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  • #261
  • Feb 6, 2009 1:43am Feb 6, 2009 1:43am
ONS sell: Is it ten days or eight days' low?
  • #262
  • Feb 6, 2009 3:37am Feb 6, 2009 3:37am
Quoting Feihong
ONS sell: Is it ten days or eight days' low?
I use 10 days´ high and low.
  • #263
  • Feb 11, 2009 5:09pm Feb 11, 2009 5:09pm
so you are implying that we just trust joel's holy grail graphs, and ignore any other backtests? and about "not having his code" i trust mine more than i would his - i have the strategy and 1 minute data, that's all i need. and i am a programmer by trade, so there you go....

Quoting jtrade
giraia br - I wouldn't worry about people's opinions on Joel's backtesting. Firstly, they have neither his exact code, nor do they know what data he's using, nor which version of TS he has used.

As for TradeStation not being able to test pre-2003 data to 1 min resolution or lower : more nonsense. As far as I recall, "Look Inside Bar" backtesting was introduced in TradeStation 2000. I leave you to guess in which year that was introduced . Intraday backtests could be run in TS4 long before that.
  • #264
  • Feb 12, 2009 1:55am Feb 12, 2009 1:55am
Quoting tdion
and i am a programmer by trade, so there you go....
Exactly, dear tdion, you are a programmer - doubtless a most excellent one - but you're obviously not a trader...

Positively my last post on this thread...
  • #265
  • Feb 12, 2009 8:01am Feb 12, 2009 8:01am
"Obviously not a trader"

What makes it obvious that I am not one?

If anything, I have contributed more trading strategies and money management techniques than most people on this board. I averaged over 2 posts every single day for over 4 years. I blew my first live account over 3 years ago.

So tell me, if we are ranking who is a trader and who is not, please explain your reasoning.
  • #266
  • Feb 12, 2009 8:37am Feb 12, 2009 8:37am
Quoting tdion
I averaged over 2 posts every single day for over 4 years. I blew my first live account over 3 years ago.
Tdion don't get me wrong...i've been browsing through your posts recently and i really appreciate your input but definitely blowing your account doesn't make you a trader

stiil i'm sure you are a trader....just wanted to point out the above statement as i find it really entertaining

good luck to you guys....keep it coming...
i've always found all these forum arguments on the net very amusing
  • #267
  • Feb 12, 2009 9:35am Feb 12, 2009 9:35am
i think what he was pointing out there was the fact that he's at least been trading for 3 years.

Btw, when you're doing backtesting, trading skills count for 0, and programming skills, everything. So what exactly was the point? That Joel's a better trader than he is a programmer? How is that helping the argument that his backtesting is accurate?
  • #268
  • Feb 13, 2009 7:15am Feb 13, 2009 7:15am
Quoting deathbait
How is that helping the argument that his backtesting is accurate?
More importantly for me, say we consider tdion et. al.'s backtests correct. What if we also consider the crappy period of time in their tests as a 5 year drawdown? What if the system worked in the forex market for the previous time before that (for which we don't have data)?

We don't complain about a 5 week drawdown in a year, so should we complain about a 5 year drawdown in 50 years?

Part of me says "no, not if you have the means to keep on living as you'd like through the drawdown and are confident of your system's edge", and the other part of me says "yes, because a year encompasses all the cycles of the economic system that would regularly affect the markets."

But what about the 4 year presidential election cycle? 6 year senate cycle? 2 year house cycle? All of the other government elections/corresponding fiscal policies and their effect on the market? What about the rise and fall of countries on the 100s of years cycle? I think that last part is stretching it a bit, but in the end if a system truely has an edge, it all comes back to how much drawdown can you tolerate before you say "this is fucking worthless" and move on to something else. No?
Hindsight is 20/20
  • #269
  • Feb 14, 2009 3:47am Feb 14, 2009 3:47am
See, that's part of the problem.

It's here that most people new to the idea of backtesting run into problems. You see a problem with the results, and you start RATIONALISING it. Let's treat that as a 5 year drawdown! 5 years out of 7, but it could just be a drawdown!

Yes, that may be true. But consider the other possibilities with your type of assumption. What if out of the other 43 years we don't have data on, 40 years were losing years? That's just as possible ain't it?

So now, you'll be trading on the FAITH(no evidence) that it's just a 5 year drawdown out of a profitable 50 years. After all, we have an edge right? But wait, who said we had an edge? Oh right, it's Joel. We're taking Joel's words over our own testing, but that's ok...he's a pro.

Then why are you even talking about backtesting?
  • #270
  • Feb 24, 2009 10:57am Feb 24, 2009 10:57am
Quoting ianf0ster
Hi DaBuschi,...
Thanks for sharing your approach to trading this system Ian. This is the sort of thing I was hoping to find in this thread. I'm curious what results you got when you added trailing stops.... did that help much? What size TS have you been using?
  • #271
  • Feb 24, 2009 11:13am Feb 24, 2009 11:13am
Quoting GoldStandard
Thanks for sharing your approach to trading this system Ian. This is the sort of thing I was hoping to find in this thread. I'm curious what results you got when you added trailing stops.... did that help much? What size TS have you been using?
I´ve been trailing 50% of my gains after the position gained more than 2R where 1R is 40% of the previous weeks trading range. That way volatility is reflected in your trading.

An approach with fixed values works fine too, say 60 Pips or 100 pips. You get stopped out more often with increasing volatility, but if you don´t your gains are substantially bigger.

To be honest - it´s painful to trade this methods in markets like we´re seeing right now. Choppy sideways with only a few strong breakouts and no clear visible trends.

One downside of the 50% trailing stop is that your stops often get hit and then the market turns around to continue with it´s initial direction. This makes sense if you look at how often a 50% retracement is made within a trend. So question is whether that 50% trailing stop makes sense or if it wouldn´t be more effective to give up less of your gains. That way you get stopped out too, but with a higher gain. Other option would be trailing just 40% or 30% of you gains, what could keep you in bigger moves but otherwise you lose more of the accumulated gains.

Whatever you do is wrong anyway, so you gotta find a way that suits you best.
  • #272
  • Feb 25, 2009 6:36am Feb 25, 2009 6:36am
Has anyone tried taking half of their position off at 1R and leaving the stop where it is? I've forgotten if so.

Seems like since the system makes up for losses through huge breakouts, cutting your profits in half wouldn't help too much. I guess it depends how many full losses would turn into breakeven at that point.

If you did it this way, I think it might just decrease your overall drawdown as well as return.
Hindsight is 20/20
  • #273
  • Feb 28, 2009 11:08am Feb 28, 2009 11:08am
Quoting cosgrove
Has anyone tried taking half of their position off at 1R and leaving the stop where it is? I've forgotten if so.

Seems like since the system makes up for losses through huge breakouts, cutting your profits in half wouldn't help too much. I guess it depends how many full losses would turn into breakeven at that point.

If you did it this way, I think it might just decrease your overall drawdown as well as return.
I have not tried (or backtested) taking 1/2 off, but I am fairly confident that ove my live trades it would have reduced the overall profit whilst reducing the drawdowns.
By the way, I am currently in a drawdown since start of this year because I missed the 2 best weeks due to Skiing. This still does not tempt me to change (yet), because I know that if we get a trending week (or even first 3 days of a week then I will get big gains.

Ian

PS
I think somebody asked about which TS values I use. You have to use something that suits you, so I would not reccommend anyone just going blindly with some values.
However, for the record what i do is:
1. set initial SLs as follows: 120 pips for E/U,G/U,U/J,U/Cad 180 pips for G/J , E/J (this is original FS with doubled stops having dropped U/C and added E/J and U/Cad).
2. Then keeping my maximum loss the same, when a pair has moved enough I change to a Trailing Stop of 150 pips for U/J and U/Cad 180 pips for E/U 200 pips for G/U 230 pips for E/J and 250 pips for G/J. I chose these values based upon what I perceived would rule out > 90% of pullbacks and so generally only get hit by a trend reversal.
If none of the stops are hit, I close on Monday as per FSplus.
  • #274
  • Mar 1, 2009 8:32am Mar 1, 2009 8:32am
Thanks for sharing your method, Ian. For me, I'm trading the vanilla system right now.

I was going to modify it to only put half size positions on counter-trend orders based on the trend via this trend determination method, but there is always time for that later:

Super Secret Three Step Trend Determination Method
Step 1) Print chart.
Step 2) Hang chart on wall.
Step 3) Stand across the room from the chart, and ask a kid whether it's going up or down. This is the trend direction.

Now I don't have any kids around to ask, and I don't have a printer (big monitor works just as well), so I will have to pretend, but you get the point (and hopefully my sarcasm in the method title).

Nobody said it had to be complicated.
Hindsight is 20/20
  • #275
  • Mar 2, 2009 9:30am Mar 2, 2009 9:30am
Quoting cosgrove
........
Super Secret Three Step Trend Determination Method
Step 1) Print chart.
Step 2) Hang chart on wall.
Step 3) Stand across the room from the chart, and ask a kid whether it's going up or down. This is the trend direction.

Now I don't have any kids around to ask, and I don't have a printer (big monitor works just as well), so I will have to pretend, but you get the point (and hopefully my sarcasm in the method title).

Nobody said it had to be complicated.
That is Jacko's method for determining the trend- but he specifies you should use a daily chart with at least 3 months data on it.

I feel that the weekly trend is often set on a Monday morning, so am unsure how well your proposal would work, but it is definately worth backtesting.

Green pips to all,
Ian
  • #276
  • Mar 23, 2009 8:54am Mar 23, 2009 8:54am
No posts for three weeks. Did this system crash?
  • #277
  • Mar 23, 2009 9:09am Mar 23, 2009 9:09am
In his blog he's up 500% I think....
  • #278
  • Mar 23, 2009 9:12am Mar 23, 2009 9:12am
I get his emails, but haven't used the system. If he's up 500%, why isn't everyone else?
Quoting cesare76fx
In his blog he's up 500% I think....
  • #279
  • Mar 23, 2009 9:33am Mar 23, 2009 9:33am
Quoting paradoxical
I get his emails, but haven't used the system. If he's up 500%, why isn't everyone else?
Who says that no one else is?
  • #280
  • Mar 23, 2009 9:45am Mar 23, 2009 9:45am
3 weeks of non posting says it. When people are making that kind of money, they shout it from the rafter tails. When they're losing, the silence is deafening.
Quoting DaBuschi
Who says that no one else is?
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