Joe Doaks Backtests Unlikely Strategies

I discovered over the years that if a system doesn't test well without profit targets or stops, it is self-deceptive to try to optimize it.
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i'm curious, how did you come to this conclusion..(no stops/pt's)
and, if hypothetically, you had a system that did produce a positive result w/o stops/pt's, would you then insert these signals?
thanks,
:)
 
Quote from Joe Doaks:

Eddie, funny you should ask. Years ago I used the 15 and 75 SMAs on a one-minute chart to trade runs in NQ, based totally on eyeballing the data. Ah, the glory days, probably never to be repeated. Subsequently I wasted enormous effort to find crossunders (a new marketing term) that worked in a reduced volatility environment. To the best of my knowledge, there ain't any. The reason? Price action is now designed to spoof EVERY KNOWN TA method with a big one-minute price move which triggers trade signals on everyboody's charts. Which then of course are faded. I use two estimators which are roughly equivalent to EMAs as intraday S/R, but it will cost you a million in cash (euros, not dollaren) to find out what they are. All I will say is that the ratio of their speed is 4:1. They're not hard to find. But if you do, don't tell ET!
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LMFAO, you should put this stuff in a book.
 
Eddie, the speed ratio is the ratio of the settings of the two EneMAs, par exemple, 100:25, which specific rat-io will do you no good at all intraday. But I am not joking. EMAs work because The Street's algorithmicists are too dumb to handle anything more complicated. For years I have tried to popularize the adaptive Kalman filter, to no avail, because they can't understand it. It's engineering, as opposed to pure math, haha! What do we sparkies know?
 
BubbaBig, that is a great question. The porblem with uptimization is that it leads to breathtaking stops, like many points. Every system I ever tested gave lousy results with rational stops (I use 3 ticks for NQ, and am thrilled to escape with four). So I have a theory. If I have to optimize it, it doesn't really work. The corollary is the following. The more you complicate a good idea, the more random and unreliable the test result is. Mind you, nothing I use now is even remotely testable. I learned that scam from Jack. And no, I wouldn't trade anything so simple that I could test it. That takes all the excitement out of trading.
 
MangleBread, I would not tarnish the memory of the great and late lamented Bruce Babcock Jr. by writing a book on backtesting. His could never be improved. But I do appreciate that you get it that backtesting is funny.
 
Quote from Joe Doaks:

MangleBread, I would not tarnish the memory of the great and late lamented Bruce Babcock Jr. by writing a book on backtesting. His could never be improved. But I do appreciate that you get it that backtesting is funny.
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LOL, it wouldn't be a book on backtesting.

It would be a poetic treatise on the insanity of the markets ... I'm sure it would sell quite well.

:D
 
Quote from Joe Doaks:

Are you thinking Dante? Milton? Kierkegaard? Or Hunter Thompson?
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Definitely Hunter ... are you kidding me, Long-Term Capital Managment, Victor Niederhoffer, Sub-Prime Mortgages, the list goes on and on.
 
I haven't proved or disproved to you that you should buy an up close. Should you? You don't fucking KNOW, do you? But let's suppose that I did, and that you liked "Buy Monday". Thus begins madness. You think, if I should buy Mondays, and an upclose, how much more would I make if I only bought upcloses on Monday? See the attached. A lesser intellect than mine would optimize this, hahaha!
 

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