Look at this strategy

Discussion in 'Trading' started by m4a1, Sep 17, 2006.

  1. m4a1

    m4a1

    lol anyone else have comments?
     
    #21     Sep 19, 2006
  2. <i>"lol anyone else have comments?"</i>

    Sure M4... I'll bite.

    Looks to me like a volatility breakout system, either balanced on both legs or imbalanced to the short side. If you wrote the logic, you can easily affirm that's the case, or suggest what else you use.

    My second guess would be an RSI system written right at the point from profitability to loss. Those pure oscillator systems are notorious for eye-popping performance curve fitted, but never walk forward that way because the specific sequence of trades it took to create such a unique curve cannot happen in same sequence again.

    How'd I do?
    Austin P
     
    #22     Sep 19, 2006
  3. man

    man

    IMHO you missed the chance to seriously discuss with a real Pro, which i think Mark/Niha is ...
     
    #23     Sep 20, 2006
  4. squeeze

    squeeze

    Without having the code to understand why it worked in the first place it is impossible to give an informed answer to the question.

    However, it is likely that the system exploited a tendency that was present at the time which has since changed. I have seen a lot of systems of this sort that abruptly stop working for no reason.
     
    #24     Sep 20, 2006
  5. Don't mind Nishiba. Back in 88, rumor has it Dusty Hoffman spent a few months with the guy to try and "get into character" for his Rainman performance.
     
    #25     Sep 20, 2006
  6. man

    man

    now that WAS funny ... :)
     
    #26     Sep 20, 2006
  7. What I can say is:

    I've been trading the time the system was performing and outperformed those performances in terms of all stats you've given...

    and...

    Great... hopefully it works in the future...
     
    #27     Sep 20, 2006
  8. m4a1

    m4a1

    to anyone interested:

    in your view what is a tendency that existed in NQ that abruptly changed starting in 2005? can you think of any without first knowing what my strategy is doing?


     
    #28     Sep 20, 2006
  9. m4, your question about NQ specific behavior in 2005 is moot. An index is constantly changing = evolving over the course of time for innumerable reasons. A system that cannot adapt or encompass change is worthless.

    The NQ (and every index) will continue to create new tendencies = patterns into the future. What/why it may have done so at any point in the past is irrelevant for making real money in the future.

    Welcome to systems trading 101!
    Austin
     
    #29     Sep 20, 2006
  10. man

    man


    two guesses. change in overnight behavior. vola decline on all levels.
     
    #30     Sep 20, 2006