Holy Grail

Long + Short Long Only Short Only Buy & Hold
Starting Capital $30,000.00 $30,000.00 $30,000.00 $30,000.00
Ending Capital $214,376.06 $214,376.06 $30,000.00 $132,096.57
Net Profit $184,376.06 $184,376.06 $0.00 $102,096.57
Net Profit % 614.59% 614.59% 0.00% 340.32%
Annualized Gain % 305.19% 305.19% 0.00% 187.11%
Exposure 50.43% 50.43% 0.00% 100.00%

Number of Trades 57 57 0 1
Avg Profit/Loss $3,234.67 $3,234.67 $0.00 $102,096.57
Avg Profit Loss % 100.64% 100.64% 0.00% 340.32%
Avg Bars Held 58.93 58.93 0.00 355.00

Winning Trades 55 55 0 1
Winning % 96.49% 96.49% N/A 100.00%
Gross Profit $185,590.52 $185,590.52 $0.00 $102,096.57
Avg Profit $3,374.37 $3,374.37 $0.00 $102,096.57
Avg Profit % 104.51% 104.51% 0.00% 340.32%
Avg Bars Held 60.44 60.44 0.00 355.00
Max Consecutive 55 55 0 N/A

Losing Trades 2 2 0 0
Losing % 3.51% 3.51% N/A 0.00%
Gross Loss $-1,214.46 $-1,214.46 $0.00 $0.00
Avg Loss $-607.23 $-607.23 $0.00 $0.00
Avg Loss % -6.03% -6.03% 0.00% 0.00%
Avg Bars Held 17.50 17.50 0.00 0.00
Max Consecutive 2 2 0 N/A

Max Drawdown $-22,177.09 $-22,177.09 $0.00 $-49,354.74
Max Drawdown % -51.65% -51.65% 0.00% -65.08%
Max Drawdown Date 24/07/2003 24/07/2003 N/A 07/10/2003

Wealth-Lab Score 292.65 292.65 0.00 65.34
Profit Factor 152.82 152.82 0.00 INF
Recovery Factor 8.31 8.31 N/A 2.07
Payoff Ratio 17.34 17.34 0.00 INF
Sharpe Ratio 1.31 0.00 0.99 1.31
Ulcer Index 15.13 15.13 0.00 29.81
Wealth-Lab Error Term 31.27 31.27 0.00 32.53
Wealth-Lab Reward Ratio 9.76 9.76 N/A 5.75
Luck Coefficient 1.06 1.06 0.00 1.00
Pessimistic Rate of Return 241.73 241.73 0.00 0.00
Equity Drop Ratio 0.00 0.00 0.00 0.00
 
ok, that didn't turn out the way i intended...it was supposed to be in a table format...

anyways, let me explain.

I created an algorithm that gives a 300% anualized return... the only catch is the gains are spotty (ie. occur about 4 months of the year, if at all), so it's much like hunting for profits.

This, to me, is a holy grail.
 
...Grob109 can be maddeningly oblique, verging on obtuse, and cryptic, verging on enigmatic. However, I recommend that you scan his posts going back a few weeks and reassess your opinion. I think he has a lot to offer, it's just hard as hell to grasp what he says because he doesn't make it easy.

Several comments he has made have cut me to the quick and caused me to rethink what I do. I have no relationship with him. My philosophy is that someone who takes the time to make the long and frequent posts he does, without hyping a service, is either a nut case or sincerely wants to share something he thinks is of value. For the moment I believe the latter. I am not being nice, because I have identified others here I find worthy of my scorn, and I cheerfully heap it upon them. Please excuse my post if you have a pre-existing hostile relationship with him. Best regards. - Mike
 
...thanks for your reply. I'm not trying to be argumentative, just interested in your opinion, since it so clashes with my own. If by a mechanical system you mean one which gives precisely timed signals, like signalling an entry at the close of the current bar to be taken an the open of the next, I would assert that mechanical systems demonstrably do work. The Holy Grail? Ha! Maybe a tin cup!
 
I parsed your post in color

Quote from momotrdr:

Grob-

Before I call bullshit on you. I would like ask for a watered down,
version on this if you please. I read your post once, then went back and read it a few more times, just to make sure.

Being sure is a nice concept. I will apply water and color

Your operational definitions on each of your nifty catch-phrases, differs from what would be considered common uses of financial jargon in this community. Which leaves me considering the possibility that although you wanted to sound intelligent you tripped over yourself to do so....

They do differs. Actually each one differs. You are correct. I have very few wants and sounding intelligent is not a want


I'm referring to these two paragraphs specifically;


>>As you glide along learning about markets, you will get the the place where it is a requirement to be in the market at all times as a matter of money velocity considerations. It is not possible in this modern world to compete nowadays with out continuous high money velocities relative to the potential of any given market place to deliver capital appreciation.<<

>>For uncomplex markets (zero sum ones) there is a concept of winners and losers. Functional system mechanically migrate at all time to the winner side of the market.<<


Money velocity considerations?

Time rate of change of capital appreciation is a consideration. I evaluate my money velocity in two markets: equities and futures indexes. In equities I am doing 7 to 9 % a week compounded. Consult the attached PnL; look for % all over the place. These are money velocities. thread yellow made 62% in five weeks; thread orange is bullshit; the other two threads are only 30% or so, so all threads but the yellow one need my attention; they need to be improved.

I am an amateur so I do not do as well as the guys using the financial jargon of this community. When i begin to see their PnL's like the one attached I will find out how bad my jargon is. I have hopes though.

Velocities relative to the potential of any given market place?

The 6 points I made midday was done during a H/L variation of 2 1/2 points. I look at the two values. 2 1/2 points is the potential vis a vis market movement. I only got 6 points with 1 or 2 contracts. The market gives everyone a potential measured by it's movement. Everyone takes money out as I do except for 90% of the financially competent people in ET. I am not bugged too much by not being as good as the financially competent guys here you mentioned. I will get better. It was my first day in IB during midday. I will pop a copy of my print on here for you and then I will post the trading description too so you can compare and see if I screwed it up. With both versions you can be more sure of what is bullshit. Use another data base too. My print times are 4 hours off the EST market times.

Uncomplex markets???????????????????????????

futures indexes have two variables: price and volume. When one person wins the other does not. for me that boils down to trading continually on the right side of the market and extracting money. For amateurs, we call it KISS

then, (zero sum ones)?? WHich ones aren't?? I must be trading the wrong markets. But this is suggesting two conflicting concepts!

The equities market is not a zero sum market. Welcome to the club. Do a search on this or get an economics 101 text.

So, if I'm understanding correctly, I should be looking for a Complex market (NON-Zero sum ones), which supports the concept of ALL winners -OR- ALL Losers. I guess that would make it easy, I simply choose to be on the Winning side all the time and thats that!

You did not understand correctly. Back up and review the concepts outside my post that you have screwed up. My post was to a person who is not very far along. Since you did not get my post and you have screwed up concepts of your own, you may want to consider where you are. I do not care.
This attachment and the two that follow are only being given to you to let you know a very small amount of the record I produce in two markets using unconventional jargon descriptors by your standards. Most people put up with my bullshit because it makes more money for them than anything else they can make use of. All my stuff turns out to be programmable and mechanical. It is just amateur bullshit. I certainly recognize that and 4 out of 5 people think my stuff is bullshit just like you do.

-momo
More...
 

Attachments

...you obviously ain't got a date on Friday night either. In brief, what's the story on Jack/Bubba/Grob? I don't have all the history and frankly don't want to spend the time to go get it. Is there nothing of value there in your opinion? Grob is by far not my least favorite poster here (which subject would make a great poll). He shall remain nameless, lest he do a search and find his name and come round to this thus-far eminently rational thread. BTW, not an attack, I respect the generous work you have done here and on SI. Best regards. - Mike
 
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