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I think it should be run for the past ten years to combine the bull years and bear years and the last 2 years in a trading range.
pt, if you combine all that you'll never know how the system does separately in bull, bear, & sideways markets because you'll have mixed them all up. Why wouldn't you want to know how a system handles different kinds of markets?
IMHO 5 years is too short.
5 years is a LONG time for most traders - if this system does poorly over that long a period why wouldn't you want to know that?
Note that while the calculated system return for the 20 year period is 38%, the system return for the last 5 years is only 23%.
I wonder what the max drawdown is for the last 5 years? In another post you list the biggest losing trades and half of them are from the last 5 years.
The winning trade % is 53%. Does this go down for the last 5 years?
My point is - anyone's trading record looks a lot better when you include the 90's bull market. For a system to be viable it should do well outside of that. The only way to find that out is to run the simulation for the last 5 years only. Good luck!
pt, the maximum drawdown is most likely larger than an individual trade loss. Of course it cannot be less.
Ron Paul predicts Bush impeachment
http://www.prisonplanet.com/articles/march2006/030306bushimpeachment.htm
Asked if the US was heading into a dictatorship, Paul responded,
"It's getting close to it, it's called usurpation of power and it's done in many ways with Congress just going along because they're sound asleep and this certainly is an attack on our Constitution and on our freedoms."
101 Dumbest Moments in Business
http://money.cnn.com/magazines/business2/101dumbest/
Here's one:
61. Farting shoes? What's not to like?
Florida-based Goosebumps Products, a maker of gel-filled shoe inserts, sues supplier Bell Chem Corp., claiming that, by delivering the wrong chemical, it had caused bubbles to form in the insoles that emit "a flatulence-like noise" with each step. Goosebumps is forced to dispose of at least 35,000 pairs and soon goes out of business.
aj, I sure hope your company isn't represented! :)
the desmond in the air
??? are you talking about the alto sax guy?
tclark1,
Looking at that spreadsheet I get 45% compound annual return (CAR) and 36% maximum drawdown (MDD). Is that correct?
Thx
Hiker
Thanks, Joe. (for the answer and for compiling the data, too)
Hey Joe, is there a specific place at realtor.com that shows that data or was that just a press release? I couldn't find it at realtor.com, but I could be blind, too. Thanks -Hiker
max, some bears already have a honey pot (and when they're done, they'll be back): ggg
FM, The systems I use are not commercial - they are my own and/or those of a few people I collaborate with.
LOL! Re: 34%....
When the 34% posts it will take Dumbya a step closer to one of his predecessors:
http://www.pollkatz.homestead.com/files/BNCapp_12756_image001.gif
... and it will take this cup-and-handle breakout closer to a hockey stick:
http://www.pollkatz.homestead.com/files/pollkatzmainGRAPHICS_9432_image001.gif
Commentary on that WSJ article from Barry Ritholtz:
http://www.investorshub.com/boards/read_msg.asp?message_id=9856352
Use anatomy as the keyword.
try searching their archive
"mission accomplished"
tp, are you saying that Bush couldn't see what was coming?
Bush speaks out on old friends, the deficit, senior citizens, and other topics:
http://www.wimp.com/bushcomedy/
Quote of the Day
"If he'd been in the military, he would have learned gun safety."
-- Sen. Chuck Hagel (R-NE), quoted by the Omaha World Herald, on Vice President Dick Cheney's hunting accident.
Re: Anatomy of Tops
There's a bit more recent interview with Paul Desmond (conducted by Barry Ritholtz) that considers some of the same topics, found here:
http://www.thestreet.com/markets/marketfeatures/10269345.html
If you are using a formula to buy and sell IMO, it is a black box.
No, a black box is a system for which you don't know the rules, you just get an output. For the system in question, positiontrader's rules are given at the top of each columns. So it's no black box.
What is a true black box (that is, we don't know the trading rules) is the system for which positiontrader regularly posts results (only) to this thread.
I don't have a problem with either being on this thread, it's all part of the soup.
pt,
According to that link, the max drawdown for a 1x system is 47%, the max drawdown for a 2x system is 74%.
Do you think any experienced trader would still be using this system by the time it lost 50 to 75% of his/her initial stake?
Most would bail out way before then (and consider the system broken) - probably at 10% or less. But since some of those drawdowns also wind up being winning trades, you can't reduce the downside risk without also limiting your gains.
My point is: you're very focussed on the system return. But if you don't also work on limiting drawdowns you won't have a usable trading system.
By the way, since mfb uses Amibroker to test this system he should be able to give you the drawdown for the system as it stands since that is calculated in every run.
I should say also that I'm not trying to take potshots at you or your system, just trying to be critically helpful.
Hiker
Positiontrader,
what's the maximum drawdown for the latest version of this system?
I seem to recall a drawdown of about 50% for an earlier version.
Hiker
AMR around $28 would also bring it close to a kissback of the prior uptrend.
Obtuse? Only for non-physicists!
<gg>
That looks like a Dirac Delta Function to me, but I wouldn't have a clue as how to trade it! ggg
freep, from what I read (books like Bulkowski) it's nice to have higher volume on the left but the formation can still work w/o it. Perhaps the broadness of the left shoulder (longer time) is one reason for the lower volume. As far as the left shoulder being broader, that just reminds me of some of my relatives! -hiker
ajtj,
fwiw I have no problem seeing the H&S (but don't see why there's a controversy).
http://stockcharts.com/def/servlet/SC.web?c=$spx,uu[r,a]dacayyay[pd20,2!c13!c50!b100!b200!f][vc60][i...
Freep, are you accusing ajtj of pareidolia? ggg
well, scratch that channel!
ajtj, to these eyes it just looks like the NDX hit it's head on the top of the channel:
http://stockcharts.com/def/servlet/SC.web?c=$ndx,uu[r,a]eacayyay[d15][pd20,2!c13!c50!b100!b200!f][vc...
Someone beat me to it!
http://www.investorshub.com/boards/read_msg.asp?message_id=9407484
ajc is more reliable! <g>
This may not be a bad spot to buy TXN:
http://stockcharts.com/def/servlet/SC.web?c=txn,uu[r,a]waclyiay[pb10!b20!b50!b200!i!d20,2!f][vc60][i...
Bottom of weekly channel.
Well, looking at the weekly, the RUT definitely seems to have a lather, rinse, repeat thing going on:
http://stockcharts.com/def/servlet/SC.web?c=$rut,uu[d,a]waclyyay[d20020107,20060131][pd20,2!f][vc60]...
And if the pattern holds, the RUT has just finished lather and is about to be rinsed.
well, one of those phrases:
ja pycckij pidaras
he pulled right out of here:
http://www.insultmonger.com/swearing/russian.htm
man, there's some pretty descriptive & imaginative stuff there!
Hey ajtj, if I had a vote I would vote to invite jlosbuttocks off this board & back to yahoo. But that's just me, and I know where the ignore button is.
pt,
I have friends who devote a lot of time to developing mechanical systems, and it is no great feat to produce one that has a great return based solely on backtesting. Most of them are good examples of curvefitting the past and have little value in the present. The promise of excellent past returns just isn't met in the present.
That doesn't mean that mechanical systems have no value but to be meaningful and useful a walk forward period (test in a new period based on parameters derived from a previous period) is essential.
Another aspect that your post doesn't address is drawdown - few folks will hold a system with a large % drawdown, no matter how good the backtest results are. There are metrics such as UPI that more comprehensively address the system performance that you really should learn.
If you're serious about developing a mechanical system you might check out Pardo's book on mechanical systems:
http://www.amazon.com/gp/product/0471554464/sr=1-4/qid=1137851693/ref=sr_1_4/102-1438840-2715350?%5F...
But there's no particular reason why you need to use a mechanical system. Plenty of people make money on the market through other techniques such as pattern recognition, etc. I personally would never be without my charts.
Hiker