A paper -- Developing Robust Trading Systems

[notting]

You don't seriously think there are traders that trade that well for that long using their instinct do you?

Not sure who said that but burn the scare crow if it turns you on.

 

[CanOz]

I can’t stand this without correction.

Howard’s paper discusses how to determine possible system robustness through Monte Carlo testing and out of sample simulation and then how to limit draw down in the face of a failing system in real life. Good work, seems a shame to derail his thread with ego driven crap.




Show me a system that returns 100% that is not data mined to within an inch of its life, one that you would be prepared to invest your entire wealth in – and why wouldn’t you bet the house if it objectively returns 100% p.a.

100K at 100% means Just 20 years away from catching the best empirical evidence that discretionary value investing works.



Radge's actual figures that Tech is quoting is 96.46% over a period of time. For an Annual Rate of Return of 13.12%. Tech Trader in the book is a simulated 21.33%
But why let facts get in the road of a good FIGJAM moment.

You can't compare any system to the index over one year. Whats the point?

If you are going to do that then you may as well be intra-day!

Intra-day systems can double an account in one year, especially with futures.

CanOz

 

[tech/a]

Radge's actual figures that Tech is quoting is 96.46% over a period of time. For an Annual Rate of Return of 13.12%. Tech Trader in the book is a simulated 21.33%

Techtrader was trade live for 7 years
It's all in " The Chartist Site" where there are many posts and threads.
Return was way way over 30 %
30k to 350k in 7 years.

What's with the FIGJAM
comment?

 

[Ves]

What's with the FIGJAM
comment?

F*** I'm good just ask me.

 

[wayneL]

Small cap - big cap - big difference.

Even The Oracle concedes that one can easily outperform BH if playing with less than a million.

I don't know whether that is relevant to the discussion, but IMNTBCHO, for us lowly retail traders, it is well worth the effort.

As for FIGJAM... we're all a bit of that aren't we?

BTW, the older I get, the better I was. :

 

[CanOz]

Since we want a good one year return, i guess i should be able to pick the year.

This is the Double 7s system on the Russell 3000.

CanOz

 

[CanOz]

Don't try this at home, a levered up version of my SPI system.

CanOz

 

[CanOz]

Regarding Nick Radge's growth portfolio:

the official return is 13.23% non-compounded since 2006...

Cheers,


CanOz

 

[craft]

Regarding Nick Radge's growth portfolio:

the official return is 13.23% non-compounded since 2006...

Cheers,


CanOz

Can Oz

That’s exactly right. 13.23% compounded over the 5 and bit years gives the 96%.

Tech was clearly inferring that Nick had a 96% CAGR system and people should compound 100k over 7 years at 100% to see the potential of such results.

Those sorts of claims are totally misleading to anybody that does not know better. I think Radge’s approach and results can stand on their own two feet without having to misrepresent them.

Techtrader was trade live for 7 years
It's all in " The Chartist Site" where there are many posts and threads.
Return was way way over 30 %
30k to 350k in 7 years.

Tech

What would you think of people sprouting leveraged results without declaring the leverage involved?

What's good for the Goose is good for the Duck.

 

[CanOz]

I think its important for people to realize there is a difference between leveraged and compounded as well.

They had this discussion on the other forum, compounded results are not often realized either. For various reasons the trader/investor does not leave the funds to compounded.

CanOz

 

[Lone Wolf]

They had this discussion on the other forum, compounded results are not often realized either. For various reasons the trader/investor does not leave the funds to compounded.

On that note - Compounded returns don't normally take tax into consideration. Which is to be expected since each person's tax situation is different. But the equity curve in reality never looks as nice as in theory since a big chunk of the profits get taken away every year. CAR is a good way to measure the performance of a system, but people should understand that the real result won't be the same in most cases.

 

[Gringotts Bank]

Yeah but I don't think there is a system that has ever returned better than 18 to 20% compounded on a rolling year basis over many years. That same system may have a 100% year on a leveraged account however if will give back and even out to around that 18 to 20 compounded over time.
Nothing wrong with it at all just never seen any beat it with proven consistency.
So don't see a point in trying to.
Unless its to make your own and sell it or something.

You may want to have a read of Market Wizards too. A number of hedge fund managers are profiled, many of whom have averaged well over 50%pa over many years. And I know with all this discussion (above) you might ask if the returns described are compounded or not. The answer is: I'm don't know, but it's definitely worth a read.

 

[aarbee]

On that note - Compounded returns don't normally take tax into consideration. Which is to be expected since each person's tax situation is different. But the equity curve in reality never looks as nice as in theory since a big chunk of the profits get taken away every year.

This is one of the reasons, why the compounded results never appealed to me. I do all the backtesting on the basis of original float with the presumption that all profits are skimmed away. Sure the results don't look as sexy as the compounded ones but the equity curve tells the full story and is easy to interpret. Even with a 30% system, the position sizes in the compounded backtesting become ridiculous over time, so what is the point of presenting results that way apart from just making them look impressive.

Cheers

 

[tech/a]

Can Oz

Tech

What would you think of people sprouting leveraged results without declaring the leverage involved?

What's good for the Goose is good for the Duck.

It was designed to trade using the BT margin list and if you wanted to you could use margin.
We always used some but not all.
We did and I do use compounding.

I dont know I was happy with the results and so were/are quite a few who use it.
Anyway if you want to believe what you believe then Im not going to attempt (any further) to alter your belief.

 

[sinner]

Hey Howard,

Good paper. Thanks very much for sharing!

Is it just me or did blueowlpress only recently appear on the blogroll at cssanalytics? Nice one!

 

[howardbandy]

CSSAnalytics -- David Varadi and staff -- do high quality work that is well worth following.
http://cssanalytics.wordpress.com/

Other blogs I find valuable are listed on my blogroll.
http://www.blueowlpress.com/WordPress/
Scroll down and look for "Blogs worth exploring" in the right sidebar.

Let me, and all of us, know of others that might be included.

Best regards,
Howard

 

[drarthur]

Having finished reading unholy grail I'm wanting to have a play with the 20% flipper. Google is of no use in helping me find metastock coding for it. Has anyone here coded it for metastock and willing to share it?

Tech/a, last time I saw you was at the arkaba with Daryl, hope you're doing well. Have you switched on tech trader again?