After several mods, this is where I'm at in WL5 with Jack's System. Significantly modified from the original. All Trades Long Trades Short Trades Buy & Hold Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00 Ending Capital $22,906.03 $22,906.03 $10,000.00 $4,566.35 Net Profit $12,906.03 $12,906.03 $0.00 ($5,433.65) Net Profit % 129.06% 129.06% 0.00% -54.34% Annualized Gain % 195.95% 195.95% 0.00% -64.16% Exposure 12.35% 12.35% 0.00% 334.64% Total Commission ($544.00) ($544.00) $0.00 ($8.00) Return on Cash $0.00 $0.00 $0.00 $0.00 Margin Interest Paid $0.00 $0.00 $0.00 $0.00 Dividends Received $0.00 $0.00 $0.00 $0.00 Number of Trades 34 34 0 1 Average Profit $379.59 $379.59 $0.00 ($5,433.65) Average Profit % 2.59% 2.59% 0.00% -27.85% Average Bars Held 19.41 19.41 0.00 4,993.00 Winning Trades 26 26 0 0 Win Rate 76.47% 76.47% 0.00% 0.00% Gross Profit $16,775.94 $16,775.94 $0.00 $0.00 Average Profit $645.23 $645.23 $0.00 $0.00 Average Profit % 4.30% 4.30% 0.00% 0.00% Average Bars Held 19.38 19.38 0.00 0.00 Max Consecutive Winners 8 8 0 0 Losing Trades 8 8 0 1 Loss Rate 23.53% 23.53% 0.00% 100.00% Gross Loss ($3,869.91) ($3,869.91) $0.00 ($5,433.65) Average Loss ($483.74) ($483.74) $0.00 ($5,433.65) Average Loss % -2.99% -2.99% 0.00% -27.85% Average Bars Held 19.50 19.50 0.00 4,993.00 Max Consecutive Losses 1 1 0 1 Maximum Drawdown ($3,007.18) ($3,007.18) $0.00 ($9,503.90) Maximum Drawdown Date 11/21/2008 11/21/2008 9/2/2008 3/6/2009 Maximum Drawdown % -19.03% -19.03% 0.00% -95.04% Maximum Drawdown % Date 11/21/2008 11/21/2008 6/9/2009 3/6/2009 Wealth-Lab Score 1,285.06 1,285.06 0.00 -37.40 Sharpe Ratio 2.66 2.66 0.00 -0.19 Profit Factor 4.33 4.33 0.00 0.00 Recovery Factor 4.29 4.29 0.00 0.00 Payoff Ratio 1.44 1.44 0.00 0.00 Too few trades to say anything about it, though. Leveraged Results look like this: All Trades Long Trades Short Trades Buy & Hold Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00 Ending Capital $47,265.29 $47,265.29 $10,000.00 $4,566.35 Net Profit $37,265.29 $37,265.29 $0.00 ($5,433.65) Net Profit % 372.65% 372.65% 0.00% -54.34% Annualized Gain % 663.96% 663.96% 0.00% -64.16% Exposure 23.43% 23.43% 0.00% 334.64% Total Commission ($544.00) ($544.00) $0.00 ($8.00) Return on Cash $0.00 $0.00 $0.00 $0.00 Margin Interest Paid $0.00 $0.00 $0.00 $0.00 Dividends Received $0.00 $0.00 $0.00 $0.00 Number of Trades 34 34 0 1 Average Profit $1,096.04 $1,096.04 $0.00 ($5,433.65) Average Profit % 2.65% 2.65% 0.00% -27.85% Average Bars Held 19.41 19.41 0.00 4,993.00 Winning Trades 26 26 0 0 Win Rate 76.47% 76.47% 0.00% 0.00% Gross Profit $49,190.63 $49,190.63 $0.00 $0.00 Average Profit $1,891.95 $1,891.95 $0.00 $0.00 Average Profit % 4.36% 4.36% 0.00% 0.00% Average Bars Held 19.38 19.38 0.00 0.00 Max Consecutive Winners 8 8 0 0 Losing Trades 8 8 0 1 Loss Rate 23.53% 23.53% 0.00% 100.00% Gross Loss ($11,925.34) ($11,925.34) $0.00 ($5,433.65) Average Loss ($1,490.67) ($1,490.67) $0.00 ($5,433.65) Average Loss % -2.92% -2.92% 0.00% -27.85% Average Bars Held 19.50 19.50 0.00 4,993.00 Max Consecutive Losses 1 1 0 1 Maximum Drawdown ($8,036.48) ($8,036.48) $0.00 ($9,503.90) Maximum Drawdown Date 11/21/2008 11/21/2008 9/2/2008 3/6/2009 Maximum Drawdown % -34.82% -34.82% 0.00% -95.04% Maximum Drawdown % Date 11/21/2008 11/21/2008 6/9/2009 3/6/2009 Wealth-Lab Score 1,847.38 1,847.38 0.00 -37.40 Sharpe Ratio 2.67 2.67 0.00 -0.19 Profit Factor 4.12 4.12 0.00 0.00 Recovery Factor 4.64 4.64 0.00 0.00 Payoff Ratio 1.49 1.49 0.00 0.00
Probably a good way to spend 5 or 600 dollars on commissions. Trader666 will love seeing that you found as many 0 to7's as 4 to 3's in ES. Oh, and by the way, the Cash Cow Beginner Basic is averaging 7 to 15 trades a day. It is traded on the ES and a 5 min ATS is used for those who follow the development of the Cash Cow. Profits are used to add contracts as profits occur. the objective is to make money and to ramp up the capital in the market ASAP. Sorry about the slow reply my detector was full.
how can trading be stressful - oh that's right when you don't know what your doing it will stress you - i remember now.
Jack, it must be difficult for you to keep up but this is bwolinsky's version of your "cashcow" which, as he said, is "significantly modified from the original." It's NOT a test of what you described in "Catch up With Tomorrow's Paper Today" which I tested using spydertrader's code for the scoring. P.S. Why hasn't ScottD posted an update on "cashcow?" Too busy raking in the big bucks?
Here are two individuals who did the same thing to different systems for trading: T6 on the "scoring" and BW on the "cash cow". This type of "translation" and "invention" is common as a method passes from one person to another. It is the obligation of someone to point this out. In science and business it falls upon the person who does the "invention" or "translation". So Beau explained to T6 and ET how he changed everything to get his ATS that makes money over a period and has small trading costs. I used this as leverage to get T6 to comment in this ughly forum. T6 did not duplicate the on the mark Sunnyvale, CA ATS that was provided as a code and real PnL results using the code. T6 "invented" a different Universe, a different and humorous exit, and a flat equity curve that demonstrated 24,000 paper trades did not make or lose statitically significant money. T6 does far fetched backtesting with his modifications that prove he could not duplicate the first accurate ATS from Sunnyvale. Beau asked for some clues on why his system is so different from the indicator and volume based ATS being developed by a team which Scott leads. The differences include: the wrong market, not having volume, using a different fractal, and not having the presented coding strategy straight. T6's failures were similar: The wrong market, not using the underlying relationship, using the wrong hold period and using a different exit code consisting of a time out code. The Coding to use was presented to both persons who chose to invent and translate. One made 400 to 600 percent a year the other was neutral (statisitically insignificant). Anyone using a reversal strategy that is all in will get equal longs and shorts (See BW stats). There are four possible daily trade frequencies for the Cash Cow, all based on the level of trading: Beginner (4 to10) (Basic core); Advanced Beginner (4 to 7) Basic Supreme shell); Intermediate (15 to 20)( I shell); and Expert (20 to 40) (EShell). The core was about 83 lines of Excel analysis; the Supreme shell required about 600 lines of Excel analysis; the I shell is about 1400 lines of Excel analysis and the E shell is about 1600 lines of analysis. Analysis is the second A of MADA so there are additional MADA considerations and when partial fill levels of trading come up due to market capacity that sub circuitry is also in play for this indicator and volume based strategy. So how does anyone discuss the work of two others who work from the CW philosophy when I (the person) has a paradigm based approaxh which is a parasite of the CW? For T6, I gave him the rules, the look up table, and the stock Universe. All on one page to keep it simple. There were three rules tied to a lookup table. I typed them in three different colors. The look up table was in three different colors. The Sunnyvale ATS made 11.1% per cycle and the cycle was 6.6 days. The 400,000 element test on the cycle time was 8.1 days. We suggest that experts can compress the time to 100 trades a year using first derivatives of the hold channel slopes. This all went into a black T6 hole and never reappeared. The reason is that it makes money just like the CC or the testing done by BW. If you are an amateur or professional coder, and you wish to code three rules and a lookup table and an application of profits snippet and a universe selection go to code, then do the brief code, post it and sveral of us will critique it so anyone can use it to make money. T6 can use it as learning wheels. A simple major precept of doing an ATS is it's design purpose. That is how to develop the ATS FROM the model. I use only one model and it passes the requirements of three people: Carnap. Keynes and Bayes. Carnap requires logic theory. Keynes requires that the paradigm hypothesis set be of like kind AND, therefore, the parametric measure can be done by principles. Lastly Bayes and the "frequentists" were determined to be unnecesary and their requirements were met, therefore, by virtue of the choice of the hypothesis set. The precept for developing an ATS is singular: use code to make money. Making money is done by a market tool that neither T6 nor BW used in their codes. As simple as it may sound, the vast majority of CW traders do not use this tool but they use it's opposite. Both BW and T6 did the same. They used the opposite tool of the one required to do development of a model into a viable ATS. By choosing to focus on the opposite of what is required to make money, there is a major possibility that risk management becomes the prime development focus of an ATS code for trading or for strategy decision making. From a generalist point of view, you can see why the financial industry failed if you consider the above comments. Li produced a relationship. Others used it as a shortcut by making, econometrically, indirect measures under impossible risk assumptions. Impossible risk assumptions means incorrect absurd risk assumptions. Li and Willmott stsated the case regarding this practice; they were paid and ignored. Here we see the same scenario. To develop an ATS successfully, the proper criteria must be used. If the opposite is being used then a nil rsult will result. These guys threw out the window the hypothesis set, they ignored the use of the common parametric measure, and they built a code to look for the opposite (by filtering and gating, if at all) of what it is required to look for. The test of the iterative refinement of the development depends on two things: the programming industry standard and the application of the correct market tool. The priors(see the above cited persons) of the hypothesis set are what are used to determine the tool that fits the market rules. And this is done in conjunction with the parametric measure of the hypothesis set. That is why we pursued purposeful learning of traders using a syllabus. It was important for a person to go through a mind differentiating process in order that the market's operation could be seen, understood, and used to make money. Skills acquisition was also done by doing repeated processes with respect to MADA. To program code it is necessary to see and understand the market in addition to the tasking of the tooling as articulated by the Analysis part of MADA. M takes raw data and increases the degrees of freedom to generate the data set of the parametric measure. Analysis provides the tells of the market indicated by the parametric measure. Coding steps in and uses the output of analysis to make automatic Decisions that lead to timely Action. Both BW and T6 do not use the MADA routine taught in the syllabus to make trading effective and efficient with respect to extracting the market's offer. We all know what they use as a routine. THE CW of the financial industry uses OODA. OODA and MADA are not compatible and that is self evident. I do not believe it is possible for anyone to take the market's offer if they choose to use the Betting sequence of OODA as a basis. OODA does not accept the input of the market before the decision making process; instead it accepts the trader's decision making process as to the use of his money to "win" the bet he is making. Bayesian and "frequentists" theory form the basis of this orientation. This will not change for BW or T6 or most others here in ET. Above is the advice BW asked for in his PM. In Babak terms (see his blog where Curtis is used to determine my value and oreientation), these comments are meaningless and unclear and not well thought out. Luckily for me and not Curtis and Babak and others, I get an automatic filter for keeping others away from me or asking me questions or making use of trading that approaches the market's offer. Extracting the market's offer IS the standard to trader performance. Programming requires that the industry standard be used and creating a successful ATS requires that using the way the market operates and allow extraction be the basis. there has never been a requirement to use stat and probability to examine the markets. This tool was the invention of the monied, the powerful and those with market raw information. Li and Willmott explained to these folks that convenience and shortcuts was not the solution to making money. They were ignored. Here BW and T6 get to ignore my commentary. The result is that they have the consequences (whivh do not affect me). It is tiring for me to see the state of ET. For me, it goes with the territory. there are few that remain in ET for very long who have a contribution to make. On the other hand, there are many who disable the potential of ET to help others. One of the ways this happens is the posting of lousy work that is off base. That will not stop. If a person wants to realize his potential to trade, he must know the markets. He must also know that he knows as he monitors. The market is uncomplex and provides, in these days, adequate information for analysis. Analysis is done after hours; the results of analysis is always the same. The knowldege of the scope and bounds of analysis allows for real time decision making during regular trading hours. Good decisions lead to accurate and timely action. Trading with the three rules of PVT is a good place to begin. A "one pager" does cover the subject. Anyone who is not mentally imperilled can coherently trade the markets.
Here you go again, trying to obfuscate the poor performance of your "methods." For those not familiar, I backtested Jack Hershey's model of the price, volume relationship on 1000 S&P stocks over a 5 year period by buying the "0 to 7 turn" described in "Tomorrowâs Paper Today" (attached) and exiting 5 days later. Now I'll address each of your red herrings: 1) The wrong market -- please show us where in your paper it says the "P, V relation" doesn't apply to stocks or where it says it only applies to some prescreened universe. This is one of your standard "smoke and mirrors" techniques -- adding conditions AFTER THE FACT, in this case after the publication of "Tomorrow's Paper Today." 2) Not using the underlying relationship -- I used Spydertrader's code for the scoring. 3) Exits -- I've told you many times before why I used time exits instead of the 4 to 3 transitions called for in "Tomorrow's Paper Today." And the reason is, your "model" is so BROKEN that the transitions from 4 to 3 are VASTLY outnumbered by the 0 to 7 transitions... enough to make the average trade last for YEARS. So I exiting 5 days later (which worked better than 1,2,3, or 4 days). Time exits are a legitimate way to test entries. You can pretend they're not but that will only make you look even more ignorant about backtesting. P.S. Why hasn't ScottD updated us?
Because he was too embarrassed to be "this guy". <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=2459050> Oh well ... we pretty much told him how it was going to end.