Is this "THE HOLY GRAIL"' for trading the E-MINI'S

That's the fundamental problem with all those
backtested trading systems, you will
NEVER know how long they will produce
the backtested results in the future.

The Holy Grail trading system will be the
one that will work till the end of times.

And to know that it will work forever, you
will have to backtest your system on an
unlimited number of samples...and that's
just not possible.

Yeah, as long as it works, you can keep
dreaming that you found the Holy Grail,
AS LONG AS IT WORKS..........................
 
sabena,

well I guess your statement is true conceptually since we can never know the future, but some systems have achieved pretty robust results over long periods. I don't have a problem saying you can trade a vol breakout system in the currencies and bonds or eurodollars and you will make money over a long enough period with sensible risk management, although you will only have about 35% winners and may take a 50% drawdown.

Now someone may say, ok genius, if a triple MA system will kill you daytrading the index futures, why not just reverse the signals, ie go long when it goes short? Actually, that is a good question, but I think you will find you end up with the worst of both worlds. You will still get whipsawed but you will have enormous drawdowns on big trend days.
 
AAAinthebeltway,



I have no doubt that there have been systems
developed that have produced good results
with limited drawdown over long periods.

If you really want to develop something that
has the most chance of staying profitable
over long periods with limited drawdown then
you should start to approach the markets
with non-linear tools, meaning not using
the classic system development tools, because
the markets are not linear.

You should start out with more sophisticated
tools but this is beyond the reach of Trader
Joe, I believe.

I would only use a mechanical system as some kind of filter and let experience decide wether or not to take the trade...
 
Impressive JeanMichel. Do you actually take the trades yet on this system, or is it hypothetical? What is the point of this thread? Are you trying to disclose your system, or just prove that the Holy Grail exists? I can't believe a system using lagging indicators can be successful in the long run. :)
 
Your right AAA.

Ive backtested numerous N-moving average systems.
They dont work.

You enter time periods when they work, then time periods
when they kill you.

What are the chances something this obvious could work?
It was one of the very first back tests I tried when I
first started trading.

Given enough time , the average is break even.
You just end up spending a ton of money on
commissions for no gains.

The holy grail in a system like this is predicting when
the market is gonna trend VS play in ranges.

Haha.... yeah right.

I guess thats what the magic blue line is ;-)

-axeman



Originally posted by AAAintheBeltway
I can save everyone some grief here. A triple moving average system will not work on the index futures, period. There is too much lag, so you end up getting whipped constantly. There may be periods of a few weeks to months that any system will make money but you will give it back. Anyone that can produce valid backtesting to prove me wrong, I will gladly eat crow and trade your system myself but that ain't gonna happen.
More...
 
I will prove with my post that the "HOLY GRAIL" excist.

The only thing that I do is following this (for me) simple
system, thats all and when the result is positive that is the most important of all, don't you think ?

Cheers
Jeanmichel
 
I have created (in the week-end) a new RSI
indicator.

Let me know if you will see him and by the way the
result is great !!!!:D

Cheers
Jeanmichel
 
Originally posted by Jeanmichel
I have created (in the week-end) a new RSI
indicator.

Let me know if you will see him and by the way the
result is great !!!!:D

Cheers
Jeanmichel
More...

Is he your clone?:D
 
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