Would You Trade This System?

Quote from intradaybill:
Your results are highly unusual.

1) Over-fitting far and beyond

or

2) Look ahead in backtest

or

3) Unrealistic settings [/B]
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Hey,


What do you mean by highly unusual? Is it the combination of a low sharpe with his profit targets and other measures that are implying curve fitting? If so, great input.

But if you mean 'high unusual' as in the system is very good, or 'too good to be true', I strongly, strongly differ. Sometimes I wonder if half of all of the active ET'ers (the ones who are not egotistical maniacs) are using their 4+ sharpe ratio, 6+ profit factor, universal system day in and day out.

I understand you're not so much into system trading and more marathon long term trading... much appreciated for clearing this up. Cheers
 
here is my system 2........didn't want the thread to be about other systems just yet but im posting this to get views on this as its completely different system with alot less trades.............It trades very in frequent compared to the first sytem. Be interested to see which system you prefer if any, and if you feel this is curve fitted?...because it went through the same principles as the first system when testing........
 

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Quote from deaddog:

I may have missed it but has anyone suggested testing the system on a different market?

Have you tried it on the Q's or the DIA.
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jayjay: Did you miss my question?
 
Quote from jayjay121:

This is because there are so many trades fitted into that curve, let me post last years curve alone from same settings to give you more idea. Because yes there are dradwown periods and periods of making no money in there, its just over that huge of a period you do not notice them. But also the frequency of trades helps get out of drawdowns quickly. please look at the original post on first page to see the winning months and losing months. You will see there is losing months and its not a straight line up.
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Can you plot it with dates on the x-axis? I want to see what month and day it was when your PL started to shoot up at around 150 trades or so. I have a similar system that does this and I am at the moment very skeptical of it. I have others that don't show this type of behavior but they actually have lower profits so I am debating what to do about it.
 
Quote from deaddog:

jayjay: Did you miss my question?
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hi, sorry yes i did. I have tried those symbols and yes its very similar but id expect that as those symbols more or less follow each other.

Im still struggling to see how I could have curve fitted 6000 trades to do what i wanted it to do though with only a few settings.


Dont get me wrong, it does not work on every stock........Thats probably because every stock can behave in its own way with differing volatility. The same system with no adaption works every year profitable with around 20 stocks so far that ive tested. Now if thats because those stocks are closely correlated with the main market, then thats probably why.........So yes it does show robustness but not so much if same correlation.
 
ron black. You posted an article the other day concerning type 1,2 and 3 curve fitting.

Well i read that and i felt mine was type 3 because if i dont change entry but change exit only to smaller or higher im still profitable. I can increase my profit targets to end of day and im still net profitable year on year, but just more choppy and not as consistent as using smaller target.

Also not sure it matters but if i do change my settings quite a bit i still get profits each year, which shows settings are robust?.........I dont have to be tight with the tweaking to make a difference, there are many variations i could trade if you know what i mean?

What do you think?, interested in your views
 
Quote from ssrrkk:

Can you plot it with dates on the x-axis? I want to see what month and day it was when your PL started to shoot up at around 150 trades or so. I have a similar system that does this and I am at the moment very skeptical of it. I have others that don't show this type of behavior but they actually have lower profits so I am debating what to do about it.
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Dont be skeptical of lower profit targets. Lowering your profit target can alone smooth results I feel depending on symbol. Too many people focus solely on 2-1 or above which is ok for swing trading But intraday is a different ball game. They feel they must trade 2-1 or above otherwise they are taking too much risk. Simply not ture.

The system makes around 600 trades a year so should be able to work out rough dates.....About 50 trades a month.

let me know if you need further info.

regards,
 
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