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Another set of test results which was interesting: Drilling down from what I did with the previous test, I have 12 models running tests the same way, except... this time around, I set kept the test period static year-by-year confirming the validity by keeping track of the performance 6 months...

I've had that in my mind already... 1. I would have to start off with a profitable model or the whole test is going to be perceived as useless. "A bad model = bad" no matter what, at least in this context of tests. Obviously, I am not going to be happy with providing the source with that...

Of course, I understand what you mean. And from your initial reply, you mentioned about Sharpe so I pulled out another set of test results. In terms of the viability of the tests... I understand, that it's trivial due to the a lot things like the models I used. But it's a test and I think...

Here's another one: I tested the well known fitness measures that you typically see in retail level testing platforms and ran whether or not they have any significance for evaluating a model. A bit more... 1. So I have 12 models total. 6 of the models are tested using EOD and the rest...

First... Testing with large sets of data. I took six models all profitable which I trade. I picked out the 6 models considering that I am about to run a parametric optimization and has a quantifiable sustainability after each test run. I have taken 40 years of US equities, commodity...

There are plenty of conventional knowledges that are perceived to be true but in reality are very trivial (situationally correct). We had a lot of these with discretionary trading like.... 1. Trend related.: - Trend is your friend. - Cut your losses short, let your profits run...

A loser as a discretionary trader stays a losing trader, no matter what. This travis dude claims all these stuff about systematic trading but you're still doing the same ol' shit. Forward test (out-sample) has very little viability. I've done my homework. Where's yours...

I agree with ya. There's plenty of PF 1.5+ models (that are static) performing for 20+ years... Actually, it's not so hard to make... few ways: Static Approach: Take a PF 2.0 model (developed using 1 year data). Isolate the condition in which the models perform well under (Bull/Bear...

I have a very good reason to disapprove of your claims. I'm not going to bother reposting stuff... http://www.elitetrader.com/vb/showthread.php?s=&postid=2527534#post2527534

I wouldn't exactly conclude it as that. Just like discretionary traders with charts, you only percieve an abstract of the information or a focused pattern represented in it. What looks good is not necessarily "good". Also, as a systematic trader, you wouldn't want to resort and conclude...

Rebates. Just an example from BATS: http://www.batstrading.com/FeeSchedule/

Off topic... But a PF with 1.00001 and 10.0+ doesn't help if the market changes and the system stops working... All the talk about backtesting measurement (It's important in its own way) is only 1/2 the story. All the Tradestation, WealthLab, or other kinds of system performance reports...

Sorry... you're right. After looking into it, I found out that my sources were wrong. http://www.investmentnews.com/article/20080428/REG/247052475

1. Depends... Because... From the OP's previous posts, he seems like an academic dude... most likely, more knowledgeable than most in ET... So most of the Chicago props would not be able to keep up with his requirements further on leading him leading the firm. So... - If you have a...

The following is a test I've done... 1. The top column is the length of the test period in which the model initialially ran their backtesting. The row column is the model that the program optimized. So the computer would randomly pick a starting time for the test and run the amount of...

I'm reading too much BS in ET about.... obviously it's nothing new but... the significance of backtesting with a long historical data and running a out-sample. Too many posters in here mention about 10+ years of historical backtesting as a necessity for these but most of them don't make the...

Good thread. I'll add a few things. Cherry picking is a major issue with money management because you're trying to take a non-biased probability (like flippin' coins) and "optimizing" or "curve-fitting" your trade management rules intentionally... (as Trader Zones has mentioned....) But...

Since everyone across the country is repeating the phrase, "Who is Don Bright?", it is natural that many people have attempted to answer that question. The phrase becomes an expression of helplessness and despair at the current state of the United States. Elite Trader hears a number of legends...

Great... tickzoom is now "Sir Spam-alot"... Just another series of action that makes a regular ET poster want to diss on... Seriously... do you have any plans of stop drinking or taking drugs??? Maybe you have a major issue with patience... Or are just that desperate to make your...

The studies done is trivial. HFT / Algos DO affect the market. I was under a similar discussion with a few guys deep in the operation (Buy-side) a few months back... The conclusion is: Decimalization affected the Equities Market. It changed the intraday market and took along a few firms...