Dump it Here

[qldfrog]

Being long only,the weekly systems i still trade are all fully cash and that can be seen as MM.
Out of the 3, i trust 2 for the current period, the one i do not trust is aimed at a dynamic approach to catch the expected bear false rebounds we will see.
I have no proper test period for this as i believe context has changed and any test period more than 10y old is a waste of time just my opinion
The 2 daily ones are more discretionary choice helped by syatems: i switch them on off based on time availability and risk aversion.
Even if i have just a switch on off and money management system, it may not be an edge but it is better than putting money in a super fund.
More work and setup issues thru and this has a cost.
I just hope i will have something stable in a couple of years..or just gained experience...

 

[Skate]

Can the above be defined as an 'edge'? Sure it can. Do most/many define edge this way? I'm not so sure. Reading the posts through the years and particularly on this thread an edge seems to considered a variable that can be discovered through extensive backtesting of chart patterns/indicators/exits/etc. That in my opinion is a chimera.

There is value in backtesting
But I tend to fall further to the explanation that the Duc has given but not entirely. I don't consider backtesting to be illusory but rather "most times" the backtest results are impossible to achieve.

Even a poorly coded strategy will backtest nicely to some degree
Is there any value in thoroughly backtesting a system? In my opinion yes. Backtesting allows you to compare & contrast between runs & between different strategies of development. At times backtesting is the only means a system trader has to fine-tune parameters & filters. Relying on the backtest results these days "not so much". In my case, backtesting is the start of the process & a long way from the finish.

Skate.

 

[Skate]

So my question is: with the current systems operating in the market (on these boards and we have seen Mr Radge's results to date) do their authors 'feel' that their initial backtested system is still appropriate for the current market conditions? That assumes a system that has been in operation prior to Jan. 2022.

@ducati916 thank you for all the insightful comments
I tend to not refer to Mr. Radge directly these days as in the past I've hurt his feelings & a few other members as well. I'll speak about what I have found over the few years I've been trading since 2015. I was "lucky" in the beginning to have a great mentor, without that initial help I wouldn't have understood the culture of trading in an auction or what was expected of me in doing so.

The last quarter of 2018
This was the first turn where my strategies started to "underperform". At the time I was confused about why. "When in doubt, pull out" is an affirmation that has served me well throughout my business life. At that time, I went to 100% cash until the system was sorted.

Skate.

 

[Skate]

The real issue with system traders is "changing markets"
At the end of 2018 markets changed which meant my trading results had changed & I didn't understand why. Reverting to 100% cash, & placing all my systems on the sideline "at that time" saved my bacon. Eventually, I realised as the markets evolved my strategies had to as well. Since that time (touch wood) I've never been caught off guard.

Along comes 2020
With strategy improvements, February/March of 2020 instead of being a frightful time, became a period of opportunity. If you think you can trade a strategy year after year without aligning it to the markets you are in for a great deal of pain as one trader is experiencing & reporting at the moment on his Twitter feed. Trading breakouts (trend trading) have been kind to me this calendar year but obviously not for all.

Skate.

 

[Skate]

Another affirmation
If you find yourself in a hole, the first thing to do is stop digging.

Another
If you can't see the problem, there is no answer.

Skate.

 

[Skate]

I have no proper test period for this as i believe context has changed and any test period more than 10y old is a waste of time just my opinion

@qldfrog, I'm in the same camp
Backtesting needs to be conducted on current market conditions to garner valuable, meaningful results. Others will disagree but that's okay. In a nutshell, you need to discover paraments & filters that work today, not decades ago.

COVID struck
With the event of COVID new entrants appeared, fresh meat, & new money. Then when we became complacent with COVID, the world went into turmoil. Those who believe their current system/strategies would do the job without correcting for these changes have quickly been taught a lesson.

Let me say once again
"If you can't see the problem, there is no answer".

Skate.

 

[qldfrog]

@qldfrog, I'm in the same camp
Backtesting needs to be conducted on current market conditions to garner valuable, meaningful results. Others will disagree but that's okay. In a nutshell, you need to discover paraments & filters that work today, not decades ago.

COVID struck
With the event of COVID new entrants appeared, fresh meat, & new money. Then when we became complacent with COVID, the world went into turmoil. Those who believe their current system/strategies would do the job without correcting for these changes have quickly been taught a lesson.

Let me say once again
"If you can't see the problem, there is no answer".

Skate.

For your last point, i am not blind either and do not like the idea of sailing blindfolded.
I know that last system is highly risky, it has lost money overall and may still do, so i will apply MM and reduce parcel values should it ask for entries in the current conditions
Emotional responses or risk management, if confidence in a system is low, i reduce that system overall cash.i also plan to reduce cash left with the brokers and not invested should we have a financial crisis coming

 

[Skate]

 

[Skate]

@ducati916 in his post today commented
"I am astounded by the number of bulls calling a bottom and the (resumption) start of a new bull market. Unreal. Historically bear markets end in apathy, low volume and a removal from media of headlines etc. Currently there are many trying to catch the ‘bottom’ in the market. This pretty much guarantees we are nowhere near".

Bottom fishers
For those who are trying to catch the bottom, just be very mindful that there are sharks in them waters.

Skate.

 

[DaveTrade]

Frog's quote of the day;

i reduce that system overall cash.i also plan to reduce cash left with the brokers and not invested should we have a financial crisis coming

 

[Trendnomics]

@qldfrog, I'm in the same camp
Backtesting needs to be conducted on current market conditions to garner valuable, meaningful results. Others will disagree but that's okay. In a nutshell, you need to discover paraments & filters that work today, not decades ago.

COVID struck
With the event of COVID new entrants appeared, fresh meat, & new money. Then when we became complacent with COVID, the world went into turmoil. Those who believe their current system/strategies would do the job without correcting for these changes have quickly been taught a lesson.

Let me say once again
"If you can't see the problem, there is no answer".

Skate.

Hey Skate.

Please provide some examples of how the markets have or are changing (particularly for long term trend-following).

I'm curious...

 

[Skate]

Hey Skate.

Please provide some examples of how the markets have or are changing (particularly for long term trend-following).

I'm curious...

In a nutshell "COVID struck"
With the event of COVID new entrants appeared, fresh meat, & new money. Then when we became complacent with COVID, the world went into turmoil. Those who believe their current system/strategies would do the job without correcting for these changes have quickly been taught a lesson.

2 Bullet points
* Covid &
* Bloody Russia

Another 2
* Cash Rate increase
* Rampant Inflation

Let me ask you the reverse question
@Trendnomics - Please provide some examples of how the markets "have not changed" (particularly for long-term trend-following).

Skate.

 

[frugal.rock]

some examples of how the markets have or are changing (particularly for long term trend-following).

Market participants up.
Volume up. Self explanatory.
Volatility up. IE; bigger swings or ranges.

Can't get volumes on the XVI VIX, but both charts are 5 years, weekly bars, so it marries up top to bottom.

 

[Trendnomics]

In a nutshell "COVID struck"
With the event of COVID new entrants appeared, fresh meat, & new money. Then when we became complacent with COVID, the world went into turmoil. Those who believe their current system/strategies would do the job without correcting for these changes have quickly been taught a lesson.

2 Bullet points
* Covid &
* Bloody Russia

Another 2
* Cash Rate increase
* Rampant Inflation

Let me ask you the reverse question
@Trendnomics - Please provide some examples of how the markets "have not changed" (particularly for long-term trend-following).

Skate.

I must be doing something wrong....

My system that was developed in 2012, backtested using 1985-onwards US market data, backtested using 1992-onwards AUS market data, is still being profitably traded to this day (2020 was -9% closed profit, current year is +8% open+closed profit).....

Not seeing much change....just cruising....

(Luckily for me, I dont need to try and guess what current market regime we are in to curve fit my system to, I just follow the same old rules over and over...)

 

[qldfrog]

I must be doing something wrong....

My system that was developed in 2012, backtested using 1985-onwards US market data, backtested using 1992-onwards AUS market data, is still being profitably traded to this day (2020 was -9% closed profit, current year is +8% open+closed profit).....

Not seeing much change....just cruising....

(Luckily for me, I dont need to try and guess what current market regime we are in to curve fit my system to, I just follow the same old rules over and over...)

Good on you, just do not fall asleep at the bar.
Have you done a 2012 to now analysis of your performance vs relevant index returns XNT for example if this is your realm, year by year.
I doubt it will be a straight line.
If it is, you have found the holy grail in my opinion and should head to the Bermudas ?

 

[Skate]

Not seeing much change....just cruising....

@Trendnomics, well done. If you have not experienced any difference in your trading results indicates to me that (a) your system is robust or (b) you have been lucky. Trend trading has been tough & I'm sure "your trend trading experience" is not the norm.

The Chartist Twitter - Calendar YTD PnL: -927,760 (15th October 2022)
The Chartist being down to the tune of $927k I believe something has changed & I'm sure it wouldn't be from fiddling with his strategy.

There are some brave souls who are proud of their ability to suffer great monetary pains while they wait for their convictions to be rewarded.

The Chartist Twitter (10th October 2022)
"With a robust and proven strategy, losing money is not a problem that needs to be solved. Losing money, aka drawdowns, are a staple part of the journey. Roll with it."

Skate.

 

[Skate]

It's not easy to maintain consistently
Profiting from the stock market is exceedingly difficult to do consistently over a long period because the market is irrational & reflects the emotions of all the participants. The markets keep evolving when there are major events.

The market moves in a manner that has little appreciation for what we might think
It's handy having a suite of tools to give you a fighting chance when the unforeseen happens. Some traders don't minimise their risk by selling quickly & decisively. Being quick & nimble to act when the "proverbial hits the fan" & being quick to retreat & sell at the first sign of trouble really helps.

Skate.

 

[Skate]

A smart exit makes the money
I’ll go so far as to claim that a smart wimp who runs and hides when the going gets tough generally produces better results than brave souls who are "proud of their ability" to suffer great monetary pains while they wait for their convictions to be rewarded.

"When in doubt - Pull out"
There will be times when things don't feel right when trading, that's the time to respond, rather than react. Responding gives you time to think. At times we all need a bit of breathing space to assess what the markets are doing at any given period in time.

Skate.

 

[Skate]

After certain events, the markets will change & sometimes they change permanently
The world has certainly changed after the 11th September 2001 (911) & after February 2020 (COVID) to name two recent events, & there are more than just those two shaping the markets. Those who believe "stationarity" is the name of this "trading game" might be missing the bigger picture.

If you believe the markets haven't changed
There is no need for your strategy to change or evolve. But if you believe world events shape the markets, I'm simply suggesting that you revisit your systems to make sure they are still "fit for purpose".

Skate.

 

[Trendnomics]

Good on you, just do not fall asleep at the bar.

I'm as awake/asleep as Mr. Dunn (Dunn's system remains unchanged since 1975 - yet I hear the markets have changed due to a few recent events?): Dunn Equity Graph to 2022

But I'm certainly not playing (Play), unlike some....