The Rise and Fall of Mechanical Trading Systems

Discussion in 'Journals' started by DT-waw, Dec 16, 2010.

  1. In my Journal i'm going to document, with a brutal logic and commitment! how mechanical trading systems do not work. I will be using live results and a 3rd party provider.

    I've chosen 5 trading systems posted to Tradestation Strategy Network.
    The criteria:
    - highest annualized rate of return
    - longest age
    - smallest dollar drawdown

    The systems under my radar:

    1. Gold

    2. FX Cruiser

    3. FX TradeMaster

    4. FX Scout

    5. Forexsniper USDCHF_60_FX

    Don't be fooled by the profits these systems made in the past.
    It must be a result of the evil curve-fitting to lure and charm silly subscribers.
    Let's start our journey! In the coming 6 months, the top performers are likely to lose ALL they made in the past and I'm going to show it, week after week, month after month.
  2. feng456


    You are an idiot. There are already successful people who are pure mechanical traders. By approaching this from a nonobjective point, any results you obtain would have very doubtful legitimacy.
  3. I concur.
  4. plyka


    Great stuff, this will sure be interesting! I'm a discretionary trader so I really don't know how any mechanical system would ever work, but with an open mind, i got to say that i just don't know, so this will be interesting to see. I have incredible reservations against public systems because any edge would be eliminated over time as the successful system attracted more traders, not to mention why would anyone sell a real edge when they could just trade it themselves and become uber rich.

    That was a long winded way to say i'm excited to see this.
  5. plyka


    First off, why in the world are you insulting others? Are you an internet tough guy or something? Love to insult people behind the anonymity of the Internet? Secondly, your point isn't even valid. It would be valid if his experiment was based on some sort of subjective behavior, opinion, or whatever. But there are a set of rules laid out which he must follow. Personal bias does not effect such things. Doesn't matter how much I hate math, I can't ever make 2+2 not equal 4. If the rules are followed correctly then any bias is a non-issue.
  6. do you pay $650/mo just to play with the systems?
  7. proving a finite set of publicly available systems doesn't work doesn't prove mechanical systems don't work. who honestly would expect publicly available systems to work anyway? you don't really think its that easy do you?

    high frequency trading seems to produce profits...i assume those are mechanical systems and not manned by a billion lightening fast chinese folks....or maybe i'm wrong?
  8. "There are already successful people who are pure mechanical traders"

    oh really? i'm sure 99% of readers will agree with me. only discretionary traders obsessed with big boobs and bags of donuts can make money on the markets.
    systems are dumb, they cannot relate to emotions, which move the markets!
  9. a mechanical system will never work in long run because the market does not work with mechanical parameters.
  10. first, let's look at the recent months of performance.
    seems to be awesome, huh?
    beware, huge losses will shortly have to occur.

    i advice to browse through this TS service. you'll quickly notice that most systems are doing very, very poorly. any wins are followed by massive drawdowns. its not even worth to watch them, so bad they are.

    if you'll find some exceptions (high returns over long periods of time), post it here. we will publicly document their inevitable destruction.
    like this one:

    pathetic, isn't it?
    #10     Dec 16, 2010