hi All,
I have been working together with a friend of mine to build strategies, although over the last year, it's been mostly a one way street, where I would implement and back test almost everything while my friend would forward test the strategies after I send him the executable to run. Recently, I have been becoming fed up with his attitude and am thinking it's time to move on and do this on my own. The reason is this: he is fundamentally a non-analytical person. He does everything by gut feel, although he never admits it. I am a hyper analytical person requiring a lot of statistics and back testing before I can start to believe in a profitable set up. So far, I have been able to find a few strategies that are profitable for some finite period of time, but then becomes unprofitable. I can accept this, and I am willing to use these strategies while the opportunities last and trust that I will stop using the strategy after it stops working (e.g., after a 10 or 15% draw down, I might stop live trading and go to paper for a while).
What drives me crazy is this: I am working on a strategy and find out a few problems with it so I test a bunch of hypotheses to try to correct this problem. I would run many different tweaks until I find a way to reduce the draw down or improve the win rate, or improve the mean profit and reduce the mean loss.
But then my friend would then come in and propose something completely out of left field, a completely different strategy that has nothing to do with the problem at hand. When I ask why he believes this will work, then he says he looked at the charts and "knows" that it works. So I go ahead waste a week to test it out, and invariably it doesn't work consistently. There may be one or two days that it works, but then there are 30 or 50 days that it absolutely doesn't work and it makes things absolutely horrible, losing 10s of thousands in a matter of months. So I tell him this, and his response is: I don't trust the back tests. The past is not a reflection of the future. I "know" that this works now because it worked yesterday and today.
So I try to tell him that although the past is not a guarantee of future behavior, it is our best guess and therefore we must use this information to guide our investments. But he doesn't budge. He has this favorite saying that the markets should not be approached as a science.
Perhaps he has his own way of doing things, but I simply cannot work with a person who refuses to accept statistics. We get into huge arguments because of this, and he always ends up making anti-scientific statements, although he never admits that it is illogical to make such statements.
So my question to the board: what should I do? Should I bear with this aggravation and keep working with him or just tell him it's over and I will develop whatever I think is right on my own. I know that we will keep getting into arguments, and sometimes I wonder if there is any benefit I am getting out of this collaboration. A key fact I have so far left out, though, is that he is the one who instigated this whole project by approaching me with this idea of developing an ATS, but it's just that I can program better so I ended up implementing everything...
I have been working together with a friend of mine to build strategies, although over the last year, it's been mostly a one way street, where I would implement and back test almost everything while my friend would forward test the strategies after I send him the executable to run. Recently, I have been becoming fed up with his attitude and am thinking it's time to move on and do this on my own. The reason is this: he is fundamentally a non-analytical person. He does everything by gut feel, although he never admits it. I am a hyper analytical person requiring a lot of statistics and back testing before I can start to believe in a profitable set up. So far, I have been able to find a few strategies that are profitable for some finite period of time, but then becomes unprofitable. I can accept this, and I am willing to use these strategies while the opportunities last and trust that I will stop using the strategy after it stops working (e.g., after a 10 or 15% draw down, I might stop live trading and go to paper for a while).
What drives me crazy is this: I am working on a strategy and find out a few problems with it so I test a bunch of hypotheses to try to correct this problem. I would run many different tweaks until I find a way to reduce the draw down or improve the win rate, or improve the mean profit and reduce the mean loss.
But then my friend would then come in and propose something completely out of left field, a completely different strategy that has nothing to do with the problem at hand. When I ask why he believes this will work, then he says he looked at the charts and "knows" that it works. So I go ahead waste a week to test it out, and invariably it doesn't work consistently. There may be one or two days that it works, but then there are 30 or 50 days that it absolutely doesn't work and it makes things absolutely horrible, losing 10s of thousands in a matter of months. So I tell him this, and his response is: I don't trust the back tests. The past is not a reflection of the future. I "know" that this works now because it worked yesterday and today.
So I try to tell him that although the past is not a guarantee of future behavior, it is our best guess and therefore we must use this information to guide our investments. But he doesn't budge. He has this favorite saying that the markets should not be approached as a science.
Perhaps he has his own way of doing things, but I simply cannot work with a person who refuses to accept statistics. We get into huge arguments because of this, and he always ends up making anti-scientific statements, although he never admits that it is illogical to make such statements.
So my question to the board: what should I do? Should I bear with this aggravation and keep working with him or just tell him it's over and I will develop whatever I think is right on my own. I know that we will keep getting into arguments, and sometimes I wonder if there is any benefit I am getting out of this collaboration. A key fact I have so far left out, though, is that he is the one who instigated this whole project by approaching me with this idea of developing an ATS, but it's just that I can program better so I ended up implementing everything...
