Just show me one mechanical technical analysis that has been profitably backtested?

Discussion in 'Technical Analysis' started by crgarcia, Dec 10, 2008.

  1. NAZ100
     
    #51     Dec 12, 2008
  2. What a horrible system. 48.63 years for a 50% return? That sucks. Even a 200% return is nothing to write home about in 50 years.
     
    #52     Dec 12, 2008
  3. what is "Gavno Vopros"?

    Is that a name or something? I only know 5 words in Russian (yes, no, vodka, hello, and MOCKBA)
     
    #53     Dec 12, 2008
  4. Baywolf

    Baywolf

    [​IMG]

    Including 2% commission per trade and 3.5% slippage. Historical tick for backtest, but uses BBO calc. for realtime trading to minimize the slippage.
     
    #54     Dec 16, 2008
  5. If your definition of "mechanical technical analysis" includes OHLC formations then this program will find you hundreds, if not thousands of systems, across several markets:

    http://www.tradingpatterns.com/

    Of course, the problem is whether these systems will stay profitable in the future.

    Any ideas for a good test other than a walk forward?

    I think the key is the "test", not the system. Even if the system has been profitably to this date, it can turn to a loser at any time.
     
    #55     Dec 17, 2008
  6. Jerry030

    Jerry030

    It depends on how you back test the system.

    Most people take a few thousand or tens of thousands of bars, develop methods and strategies to trade and then test on say the next 10,000 bars (some period that is a significant portion of available data but much less that the development set. Testing at the end of the data has a lot of drawbacks in that it assumes this period is typical and it will continue during live trading.

    A much more effective approach for creating systems that are stable and robust is to break all past data into two sets: one for system development and the other for back testing after using an unsupervised SOM to assign a cluster identity to each bar.
    By splitting the set first by the bar identity and then into development and back test you insure that there is a proportionate distribution of all market conditions drawn from the entire set of available data for both development and testing.


    Jerry
     
    #56     Dec 17, 2008
  7. Jerry030

    Jerry030

    An additional note: the results generally increase the ratio of profitable trades to loosing ones by 8 to 20% depending on the market and bar lenght of the trading system. It works better on Forex than Futures for some reason.
     
    #57     Dec 18, 2008

  8. Sure...I have been using this daily swing system for many years:
     
    #58     Dec 26, 2008
  9. ronblack

    ronblack

    Hi Jerry,

    Do you know of a program that can do this as part of the back-testing analysis?

    By SOM did you mean "self-organizing map"? I have tried something along these lines using NN before but it did not work very well.

    Best wishes for the Holiday Season!

    Ron
     
    #59     Dec 27, 2008
  10. Sure...I have been using this daily swing system for many years: [/QUOTE]
    ----------------------------------------------------------------------

    too good to be believable - possibly.

    Apart from this - basically a wonderful thread but too few details.
    However, some wonderful inconspicuous self-portrayals. lol
     
    #60     Dec 27, 2008