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A paper -- Developing Robust Trading Systems

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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
 
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%
Click to expand...

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?
 
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. :
 
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
 

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

CanOz
 

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Regarding Nick Radge's growth portfolio:

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

Cheers,


CanOz
 
CanOz said:
Regarding Nick Radge's growth portfolio:

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

Cheers,


CanOz
Click to expand...

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.


tech/a said:
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.
Click to expand...

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.
 
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
 
CanOz said:
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.
Click to expand...

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.
 

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.
 

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
 
craft said:
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.
Click to expand...

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.
 
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!
 
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?
 
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