Simple System for Beginners

Discussion in 'Strategy Building' started by AnomalyResearch, Aug 30, 2004.

  1. Using proprietary position sizing and stop methods I show a 333% gain since Oct-2001 with a 5% MaxDD net commissions/slippage. 2 years of this data is out of sample.

    This does look very nice, however there are some problems:

    1) Backtesting is not reliable. Needs to have a Monte Carlo simulation run.
    2) It only works that well on the Russell and not on any other contract.
    3) Now everybody knows about it so you cannot expect it to work for much longer.

    As for now the idea is valid.

     
    #51     Aug 31, 2004
  2. Thanks a lot for the stats LongView but you seriously don't believe this old fallacy do you?
     
    #52     Aug 31, 2004
  3. fan27

    fan27

    Waiting for a pullback ruins the system ( I tested it ). You are assured a fill on losers and will only sometimes get a fill on winners.

    A version of the system tests very well on ZN (10 year note). Now all I have to do is make sure my ZN data is accurate.

    fan27
     
    #53     Aug 31, 2004
  4. Give everyone tools to backtest and autotrade and a thousand new hedge funds spring up overnight. :cool:
     
    #54     Aug 31, 2004
  5. Actually yes I do believe it. Over the years I have seen it numerous times.

    The entire idea behind trading is finding an edge and exploiting it. When everybody finds your ideas you no longer have an edge.

    Maybe you have had different experiences but I have seen it happen more than once.
     
    #55     Aug 31, 2004
  6. FredBloggs

    FredBloggs Guest

    samson is right.

    you take a simple system that works, then bastardize it with optimal-f, optimal-that and optimal-other until nothing works.

    i wonder why wyckoff, livermore and the rest were so succcessful - probably because they never had computers to balls it all up for them!
     
    #56     Aug 31, 2004
  7. While there is some truth to simplicity I think it worthwhile to point out that IB's and hedge funds are not paying quant programmers $500K+ a year for their own health.
     
    #57     Aug 31, 2004
  8. How are those hedge funds doing this year? How has 99% of the bellweather systems performed in the last 2 or 3 years?

    Michael B.


     
    #58     Aug 31, 2004
  9. Stupidity can run deep somtimes .... once it becomes accepted.

    :p
     
    #59     Aug 31, 2004
  10. Everest

    Everest

    Nobel as in gunpowder or noble as in my lord?
     
    #60     Aug 31, 2004