Why 99.9% of funds are unable...

Discussion in 'Strategy Development' started by DT-waw, Apr 20, 2009.

  1. ...to match the performance of a simple, SINGLE eurusd system like this?

    notice that $1,000 monthly profit equals to 10% return with 100k lots per each $10k.

    and don't tell me about how hard is to trade with a 100 millions or so. first, diversification of systems smooths the performance even further. secondly, the combined liquidity of fx pairs and futures is really high.
  2. Because funds don't have the luxury of posting backtested theoretical results.

  3. Are those backtested results ?
  4. please evaluate your opinion, since:

    - they have the luxury to automate every system
    - every system without discretionary inputs which is traded with real money can obviously be backtested, why do you seem to divide systems into two distinct groups:
    1. traded live,
    2. only backtested and not traded live,
    when they all ultimately belong to the same one group?

    - do you expect to pay around 12 ticks per EACH round turn in slippage which will erase all profit for most systems when the avg bid-ask spread for EURUSD is 1-2 ticks?

    By the same logic, i see no reason (besides psychological) why so many people tend to value more systems which are forward-tested or traded live for 2 or 5 months vs only backtested systems. The market doesn't give a shit about it, the market will treat ALL systems with the same brutality! If you think few months forward testing or few months live trading will give you much more chances, good luck!
  5. bespoke


    member since 2001

  6. Because anyone can produce backtested results that look fantastic. I can show you 10 different systems right now that have never had a losing trade in 6 years trading EURUSD, hypothetically, but this would indicate nothing about profitability in the future. Not acknowledging this FACT will lead you directly to the poorhouse. Good luck!
  7. yes. this means if you'll trade it live for example in May, and at the end of May backtesting will show $3122 profit for May - you'll have 3122 loss in the same period by executing real trades fully inline with the system rules. Magically, the backtesting is so wicked and evil it will always do this unpleasent thing for you ;-)
  8. Yeah, everyone can produce fantastic backtested results by having an error of "looking into the future" and/or by not including realistic execution costs.

    I seriously doubt you have developed properly tested system with no losing trades in 6 years AND with statistically significant number of trades. How many trades it made in 6 years? If only 50, then hell sure it's not worth much.

    Real results do not indicate future results to the very same degree as hypothetical results.
  9. I said 99.9% of them not 100! There are about 5-20 funds in the world making around 100% p.a. returns on a large capital. To piss you off even more, some of these hugely successful organizations are using stuff which was... *scary thing* backtested.
  10. LOL
    #10     Apr 20, 2009