Back Testing....."Paradoxically" Speaking
- Thread starter Rogue Trader
- Start date
seems to me that backtesting is a usefull way to see if a system is going to work.However , what good does it do to know if a system worked six months ago,or five years, or whatever. what I want from backtesting is to find out if a system works in todays market.So,I guess my question is,how far back should one go?
terrh
terrh
terrh - you should split your data set into a backtesting and forward testing set. You backtest/optimize over the backtest set and then run a validation run on the forward testing set. Since the forward test set would normally run into current time you'll have an idea how the system will perform now rather than just 6 months ago.
This is important because there are a lot of trend following systems that worked well during the late 90s (on the way up) and 2000 and most of 2001 (on the way down) but come unglued when they hit a choppy or range bound market.
This is important because there are a lot of trend following systems that worked well during the late 90s (on the way up) and 2000 and most of 2001 (on the way down) but come unglued when they hit a choppy or range bound market.
I think it's really pretty simple: A system that show profits during backtests may continue to produce profits. A system that show losses during backtest is highly unlikely to show profits moving foward.
So backtesting is more about eliminating strategies that do not work, than attempting to "prove" that any particular strategy will work in the future
So backtesting is more about eliminating strategies that do not work, than attempting to "prove" that any particular strategy will work in the future
Rogue,
GREAT POST
Unfortunately your point went over most heads, being that they are totally hypnotized by the illusion of time... anyway just wanted to say great post and that it is extremely refreshing to get some stimulating threads on this forum finally...
KEEP EM COMING!
PEACE and good trading,
Commisso
GREAT POST
Unfortunately your point went over most heads, being that they are totally hypnotized by the illusion of time... anyway just wanted to say great post and that it is extremely refreshing to get some stimulating threads on this forum finally...
KEEP EM COMING!
PEACE and good trading,
Commisso
Trade what you see not what you think. Is an oft repeated phrase from the school of zen trading.
A school that I believes dooms losing traders into thinking they need to change themselves instead of their methodology. As we know it was agreed by threei that we are not really trading without emotions but really learning how to trade with our emotions.
Trade what you see not what you think runs contrary to one Dr. Van Tharps warnings that you do not trade the markets just your beliefs about the markets. Price charts, order flow and everything eventually has to get filtered by you. Trading what you see is consequently nonsense. If a stock is going up do you see it as a retracement to sell or a pullback to buy. What do you see? It depends on your filters does it not?
Trading can be simple if you know what your doing and you eliminate this self destroying nonsense. If you do not know what you are doing you will see trading as a test of your character and your will and your brain and your veltenchaung. (spelling).
I will concede that perhaps you have to have a talk with yourself about your motivations and your goals but please do not think you are going to make money if you do not have a methodology. If you are going to climb the mountain you need a map a plan and the equipment. If you are prepared to climb then the psychology should take care of itself.
A school that I believes dooms losing traders into thinking they need to change themselves instead of their methodology. As we know it was agreed by threei that we are not really trading without emotions but really learning how to trade with our emotions.
Trade what you see not what you think runs contrary to one Dr. Van Tharps warnings that you do not trade the markets just your beliefs about the markets. Price charts, order flow and everything eventually has to get filtered by you. Trading what you see is consequently nonsense. If a stock is going up do you see it as a retracement to sell or a pullback to buy. What do you see? It depends on your filters does it not?
Trading can be simple if you know what your doing and you eliminate this self destroying nonsense. If you do not know what you are doing you will see trading as a test of your character and your will and your brain and your veltenchaung. (spelling).
I will concede that perhaps you have to have a talk with yourself about your motivations and your goals but please do not think you are going to make money if you do not have a methodology. If you are going to climb the mountain you need a map a plan and the equipment. If you are prepared to climb then the psychology should take care of itself.
Jem,
You seem to be very confused with Zen, yet you have so many opinions
There is no school... It is not something that you conceptualize or philosophize or learn; for there is nothing to learn or to be attained... It is not a way of thought Jem... You dont practice it... And there is no purpose to Zen... School is the wrong word...
PEACE and good trading,
Commisso
Commissio as I have been down this road before I ask you to define zen as it applies to trading. And I ask you to point out my misunderstandings because I am willing to learn.
I do have opinions on the subject because I was once very interested in the study of it for the sake of improved performance in a sport --both mine when I played and the students that I taught after I did not make it on the tour.
I became aware of it reading the inner game books in the 70s and watched how the concepts have been commercialized. I find most of the things said by people "teaching" it to be a joke.
The myth of the zone.
I wonder how people could mistake the zone for what it really takes to succeed which is grind. Golfers grind, tennis players grind, floor traders grind, everytrader I have seen who makes money grinds. These grinds are occasionally interspersed with zones. But a zone is not what it takes to be a pro, a pro grinds.
The myth of emotionless trading
A pro deals with his emotions and follows his plan so that his emotions do not block his performance too much. It is the trend among pros to acknowledge that their performance is impeded by pressure and emotions. Before a big point a tennis player will have plotted his strategy he will then go into his routine. By bouncing the ball four times and then going to the ready position he is trying to allow his routine to work even though he feels pressure. His preparation for success is what allows him to perform under pressure. I taught tennis at a club Ivan Lendl owned, I saw how he worked to overcome his early choking. His hard hard work and preparation put him in position to allow himself to believe he deserved to win.
3 trade what you see
I am still waiting for a reply to "trade what you see" versus the Van Tharp statement saying you can only trade your beliefs.
It is my thesis that hard work breeds success and success breeds bigger success.
I make these statements because I have seen hundreds of traders say the same thing. If I had stayed in longer, If I had followed my system. If I had taken this entry. Here was the exit etc. They do not really see that they are falling to the illusion of the markets. There are infinite possibilities to see winning trades and you could have always done better. Telling someone they need to work on their psychology misleading. They need to understand what is happening in the markets and that is their job to develop a method of grinding out consistent profits. If they had good methods they would believe in them. Then they would make money. Then they would follow their methods. Then there would be little need for zen consultations.
I believe people are being led by some people to examine themselves not their methods and this prolongs their agony. (I am not saying this is the case on elitetrader, here I just think most of the zen stuff is just parroting of Mark Douglas. )
I have no problem with a good debate so have at it. Let me know why I am the lone fool and the zen crowd is correct. By the way there is no doubt after seeing the posts on this board that the crowd is into this zen stuff and that alone should make you concerned.
I do have opinions on the subject because I was once very interested in the study of it for the sake of improved performance in a sport --both mine when I played and the students that I taught after I did not make it on the tour.
I became aware of it reading the inner game books in the 70s and watched how the concepts have been commercialized. I find most of the things said by people "teaching" it to be a joke.
The myth of the zone.
I wonder how people could mistake the zone for what it really takes to succeed which is grind. Golfers grind, tennis players grind, floor traders grind, everytrader I have seen who makes money grinds. These grinds are occasionally interspersed with zones. But a zone is not what it takes to be a pro, a pro grinds.
The myth of emotionless trading
A pro deals with his emotions and follows his plan so that his emotions do not block his performance too much. It is the trend among pros to acknowledge that their performance is impeded by pressure and emotions. Before a big point a tennis player will have plotted his strategy he will then go into his routine. By bouncing the ball four times and then going to the ready position he is trying to allow his routine to work even though he feels pressure. His preparation for success is what allows him to perform under pressure. I taught tennis at a club Ivan Lendl owned, I saw how he worked to overcome his early choking. His hard hard work and preparation put him in position to allow himself to believe he deserved to win.
3 trade what you see
I am still waiting for a reply to "trade what you see" versus the Van Tharp statement saying you can only trade your beliefs.
It is my thesis that hard work breeds success and success breeds bigger success.
I make these statements because I have seen hundreds of traders say the same thing. If I had stayed in longer, If I had followed my system. If I had taken this entry. Here was the exit etc. They do not really see that they are falling to the illusion of the markets. There are infinite possibilities to see winning trades and you could have always done better. Telling someone they need to work on their psychology misleading. They need to understand what is happening in the markets and that is their job to develop a method of grinding out consistent profits. If they had good methods they would believe in them. Then they would make money. Then they would follow their methods. Then there would be little need for zen consultations.
I believe people are being led by some people to examine themselves not their methods and this prolongs their agony. (I am not saying this is the case on elitetrader, here I just think most of the zen stuff is just parroting of Mark Douglas. )
I have no problem with a good debate so have at it. Let me know why I am the lone fool and the zen crowd is correct. By the way there is no doubt after seeing the posts on this board that the crowd is into this zen stuff and that alone should make you concerned.
"Commissio as I have been down this road before I ask you to define zen as it applies to trading. And I ask you to point out my misunderstandings because I am willing to learn."
Well I appreciate your willingness to learn, but there is truly nothing to learn or gain with Zen... It is not an intellectual thing... It is an experience, therefore I cannot define it, It defies conceptualization, for what one can conceptualize is always immeasurably less than what one can experience... and it does not directly apply to trading anymore than it applies to everything else under the sky... but if i was forced to put in words I would say something like;
Zen is nothing more than a centering on what IS, not what could be, should be, ought be, will be, was.... It is a complete immersion into the present moment, in which all memory and expectation cease to exist... nothing more / nothing less...
I will respond to the rest of the post during the doldrums
PEACE and good trading,
Commisso
Well I appreciate your willingness to learn, but there is truly nothing to learn or gain with Zen... It is not an intellectual thing... It is an experience, therefore I cannot define it, It defies conceptualization, for what one can conceptualize is always immeasurably less than what one can experience... and it does not directly apply to trading anymore than it applies to everything else under the sky... but if i was forced to put in words I would say something like;
Zen is nothing more than a centering on what IS, not what could be, should be, ought be, will be, was.... It is a complete immersion into the present moment, in which all memory and expectation cease to exist... nothing more / nothing less...
I will respond to the rest of the post during the doldrums
PEACE and good trading,
Commisso