That's the fundamental problem with all those backtested trading systems, you will NEVER know how long they will produce the backtested results in the future. The Holy Grail trading system will be the one that will work till the end of times. And to know that it will work forever, you will have to backtest your system on an unlimited number of samples...and that's just not possible. Yeah, as long as it works, you can keep dreaming that you found the Holy Grail, AS LONG AS IT WORKS..........................
sabena, well I guess your statement is true conceptually since we can never know the future, but some systems have achieved pretty robust results over long periods. I don't have a problem saying you can trade a vol breakout system in the currencies and bonds or eurodollars and you will make money over a long enough period with sensible risk management, although you will only have about 35% winners and may take a 50% drawdown. Now someone may say, ok genius, if a triple MA system will kill you daytrading the index futures, why not just reverse the signals, ie go long when it goes short? Actually, that is a good question, but I think you will find you end up with the worst of both worlds. You will still get whipsawed but you will have enormous drawdowns on big trend days.
AAAinthebeltway, I have no doubt that there have been systems developed that have produced good results with limited drawdown over long periods. If you really want to develop something that has the most chance of staying profitable over long periods with limited drawdown then you should start to approach the markets with non-linear tools, meaning not using the classic system development tools, because the markets are not linear. You should start out with more sophisticated tools but this is beyond the reach of Trader Joe, I believe. I would only use a mechanical system as some kind of filter and let experience decide wether or not to take the trade...
Impressive JeanMichel. Do you actually take the trades yet on this system, or is it hypothetical? What is the point of this thread? Are you trying to disclose your system, or just prove that the Holy Grail exists? I can't believe a system using lagging indicators can be successful in the long run.
I think you've just drawn those lines yourself. I can do the same but I don't have a reason to do such thing.
Your right AAA. Ive backtested numerous N-moving average systems. They dont work. You enter time periods when they work, then time periods when they kill you. What are the chances something this obvious could work? It was one of the very first back tests I tried when I first started trading. Given enough time , the average is break even. You just end up spending a ton of money on commissions for no gains. The holy grail in a system like this is predicting when the market is gonna trend VS play in ranges. Haha.... yeah right. I guess thats what the magic blue line is ;-) -axeman
I will prove with my post that the "HOLY GRAIL" excist. The only thing that I do is following this (for me) simple system, thats all and when the result is positive that is the most important of all, don't you think ? Cheers Jeanmichel
I have created (in the week-end) a new RSI indicator. Let me know if you will see him and by the way the result is great !!!! Cheers Jeanmichel