If somebody has an experience of copying losing strategy with reverse?

algofy said:
1 and 3 yes...2 no, I only save things that seem to have a high likelihood of working.
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If you have the data, I could analyse why it does not become profitable when you flip the trade. Mathematically/theoretically it should be inversed.
 
Xela said:
About 5 years ago, there was a strategy I found explained in a book (by Kathy Lien and Boris Schlossberg) which I thought probably looked really bad, and it seemed to be hopeless on back-testing by eye, so I did actually try a lengthy back-test a little more formally, switching the long entries to short entries and vice-versa to test the opposite (using software called ForexTester-2 over a decade's price data, making plenty of allowance for slippage and commissions, and so on), and sure enough it really did make pretty steady profits with a PF around 1.3, and frequent trades, with absolutely no substantial drawdowns at all.

I'm embarrassed to say that I didn't quite have the nerve to try it live, just in case the markets had changed (and because the reverse strategy's PF of 1.3 was actually lower than everything else I was doing at the time).

But it was certainly a system that was bad enough to make it profitable to reverse the strategy and trade it.

I always remember that when I see forum posts claiming that the opposite of a losing system will always be a losing system too, by the time you factor in all the dealing costs, because I don't believe that's true.

There was also an academic paper published somewhere quite a while ago, which purported to show that fading a moving average crossover was profitable, but I can't remember the details now (I saw it refered to and cited in a textbook but can't remember where, now. As I remember one of the MA's was displaced to the right by about half of its own periodicity, and the stop-loss and targets were ATR multiples. Something like that, anyway).

(There was also something published once purporting to show that the original "Turtle methodology" could profitably be faded, at the time, on a range of instruments. Which I can fairly readily believe.)

So the overall idea perhaps isn't as outlandish as it appears, anyway.
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Can you share your results from tester?

 
carrer said:
All you need is a consistent-losing strategy. If it is consistent, all you have to do it turn it around. The problem is, it is equally hard to find a consistently losing strategy and a consistently winning strategy.
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It is true.
 
mushinseeker said:
If the opposite of a losing system is also a losing system, where does the money go? Trading is inherently a zero sum game? unless of course is it a marginally losing system, then yes-the vig will erode the other side but if a strat is 35% winners, with a reasonable risk :reward ratio, then fading that has got to be a winner.
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I think you are right. Thansk
 
carrer said:
If you have the data, I could analyse why it does not become profitable when you flip the trade. Mathematically/theoretically it should be inversed.
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It's because the inverse is only profitable for that sample, doesn't mean the inverse of a losing stategy will be profitable over the long run. If it was that easy we'd all just do the opposite of really illogical and unprofitable strategies and get rich.

Back-testing doesn't guarantee a strategy will perform well in the future also, what guarantees future profitibilty is sound logic.
 
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mushinseeker said:
Sure henry... so let's say I want to model a strategy of a butterfly that pays best when it settles in 2 weeks at the entry price. Ex SPY=$200, I wanna model expected return on 190/200/210 fly BUT the backtests indicates that 55% of the time it settles a tad higher ie $205-207 . I would then adjust flies at the $205 peak. "Stock market wizards" book by Jack Schwager (John Bender chapter) illustrates it better. something to do with modelling out the prob distribution of the stock and using options to maximize it.
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MushinSeeker, How would you adjust flies at 205 Peak; Thanks. Kindly share 2 detailed examples of using estimated non-normal prob. distribution trades like Bender detailed the examples of gold and the US Stock Index. I would be forever grateful. Gaurav
 
Ever good system has drawdowns, study their equity curves at peaks and when they turn... long term commercial systems, check out Futures Truth. I do it the other way around waiting for DD to end then automation kicks that system to take signals till new equity highs and then no more signals taken.

Either become Forex dealer or do brokerage and get commissions and then see what dumb idea that was, LOL
 
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