it yourself as to "your individual needs and your risk psychology andyour financial situation".

    Having said all that.....can you comment specifically with regards to the back issues of the magazine, are they a good source of information? do you subscribe? etc.

  2. I get a copy once every few years. It's good to see how commercial systems generally are performing. It also serves as a "sanity" check that I can compare my own systems against.

    As far as the "articles" in the magazine, it's almost always promo-pieces for one of the features systems. The only value is the systems ranking.

    It's definitely worth the $20 for one issue, if you ask me.
  3. The hedge fund / CTA world has figured out how to do apples-to-apples comparisons of traders who use fixed fractional money management. None of the professional traders they track, trades single contract lot sizes. Yet the world has found ways to compare different funds with different amounts of leverage and different length track records. See www.iasg.com for some examples.

    One of the things I do with my subscription to FT, is scan the back issues and OCR them every couple years. Then I slurp the data into a spreadsheet and calculate the moving average of a system's rank over the past dozen reporting periods. Sorting by average rank gives an indication of staying power; I'm sure you've observed that the rankings fluctuate quite a bit from one issue to the next. This has turned out to be a (small) part of my proprietary "edge" -- the ranking exercise has caused me to notice, purchase, personally test, and then TRADE (with real money) some old old systems that have persistently done well in the FT rankings. Systems whose FT ID number is <200 and which were released in the middle 1990's, that nobody else is paying any attention to. They're not New and Impoved.

    OCR = Optical Character Recognition