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Howard
My approach is to test a system on a large number of stocks using PositionScore set to random. The system has to give positive results for all portfolio runs in a Monte Carlo simulation - any of the outcomes in the backtest must give results that I would be willing to receive. Then I might use PositionScore to rank the trades to be taken.

But if the system requires PositionScore to be considered tradeable then I will not trade it. I suppose that I could test how robust the PositionScore value is - something that is worth pursuing.

I have traded a long term system for 5 years now where if I have 5 trades but can only take 2 then I use my discretion to select the 2 I want to take. At times I have flipped a coin. Over the last 5 years I have made 153 trades using this approach - so I guess it is fair to say I have walked the system forward. I have even tested different, randomly generated stock universes to see what sort of variation I may get with different universes, because the universe I trade in the future will not be the same as the universe I tested in the past.

Using random, or subjective judgement, to make the final stock selection is not really similar to varying the values of a moving average in the buy and sell criteria - as long as you know what the probabilities and potential outcomes are.

Is it possible to take whatever criteria you want to use for PositionScore ranking and incorporate it into the buy signal? For example if ROC(C, 1) is what is used to rank stocks in PositionScore then determine a cutoff point below which the trade is not worth taking and use in the buy signal. This would reduce the number of buy signals potentially to the point that there are no extra buy signals that need to be scored.

I think it would be true to say that I am as close to an investor as a trader can get - I have trades that have been running for 3 years, although I have also cut trades within a couple of weeks of taking them. Many of the big winners go in excess of 1 year and my average hold time is 9 months. I also don't even look at daily charts, let alone intra-day charts. I only use the weekly time frame and I don't use leverage.

These types of time frames and holding periods are probably quite foreign to a futures trader. But it works for me and the basic principles and techniques used to develop a trading system are the same.

I look forward to reading your book - I am sure that it will get me thinking judging by your posts to this forum.

thanks
stevo

<blockquote data-quote="stevo" data-source="post: 199761" data-attributes="member: 2970">HowardMy approach is to test a system on a large number of stocks using PositionScore set to random. The system has to give positive results for all portfolio runs in a Monte Carlo simulation - any of the outcomes in the backtest must give results that I would be willing to receive. Then I might use PositionScore to rank the trades to be taken. But if the system requires PositionScore to be considered tradeable then I will not trade it. I suppose that I could test how robust the PositionScore value is - something that is worth pursuing.I have traded a long term system for 5 years now where if I have 5 trades but can only take 2 then I use my discretion to select the 2 I want to take. At times I have flipped a coin. Over the last 5 years I have made 153 trades using this approach - so I guess it is fair to say I have walked the system forward. I have even tested different, randomly generated stock universes to see what sort of variation I may get with different universes, because the universe I trade in the future will not be the same as the universe I tested in the past. Using random, or subjective judgement, to make the final stock selection is not really similar to varying the values of a moving average in the buy and sell criteria - as long as you know what the probabilities and potential outcomes are. Is it possible to take whatever criteria you want to use for PositionScore ranking and incorporate it into the buy signal? For example if ROC(C, 1) is what is used to rank stocks in PositionScore then determine a cutoff point below which the trade is not worth taking and use in the buy signal. This would reduce the number of buy signals potentially to the point that there are no extra buy signals that need to be scored.I think it would be true to say that I am as close to an investor as a trader can get - I have trades that have been running for 3 years, although I have also cut trades within a couple of weeks of taking them. Many of the big winners go in excess of 1 year and my average hold time is 9 months. I also don&#039;t even look at daily charts, let alone intra-day charts. I only use the weekly time frame and I don&#039;t use leverage. These types of time frames and holding periods are probably quite foreign to a futures trader. But it works for me and the basic principles and techniques used to develop a trading system are the same.I look forward to reading your book - I am sure that it will get me thinking judging by your posts to this forum.thanksstevo</blockquote>

[QUOTE="stevo, post: 199761, member: 2970"] Howard My approach is to test a system on a large number of stocks using [b]PositionScore set to random[/b]. The system has to give positive results for all portfolio runs in a Monte Carlo simulation - any of the outcomes in the backtest must give results that I would be willing to receive. Then I might use PositionScore to rank the trades to be taken. But [b]if the system requires PositionScore to be considered tradeable then I will not trade it[/b]. I suppose that I could test how robust the PositionScore value is - something that is worth pursuing. I have traded a long term system for 5 years now where if I have 5 trades but can only take 2 then I use my discretion to select the 2 I want to take. [b]At times I have flipped a coin[/b]. Over the last 5 years I have made 153 trades using this approach - so I guess it is fair to say I have walked the system forward. I have even tested different, randomly generated stock universes to see what sort of variation I may get with different universes, because the universe I trade in the future will not be the same as the universe I tested in the past. [b]Using random, or subjective judgement, to make the final stock selection is not really similar to varying the values of a moving average in the buy and sell criteria - as long as you know what the probabilities and potential outcomes are.[/b] [b]Is it possible to take whatever criteria you want to use for PositionScore ranking and incorporate it into the buy signal? [/b]For example if ROC(C, 1) is what is used to rank stocks in PositionScore then determine a cutoff point below which the trade is not worth taking and use in the buy signal. This would reduce the number of buy signals potentially to the point that there are no extra buy signals that need to be scored. [b]I think it would be true to say that I am as close to an investor as a trader can get[/b] - I have trades that have been running for 3 years, although I have also cut trades within a couple of weeks of taking them. Many of the big winners go in excess of 1 year and my average hold time is 9 months. I also don't even look at daily charts, let alone intra-day charts. I only use the weekly time frame and I don't use leverage. These types of time frames and holding periods are probably quite foreign to a futures trader. But it works for me and [b]the basic principles and techniques used to develop a trading system are the same.[/b] I look forward to reading your book - I am sure that it will get me thinking judging by your posts to this forum. thanks stevo [/QUOTE]

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