Is this "THE HOLY GRAIL"' for trading the E-MINI'S

Discussion in 'Index Futures' started by Jeanmichel, May 30, 2002.

  1. sabena

    sabena

    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..........................
     
    #41     Jun 1, 2002
  2. 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.
     
    #42     Jun 1, 2002
  3. sabena

    sabena

    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...
     
    #43     Jun 1, 2002
  4. This need no comment I think !!!

    What a day !!!

    Cheers
    Jeanmichel
     
    #44     Jun 3, 2002
  5. ddefina

    ddefina

    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. :)
     
    #45     Jun 3, 2002
  6. machine

    machine

    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.
     
    #46     Jun 3, 2002
  7. 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



     
    #47     Jun 3, 2002
  8. 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
     
    #48     Jun 3, 2002
  9. 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 !!!!:D

    Cheers
    Jeanmichel
     
    #49     Jun 3, 2002
  10. machine

    machine

    Is he your clone?:D
     
    #50     Jun 3, 2002