Quote from Grob109:
Most of the stuff I do, I am told, is no good because it did not backtest and show profits.
In ET a while back several of the back testing evaluations had data on the degree of the failures. The distribution exceeded an order of magnitude.
100 percent of the backtesting did not include volume which I use as a leading indicator of price.
So far, my conclusions regarding backtesting are that the people doing it do not know how the market works and second they are have no skill level in doing what isrequired to construct back tests.
For what I do I use more than one fractal to trade. Often, I believe, the backtestors do not deploy that aspect for their testing.
for the equities stuff that I do a person used C language to make it mechanical. When the program was operated using cash, it made 11.1 % every 6.6 days on average. I do not program but I can read long lists of program stuff. We tweeked it for 4 1/2 hours by putting notes on the print out. There was a 20% improvement in performance. This may be the equivalent of forward testing using software and an operator of the software who used cash to make the record. He did not do backtesting; he simply programmed for a series of emails (four layers removed from me who started the daily waves (4 sets per day in the first 1 1/2 hours of the market operations.
Back testing seems to be a lot of bullshit so far. No one has written much about it so far as I understand it.
from Jack Hershey (AKA Grob109) Jun 2 2000, 3:00 am
Newsgroups: misc.invest.technical
Date: 2000/06/02
Subject: 30 minute warmup bar trading.
Fundamental Money Making Concepts.
I use simple mechanical systems to get people to understand the basic
concept of making money steadily and with little or no risk.
When you trade daily for 6 1/2 hours a key thing to consider is not doing
too much to make some money.
By choosing a futures index of any sort on any exchange in the world, you
have put yourself, for 6 1/2 hours a day in a place that is truly dull and
unexciting. Being there is fairly safe and not too demanding so you can
relax and repeat a few tasks over and over to make some money.
I work first with 30 minute bars to frankly eliminate any sense of urgency.
I use the prior days last bar to get the ball rolling, or I suggest you wait
until the second begins to eliminate the end effects of the market.
Here is a progression of four mechanical methods to illustrate making money
primarily and secondarily to illustrate that losses are neatly reduced more
and more as a little sophistication enters the picture. I also introduce
how in a trend you can switch to the most favorable side of the channel to
exit. Because this is very simple and mechanical there is no need to
clutter it with a stop system as yet mostly because it an index tied to the
performance of and aggregation of stocks. We can tuck stops in easily
though as a commitment to our ordinary discipline.
The four items in the progression are:
1. break out of prior bar.
2. slope pairs of bars.
3. overlapped pairs slopes
4. retracement.
Here is the progression:
1. set up a 30 bar display for a futures index.
2. enter on the breakout beyond (above or below) the prior days last bar
hi/lo.
3. hold until the current bar breaks out of the other end (from your long or
short entry) of the prior bar.
4. hold on inside bars.
5. hold on successive bar break outs in the same trend.
6. on breakout of 3., reverse so you can take on new trend trade.
7. repeat 3. through 6. for remaining bars of the day.
8. settle at end of day.
Here's something which Grob109 offered and I backtested. Its quite a loser. Its easy enough for anyone to backtest. The bullshit is not the backtesting so far..............
