Look at this strategy

<i>"lol anyone else have comments?"</i>

Sure M4... I'll bite.

Looks to me like a volatility breakout system, either balanced on both legs or imbalanced to the short side. If you wrote the logic, you can easily affirm that's the case, or suggest what else you use.

My second guess would be an RSI system written right at the point from profitability to loss. Those pure oscillator systems are notorious for eye-popping performance curve fitted, but never walk forward that way because the specific sequence of trades it took to create such a unique curve cannot happen in same sequence again.

How'd I do?
Austin P
 
Quote from m4a1:

lol anyone else have comments?
More...

IMHO you missed the chance to seriously discuss with a real Pro, which i think Mark/Niha is ...
 
Quote from m4a1:

Had I found this in 2004, I would have definitely traded it. Look at it completely break down starting in 2005. This kind of stuff really worries me.

Anyone have an idea what might have happened? It is trading NQ. Was there some structural change in the contract or something?
More...

Without having the code to understand why it worked in the first place it is impossible to give an informed answer to the question.

However, it is likely that the system exploited a tendency that was present at the time which has since changed. I have seen a lot of systems of this sort that abruptly stop working for no reason.
 
Quote from m4a1:

lol anyone else have comments?
More...

Don't mind Nishiba. Back in 88, rumor has it Dusty Hoffman spent a few months with the guy to try and "get into character" for his Rainman performance.
 
What I can say is:

I've been trading the time the system was performing and outperformed those performances in terms of all stats you've given...

and...

Great... hopefully it works in the future...
 
to anyone interested:

in your view what is a tendency that existed in NQ that abruptly changed starting in 2005? can you think of any without first knowing what my strategy is doing?


Quote from squeeze:

However, it is likely that the system exploited a tendency that was present at the time which has since changed. [/B]
More...
 
m4, your question about NQ specific behavior in 2005 is moot. An index is constantly changing = evolving over the course of time for innumerable reasons. A system that cannot adapt or encompass change is worthless.

The NQ (and every index) will continue to create new tendencies = patterns into the future. What/why it may have done so at any point in the past is irrelevant for making real money in the future.

Welcome to systems trading 101!
Austin
 
Quote from m4a1:

to anyone interested:

in your view what is a tendency that existed in NQ that abruptly changed starting in 2005? can you think of any without first knowing what my strategy is doing?
More...


two guesses. change in overnight behavior. vola decline on all levels.
 
You must log in or register to reply here.
Back
Top