System any good?

Discussion in 'Strategy Development' started by pistolpt, May 25, 2012.

  1. Simple VIX trading system working off 4 simple factors.

    Live for last 6 months.

    Any good? Or just data mining?

    Includes commissions.
  2. Oh yeah - Starting with $10,000.
  3. Roark


    Live on a simulation account?
  4. No, live for real. From Nov 2011 on...
  5. Roark


    Don't believe you.
  6. jcl


    No reason not to believe it, as ~80% profit in 7 months can be a quite realistic result.

    However, the equity curve looks as if it's calculated with reinvesting, which makes it hard to tell if the system is any good. And you can't see data mining in an equity curve anyway. So, posts with some equity curve and "any good" questions are pointless. Better describe your backtest and optimization methods and ask if they are any good.
  7. Of course I reinvest my profits, that's the beauty of compounding. Otherwise your returns will diminish if you count all the equity in your account.

    Backtested using actual end of day data. Assuming I buy / sell at end of day - which is what ive done live. Its worked fine.

    What do you mean optimization methods? Be happy to answer. Kind of a noob here and learning the terminology.
  8. That answers my question :D
  9. If you're live and making money then it's all good.

    That said, you mentioned in an earlier thread you're doing 80%/60% return/risk and I asked you how that compared to buy/hold. Shorting vxx over a similar period would give you the same return/risk without the hassle of active mgmt.

    So, yes, if you're making money, then who cares, the system is good, but if you're trying to benchmark yourself then it might warrant some comparisons.:)
  10. d08


    That's what log charts are for. A linear equity chart on such a long period is highly deceptive. Nothing wrong with reinvesting except for the fact that the size near the end won't most likely be scalable.
    #10     May 26, 2012