Any pure mechnical traders or system traders?
- Thread starter feng456
- Start date
OK more answers:
I use marketorders to get in to make sure I get in. Slippage is never more than 1 tick anyway if at all so it means no more than 1-2 points per month in losses. Limit order for target (one) and stop. No trailing or anything like that.
"now if you go and backtest on these 4 months what do you see? is it also 30% of expected performance of prior backtests?"
- the results would be exactly the same specifically because i design my systems so that the variables between live market and backtesting are 99% the same. i purposely did that to increase relevance of the backtesting. so yes it would.
munnyhunny: a major reason i made my system to have as few rules as possible, which yours seems to have a lot of, is i want to avoid curve fitting. the more specifically tailor a system is to a set of conditions, the less able it is to survive in any other environment.
I use marketorders to get in to make sure I get in. Slippage is never more than 1 tick anyway if at all so it means no more than 1-2 points per month in losses. Limit order for target (one) and stop. No trailing or anything like that.
"now if you go and backtest on these 4 months what do you see? is it also 30% of expected performance of prior backtests?"
- the results would be exactly the same specifically because i design my systems so that the variables between live market and backtesting are 99% the same. i purposely did that to increase relevance of the backtesting. so yes it would.
munnyhunny: a major reason i made my system to have as few rules as possible, which yours seems to have a lot of, is i want to avoid curve fitting. the more specifically tailor a system is to a set of conditions, the less able it is to survive in any other environment.
Shit for brains.
I am trying to help him and be civil. Don't try to hijack the thread or turn advice into an argument.
And yes, THEY DON"T MATTER when trying to determine why his system does not work the way it did when backtested. Why? The ES is such a liquid market that there is virtually no slippage unless it is extremely volatile. And since he said he is doing everything the same as in his backtest then those factors would also have been taken into account in his results.
If on the other hand, as stupidly suggested, he is using multiple stops and limits, then he is not using market orders anyway and your point again is useless.
And if he has multiple stops/limits it is still ONE system, but with multiple positions/exits.
What was the question you asked Murray regarding his trading and reading? Sort of ironic.
I am trying to help him and be civil. Don't try to hijack the thread or turn advice into an argument.
And yes, THEY DON"T MATTER when trying to determine why his system does not work the way it did when backtested. Why? The ES is such a liquid market that there is virtually no slippage unless it is extremely volatile. And since he said he is doing everything the same as in his backtest then those factors would also have been taken into account in his results.
If on the other hand, as stupidly suggested, he is using multiple stops and limits, then he is not using market orders anyway and your point again is useless.
And if he has multiple stops/limits it is still ONE system, but with multiple positions/exits.
What was the question you asked Murray regarding his trading and reading? Sort of ironic.
Feng
You have things backwards. My point is exactly what you said and I do not tailor anything.
You can be sure my system has fewer "rules" then yours, but you are confusing entry rules with exit conditions. I have a few basic rules for entry, and adjust the stops and limits so that it does 'survive' in every environment. That is the point. Basic rules for entry, which are true in all markets, but the adaptable exits for different markets, etc. Stops that work on ES would never work on CL, etc. That is where the adaptability part comes in. But my entry rules don't change.
You have things backwards. My point is exactly what you said and I do not tailor anything.
You can be sure my system has fewer "rules" then yours, but you are confusing entry rules with exit conditions. I have a few basic rules for entry, and adjust the stops and limits so that it does 'survive' in every environment. That is the point. Basic rules for entry, which are true in all markets, but the adaptable exits for different markets, etc. Stops that work on ES would never work on CL, etc. That is where the adaptability part comes in. But my entry rules don't change.
Feng, when you have exhausted yourself and everyone else with this free-for-all, please post that you are ready for a one-on-one and you and I will start over step-by-step. I have nothing to sell you. And I have no dogmatic positions to defend with wordy diatribes. This really is simple.
Thanks. I'll hold off and just read until everybody blows off.