Trendfollowers: When oh when are we going to start making some $$$?

I'll let Professor Logic talk to you guys some more, and I just wanted you guys to wait and see, and while it is true the TS program doesn't work, it is a data issue only, and the exact same modified version runs this well in E-signal Multicharts environments. Both taken after only one pairs only optimization that does not measure the oscillations as accurately as the real thing, but you get the idea. My system trades 24/7 and holds for significantly long periods of time. Would say to double slippage at least to account for rollover.

I had been sim trading this on a $1 million account that lost close to $520,000 when I miscalculated the optimal derivative contract size and hit the reset a couple months later. If you lose 33% and you make 33% you don't make it all back, which happens to be the plight of many investors right now with the S&P below 1200 from it's higher of 1,500 plus.

PS: $1 million was about 20% of a $5 million portfolio.
 
avgall 2.404003878
At start avg 2.691315883
Stdev 3.625115577
Confidence 9.941547037 -4.558915271



My version in Multicharts only appears to have a little bit over a 2 to 1 edge against it's loser as shown between the highest 95% confidence interval of 9.94% compared to (4.5589)% in the lower ranges.

From what I've seen of the real thing, it's actually risk 1 maxium loss twice, end win 6 times that.
 
Quote from bwolinsky:

I'll let Professor Logic talk to you guys some more, and I just wanted you guys to wait and see, and while it is true the TS program doesn't work, it is a data issue only, and the exact same modified version runs this well in E-signal Multicharts environments. Both taken after only one pairs only optimization that does not measure the oscillations as accurately as the real thing, but you get the idea. My system trades 24/7 and holds for significantly long periods of time. Would say to double slippage at least to account for rollover.
I had been sim trading this on a $1 million account that lost close to $520,000 when I miscalculated the optimal derivative contract size and hit the reset a couple months later. If you lose 33% and you make 33% you don't make it all back, which happens to be the plight of many investors right now with the S&P below 1200 from it's higher of 1,500 plus.
PS: $1 million was about 20% of a $5 million portfolio.
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Beau, you have my permission to post any or all of the strategy back testing reports I've sent out over the last week. I would post them but I've still got about 30 more markets I'm running reports on and I want to try to finish them this weekend.
 
Quote from bwolinsky:

as was Mr. Schamp's system's performance for those time periods, but they never seemed too out of control with a max DD of 20%. It says 10% but that was by the time it happened and the absolute dollar amount of the drawdown equates to about $750,000 at risk on $5 million, 15% almost.
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Well DD only has meaning when it's coupled with return percentages. This strategy for me has yielded average annualized returns of 80% with 13% drawdown. Mr. Schamp does seem to be a snake oil salesman (at first I didn't understand that), why else would he sell some lies to farmers.
Beau: you seem to be jumping from one idea to another, first it was your "SuperBands" 4 years ago which you posted to WealthLab and already then you claimed to be this "hot shit" trader above everyone else, naturally that wasn't the case. As was not the case with your pairs trader since it has failed - the combined equity of both of your systems is negative after more than 3 years and seems to be abandoned now. Now you're back to backtesting another awesome idea with an illusion of grandeur. The age of the internet means you leave a trail of yourself everywhere you go and it's something that's not easy to escape, so your grandiose claims should be reduced to a more realistic level, however entertaining it might be for the rest of us. KC Capital Management seems to have lost all or part of it's capital since the website has changed to a Blogspot URL (if it had any capital to begin with, that is).
Now, I've created systems that had annual returns upward of 500% but which could never be traded for various reasons or started losing money right after implementation. You seem to be stuck in backtesting, while I swear by backtesting since it's an invaluable tool to my approaches, it is only a part of trading. The real faults of any system are revealed only when real money is applied.
PS. Your sample size for Pairs Trader was less than 200 trades which wasn't nearly enough and would explain the failure.

Wasted enough time reading all the bickering in the previous posts, good luck to all the "marketers" and real traders, you know who you are.
 
Quote from d08:

Well DD only has meaning when it's coupled with return percentages. This strategy for me has yielded average annualized returns of 80% with 13% drawdown. Mr. Schamp does seem to be a snake oil salesman (at first I didn't understand that), why else would he sell some lies to farmers.
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What, pray tell, would those be?
 
Quote from Subzeroviking:

Is this the Bill Schamp Prof Logic System?
http://collective2.com/cgi-perl/system41404319#
if not, has the proflogic system been on collective2?
Thanks
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No, but here is an example of my system results.

Systems are loaded on Collective2 because they wish to be sold. I do not wish to sell my system.

Nice try marketsurfer. What is your obsession with coming back to a site where you are banned?
 

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Quote from Ash1972:

Well my system definitely isn't curve fitted, otherwise it would never have remained so flat over the past year - it would have haemorrhaged cash at an alarming rate.

It simply isn't possible for a trend following system to make money in 2007, 2008 *and* 2009. The uptrend from Mar 09 was based on very low volume and constantly reversed. Just because you can retrospectively join a straight line between two ends of a weak, choppy upwards drift, it doesn't mean there is a system that can ride it profitably. At least, no system that wouldn't have bankrupted you in any of the *other* last 30 years.

Could we please confine this discussion to trend following, which is a 100% systematic approach based purely on technical indicators and money/risk management algorithms? It has nothing to do with using your judgement about whether specific moves will become trends.
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Your problem, i suspect, is you have only one system. Trend following systems can make money in all of those markets, sure 2010 has been less profitable than mid 08 for long and early 09 for short, but still profitable.

Develop some more systems to exploit trends in environments where you current system is flat and/or look at different markets in which to trade your system- wheat just had a big up trend didn't it?

pneuma
 
Quote from ProfLogic:

What, pray tell, would those be?
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When you promise to never lose money in ANY market ever again, that equals to lying. Anyway, most successful traders don't need to advertise seminars like that.
 
Quote from d08:

When you promise to never lose money in ANY market ever again, that equals to lying. Anyway, most successful traders don't need to advertise seminars like that.
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I could teach you to never hit your finger with a hammer either but I couldn't guarantee it.

I don't do seminars any longer. I have plenty of students that could actually follow directions and taught themselves what I do.

I live in the land of farmers and they all have guns. If I taught something they weren't happy with, I would be in trouble. They all know where I live. As it is, I get Christmas cards and I break bread with these individuals on a regular basis.

Common sense is a valuable commodity.
 
Trend followers better follow the trend of the market movers.

"You're not in that investment mindset of a few years ago any more, and a lot of risk has been taken off the table already," said Steve Goldman, senior market strategist at Weeden & Co in Greenwich, Connecticut. "The consumer is in dire straits, the economy's resilience has been disappointing, and everybody's bracing for it."


Money has flowed from Hedgefunds stock positions to energy, Agi, and Safty in Bonds.

So, why would the "Trend" Followers still focuse on the Stock Market as a whole?
 
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