Developing trading systems

this is what i've expected. most people on this thread will laugh and giggle about the 20 lines of code systems.

i've seen "pro" traders with 20 yrs experience without the slightest clue about systematic trading.

hedge fund managers, the same. some think backtesting is flawed by design, while 3 month records of some young dude who just got lucky has merit.
 
wow, the first thing i agree with intradaybill ;-)
looking at gold, eurchf long term charts its very easy for simple trend following sys to make huge money. but it requires patience.
most traders want to be rich next week trading with max leverage.
 
Quote from a5519:

This is really funny to read such writings.

Look at this classical example, it is a good illustration where can your approach lead to.

http://en.wikipedia.org/wiki/File:PiratesVsTemp(en).svg

Similar "models" can be seen everyday also in trading.

Best of all read carefully the post of Murray. This time he has disclosed a secret how to bild a working tradin system.
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This post may qualify for the stupiest one ever in ET.

When you manipulate price data, do you see temperature, pirates and such anywhere? Indicators based on price and volume are relevant. Do you know what relevancy means in statistical modelling? Actually, when manipulating price data strict relevance is maintained. Of course there is optimization and data snooping problems but not of the silly sort you spewed.

Think before you type or ask someone who is an expert.
 
Quote from DT-waw:

wow, the first thing i agree with intradaybill ;-)
looking at gold, eurchf long term charts its very easy for simple trend following sys to make huge money. but it requires patience.
most traders want to be rich next week trading with max leverage.
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I agree. Why should we always fight? We should agree once in a while.:)

Simplicity is King.
 
Take a look at the equity curve of one of my euro curr. futures system.

Yes, it is traded live for over a year. But this fact totally does not matter! its still the same system, traded live or not.
traded live without any prior out-of-sample or walk-forward testing.

you can do the same system just using the combination of few built in studies in TS.

99.9% of hedge fund managers are unable to do a similar thing. they must hire $200k /yr wannabes from top schools and finish a year with 5% return and 30% drawdown during a year.
 

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Quote from intradaybill:

This post may qualify for the stupiest one ever in ET.

When you manipulate price data, do you see temperature, pirates and such anywhere? Indicators based on price and volume are relevant. Do you know what relevancy means in statistical modelling? Actually, when manipulating price data strict relevance is maintained. Of course there is optimization and data snooping problems but not of the silly sort you spewed.

Think before you type or ask someone who is an expert.
More...

So you are not using "number of pirates" indicator in your trading system? An you pretend to be an expert?
 
Quote from a5519:

So you are not using "number of pirates" indicator in your trading system? An you pretend to be an expert?
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Bill is an expert on everything! :D

What? You didn't know he was the resident expert here? You're obviously one of the idiots on this site then... sorry to break the news to you.
 
Question: How do you determine when a system that used to work, no longer works and should not be used again? What criteria besides number of losses should you use to determine that it is no longer effective?

Basically, how do you differentiate between a drawdown and a broken system?
 
Quote from intradaybill:

The best system I have ever developed is 4 lines of code (EL). Sell and reverse trend following type of a thing. Unbelievable performance.
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For example my intermarket divergence systems start as four line systems. I will show you an example soon which has worked since the 1990's and can be written in four lines.
 
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