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    Would You Trade This System?

    Look ahead occurs in a backtest when the system logic references any price level that would be otherwise unknown during actual trading. For example the system If the high of tomorrow is higher than the high of today then buy at the open of tomorrow involves look ahead. But this is a...
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    Do you see patterns in Random Walks?

    Here is an interesting pattern in SPY as of last close from the price action blog with one showing only in the history and zero showings in some other markets. The author tries to provide an explanation for that. Anyone else has one? http://t.co/mEsKnNQw Do you think this a a random...
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    Would You Trade This System?

    Your equity curve hints at possible "look ahead" in your backtest. This is either a heavily curve-fitted system or a system that exploits some looking ahead hole in backtest. If none of the above, then you may have found an equivalent of HFT in lower frequency mode.
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    Interesting Stats

    He is another one that failed the probability course :)
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    Would You Trade This System?

    No problem. To buy 2500 SPY you currently need about $450K. Much above 4x margin in your case. This means that you may have used hypothetical profits in your backtest to size positions. This is highly unrealistic backtest. I would suggest you try again with a fixed 100 shares positions. What do...
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    Trade Analysis

    If you cannot part with $200 to buy software needed for your trading quit now that is early. My advice. :)
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    Would You Trade This System?

    You have not disclosed key statistics: Timeframe Number of trades/long/short Sharpe ratio Initial account size You profit factor is borderline noise trading. Hedge funds and other professionals will not even discuss a system with profit factor less than 2. You must increase the profit...
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    Extremely simple strategies with > 100% annual return

    I wouldn't worry so much about slippage and commission for this particular model. In general I would though. I still do not see the value in doing all that work and using such filters for getting a high drawdown - low Sharpe system. My simple MA crossover with no optimization retutns about 37%...
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    AAPL for a one week trade?

    Values are created and destroyed everyday.
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    Small Stops

    Small stop: speculator large stop: investor semantics or substance?
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    FACEBOOK IPO M.O.-- screw the employees?

    I think I'll agree. Maybe not 100 but maybe 20 takeovers. There was an interesting post in the price action blog today about the impact of facebook. There is a link in the post to PC sales data http://t.co/d6m5q1vc
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    POLL: The death of daytrading

    I just picked this from the article: "Stocks that once moved rather smoothly from point A to point B now move in a more jagged and less predictable manner. " I trade for 25 years and I never remember of a time when anything, any market, traded smoothly from point A to point B. This...
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    Extremely simple strategies with > 100% annual return

    Some other members here pointed out to you that this is not a parameter free system but a continuously optimized system. At the point the walk forward optimization stops and real trading begins the system uses a specific set of parameters selected by the previous optimization. This is a straight...
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    How far will the Euro fall if Greece goes into 'bankruptcy'?

    There is no provision in current Treaties for anyone leaving the Euro. Actually, it is not known if a country that joined it can legally do it without violating the joining agreement. All European texts are incomprehensible the same way the EU websites are. It is hard to understand what the EU...
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    Extremely simple strategies with > 100% annual return

    You made some very good points. I agree with most. It is not curve-fitting in itself that does the damage but the non-stationarity that path dependent systems exhibit. Another way I will be exploiting soon is to find systems with very high win rate and low statistical significance and just...
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    Extremely simple strategies with > 100% annual return

    Well said! All possible combinations of every conceivable indicator and system theory applications, like identification, adaptation, etc., have already been exploited by quants, especially in Eastern Europe and Russia, where people had the time to play with tools but not the money. The...
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    Extremely simple strategies with > 100% annual return

    In this particular case it appears that a good system cannot be produced using as a bait the low pass filter concept. If that were true, most electrical engineers would be billioner traders. Only promises were offered but no actual good results.
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    Extremely simple strategies with > 100% annual return

    This system is a joke. I do not think your LPF can generate systems that are better than a simple MA crossover. Why don't you provide backtest results for 10 - 15 years? There is free FX data all over the place.
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    Extremely simple strategies with > 100% annual return

    You heard everyone. Take his word for it. Big words, no proof. Typical behavior of a crank.
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    Extremely simple strategies with > 100% annual return

    Could you post pls the details of the backtest?
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