YM in a Can

[Quah]

ES - Also, I find it interesting that many of these type of journals start off like gangbusters - with the system making money - only for them to start smoothing out after a few weeks.

Remember the (in)famous "Something Very Simplistic"? Right out of the gate made money like mad. 3 weeks later the equity curve went totally flat, if not a little negative. Almost exactly like what you are seeing here with your system. ( here is the equity curve for SVS ).

Maybe the key to these types of mechanical systems are to trade them when you find them - expect them to only "work" for a few weeks - and then move on to the next one.

 

[ElectricSavant]

You know, I respect you greatly. I do not know you, but you have earned my respect through your posts here at ET.

I agree with everything you say.

Let's move on Folks.

Thank you everybody for your time. I hope you can see the wisdom here in this thread, and I am proud to have it archived.

System Vendors please take note of this Journal. Any Holy Grail seekers read it with interest.

Michael B.

 

[Quah]

Hey, you can't give it up just yet - at least keep this going for one month. Let's see what happens - let's see if it actually flattens out or what. Let's see if this is a common issue with mechanical systems.

And let's hear your thoughts about the possibility to newly found mechanical systems are actually profitable for a short period from the start - and then end up flattening out. Why is that?

 

[ElectricSavant]

Under one condition. You promise to help me, as I really do not know what to think.

Let's go for a little while longer folks.

Please try to help me get my goal to achive a 50% winrate and a max of 3-5 consecutive losses.

Do not discount the power of PSM.

Michael B.

 

[ElectricSavant]

I am not sure why systems flatten out. I have seen it though. I can only ask questions, as I am not the "all knowing" savant.

One question:

If a system is set up loose enough and does not need to be robust to "catch and hold" profits, but relies on PSM to achive profitability, then why can't it work all the time?

Michael B.

Quote from Quah:

Hey, you can't give it up just yet - at least keep this going for one month. Let's see what happens - let's see if it actually flattens out or what. Let's see if this is a common issue with mechanical systems.

And let's hear your thoughts about the possibility to newly found mechanical systems are actually profitable for a short period from the start - and then end up flattening out. Why is that?

 

[Quah]

Quote from ElectricSavant:

Please try to help me get my goal to achive a 50% winrate and a max of 3-5 consecutive losses.

Do not discount the power of PSM.

Michael B.

With the actual "live" data you've collected over the past couple of weeks - what is the current winrate and max consecutive losses?

What is PSM?

 

[ElectricSavant]

The spreadsheet that I post...Look at the tab, "level count" for the Win Rate.

The Backtest that was posted indicated, 10 consecutive losses. The trailing stop experiment yielded 8 consecutive losses which I did not post.

The current max consecutive losses is step 5

PSM = Position Size Management (NihabaAshi taught me this term, not how to apply it though )

Michael B.

Quote from Quah:

With the actual "live" data you've collected over the past couple of weeks - what is the current winrate and max consecutive losses?

What is PSM?

 

[TriPack]

Michael,

I haven't read every post on this thread but I have been following it with great interest. I have been spending my time retooling my swing system and rereading the posts in that thread to see what wisdom I could gain.

I think your system is similar to my system in some ways and different in others, but I think the basic principles I've learned about my system will transfer (for the most part) over to your system as well.

I realize that a long-term downtrending backtest curve can be depressing. Several of those were posted in my swing journal. But it was still possible to turn this downtrend into an uptrend by using better money management and using some of the many good suggestions that were given in that thread:

1) Not take new system trades in the first/last 30 minutes of trading.

2) Equalize the stop loss and profit target size (rather than have a 1 to 2 win/loss ratio starting out as was the case in my original system)

3) Convert the hard stop into a trailing stop.

4) Convert the trailing stop into a stop and reverse trailing stop to take advantage of the large trend moves to make back some/all of the loss incurred with the stop.

5) Adjust the (trailing) stop/target size for volatility rather than using one parameter set for all types of volatility levels.

6) Not enter new system trades after really big range days, or really small range days.

I recognize that my system performs best when the market is less volatile, so I will pull the plug if we ever return again to the persistent 20+ point average daily ranges, at which time a volatility breakout system should perform much better. Coming up with a volatility breakout system is one of my next projects.

I found a formulation that backtested profitably every quarter going back to 2001. Some may argue that a longer backtest is needed, but this time period accurately captures the current volatility picture. If that volatility picture changes (average daily ranges) I'll just pull the plug. I'm privately forward testing a version of my system that includes all of the above provisions, and if all goes well I will start (privately) trading this system in one of my accounts.

 

[ElectricSavant]

I see the system is still short from 9918. Going to the Gym now, be back in a little bit.

Michael B.

P.S. Fan27 is working on the backtest for the H4 and L4 levels ONLY.

 

[sunnyskies]

Respect the power of PMS. ES, you sound kind of like that when you cite a concept but you admit you dont know how to apply it

Regarding as to why good mechanical systems seem to work in the ES for a few months and then break down.... Easy - "market conditions" change and the system does not have an edge in the new conditions. Enthios' systems all performed like that and he's a good developer. Talk to him if you wish, he's an approachable guy also.