What's the catch?

As I see it, there are two types of systems. The ones with parameters, and the ones without parameters to optimize. I have yet to see a system that works well without any parameters to optimize, but no doubt one could be built. The systems with parameters are merely curve fitting the data points when optimized. To enable such systems to perform well into the future it is important to reoptimize them as market conditions change. That is the whole point of walk-forward auto optimization systems.

The catch, to answer the original poster, is that there is no guarantees that future results will be anywhere near previous results. However, the more trades and the more data points the great the chance that it will perform as expected.
 
The first trick to backtesting is including some amount of slippage in the code. Tradestation alows this, so when I am using an enter on the close or the open I plug in an extra nickle.

The second trick is your goal needs to be to trade as close to your method as you are able.

The third trick is you cannot use any information in real-time that was not a part of the back test. If the system didn't include an interpretation of the MACD, neither can you in real-time.

The fourth trick is simple...you cannot hesitate or deviate from the plan. If you have chosen to trade the back-tested method, then you have said that you are satisfied with the returns. If your system says buy on the close, then buy on the close. If you hesitate, you are adding a variable to real time that was not back-tested. If you have a profit target and a trailing stop , and the trade is somewhere in between, you have to let it go to completion.

I did both these examples under Trick 4 today, and it cost me $600 in profits. One trade I hesitated like a big wuss, and another trade I closed out before I was supposed to...also like a big wuss.

Besides being a big wuss, I also know that...
 
Anyone willing to share their data with me. I'm mostly interested in the Nas 100 index... anything under 10 minutes ticks and over 2 years would be great.
 
Originally posted by sempai
I'll go with "nothing's that easy." I've had a lot of trouble
This isn't the first time this has happened. I find that systems tend to break down very quickly. It seems that the market is too fluid and changes too much for anything to work consistently over time (at least that has been my experience). I'd love to find something that has an edge that works consistently over time, but I haven't found it yet.
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i've found something that works consistently for me over time and its a beautiful thing........ya know what, ya just gotta find that one thing...."well, whats that one thing?" yup, just gotta find what works for you......i have and believe me, it took getting kicked in the nuts a few times and then staggering back to my feet to fight again.......but when you can milk the markets for money consistently, it makes it all worthwhile.....
 
Originally posted by DMD
Anyone willing to share their data with me. I'm mostly interested in the Nas 100 index... anything under 10 minutes ticks and over 2 years would be great.
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you're retiring already? i hate you......
some stocks seem to run in a channel......buy low, sell high, bob- the same stock, again and again.............the profits add up.....its that easy, call today. operators are standing by......
 
I used to play the horses and statistics show that the favorite wins an average of 30% this has been true for decades. I thought I had the perfect system and it worked on paper for weeks. I would bet the favorite to win about 1 minute before post time, If I lost that race I would bet the next favorite calculating my previous loss X current favorites odds then add extra for profit desired. On paper this worked great. I always won about 30% of the time never risking much more than $800 before the next win. I was now ready to hit the track! I stuffed about $3000 cash in my wallet and bought the daily racing form for the days race schedule and was at the track ready to kick some ass . I placed my first bet and lost, not a problem the system has planned for this. I won the next race.... This was going to be easy. On paper I always started back at $5.00 bets after every win thay way if it took several races until the next win I only risked about $500-800 even this seemed like a lot but if you won about 3 out of ten races it was good math. I was so sure that this system worked that I upped my next bet to $75.00.. I lost. next bet $180. Lost... no problem next bet $390. One problem with betting the favorite is that it quite often will be at .5 to 1 odds by post time this makes your next bet even that much higher for breakeven + desired profit. It happened to be raining that day and the favorites were not doing very well. By the 6th or 7th race I am now down about $1400. I am really sweating now starting to doubt this system will save me. I was alone with no one to brain storm with. Around me I heard moms and kids complaining that their horses just weren't winning and some were down more than $50.00 What the hell was I doing here bleeding cash all over the track ... The favorite in the next race looked pathetic to me and I sat that race out. It lost. I suddenly realized that the system I started with had nothing to do with the one I am now using. The next favorite looked pretty good and I knew I had to make the bet. It took all of my cash and I was still only going to get back about $2700 If it won. I was really shaking when I placed that bet. I did win but I learned a very valuable lesson about sticking to the system. You cant change or try to interpret any part of it while in motion. If I would have stuck with my original small bets things would have been fine. I think that humbling experience that I got that day helped me alot in my early days of trading. My first day trade was global crossing and I made about $200 in the first 3 minutes of trading. My next thought was Wait a second I am not going to fall for this again. I know it cant be this easy. Now 2 years later I really know that it not that easy. Happy trading :)
 
Net performance,1985-2000;
29.02 % compound average annual return.[4.5 billion $]

Interesting worst year 1994 -[minus] -2.19% High probability he still does well with that small drawdown.:cool:

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Bruce Kovner- named his company Caxton Corp.
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''Rare book collecting is a passion''Lois Peltz quote.Named Caxton Corp after Will Caxton ,first printer in England,a non random name.
 
Originally posted by tntneo

Nice stats.
the issue is do you confirm your live trading matches or not ?
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Time will tell. The trades are pretty infrequent, just 100+ trades in 22 months. This may be a good system to let TS execute automatically. I may look into that and start with experimental size.

Is anyone using the automatic execution feature of Tradestation? How is it working?
 
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