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Mark K.
You have every reason to be skeptical. But
"average" has its meaning. 126% doesn't mean every year. 2003 was
spectacular, 2005 was good, 2004 was just flat and had the MDD. If you
ever traded a strictly mechanical system, you know the importance of repeatedly
comparing your RT results with backtest results of the same period to uncover
any curve fitting or other problems. The system was evolving based on
better understanding of the market (not re-optimized but adding a few new rules)
but the basic core has not changed.
Is it your understanding that all systems
should have SMOOTH equity curve? Do you think that 26% for the first half
has everything to do with the performance of the second half? I beg to differ
since I have seen 60% MONTHLY return (You may respond: How's that possible? How
can you get 720% per year? :-)). Unpredictable market conditions have the most
impact on performance.
The original of this thread was somebody
asking if anybody making money with AmiBroker. To set the record straight, I use
both WL and AB. I use WL for backtesting, AB to explore and place orders to IB.
AB's backtester treats signals differently than WL which I think is the right
way. TJ has agreed to add a switch to make them behave the same in future
release.
Best Trading,
- Mark H.
----- Original Message -----
Sent: Tuesday, June 20, 2006 4:55
PM
Subject: RE: [amibroker] Has anybody made
any money???
D,
I do not know what he
is, I am just trying to figure out a system that averages 126% annret
for 3 years, with a Mdd of about 40% and is only up 26% this year with 6
mths already gone
So to me he must be
up way over the 126% 2002 second half/2003/2005/ since his system is up only
26% for 2006 first half
I got real lucky with
my stocks this first half of the year, and am way up. But I still
consider it luck, since over 300% for 6 months to me is
luck.
Also anything back
tested is curve fitted, I understand that you said yours is Real Time
what you actually did the last 3 years, but then again you stated that
when you were down 40% you were up at night back testing your system to make
sure it was still viable. If you had RT results over the 3 years
why the need to back test if you were concerned? Curve fitting any
system will always give you great results. There is a reason why Fred
wrote his IO program with the walk forward.
Mark I am very glad
that you have made 126% annret year after year for the last 3 years that is
great. Just some of the statements you have made ie, back
testing when you are 40% down to validate your system does not make sense when
someone has made 126% annret over that time there is no need to back
test. Now if you re re-optimizing a trade system then that would be
another story.
The more you write
the more questions to post to this group
Good luck with your
great system and make millions
Mark
K
He's just
jealous.. right Mark K.? 8-)
d
From:
[email protected]
[mailto:[email protected]] On Behalf Of Mark H
Sent: Tuesday, June 20, 2006 4:06
PM
To:
[email protected]
Subject: Re: [amibroker] Has anybody
made any money???
Mm... I sense something in the
way you asked questions.
But first of all, your math is
not good. To get 126% this year, I only need another 80%. (1.26 * 1.80 =
2.26).
Secondly I didn't state that I
expect 126% this year. I only said I got 126% average for the last 3 years.
In fact, I have no expectation and make no prediction. I just follow my
system. Be it -20% or 250%, as long as it is consistent with my system, I
would accept what the market gives me.
And finally as Ari Kiev pointed
out, if you believe it is impossible, of course, it is impossible to
you.
----- Original Message -----
Sent:
Tuesday, June 20, 2006 2:37 PM
Subject: RE:
[amibroker] Has anybody made any money???
Mark,
So you are
up so far 26% this year
I
take it you expect to be up another 100% or so to make that 126%
annret?
Mark
Yes. It is some trend
indicators based on major market indexes. Use Foreign functions.
26% is based on current equity
and start equity of this year. I mentioned "after DD" since the
system is currently experiencing a
DD.
There is a trick I can share
with you: compare your system equity curve with the curve of
market-based indicators, you may be able to find some correlation to
improve your system by using some market-based rules to stay out of market
or use higher leverage.
----- Original
Message -----
Sent:
Tuesday, June 20, 2006 1:45 PM
Subject: RE:
[amibroker] Has anybody made any
money???
Thanks.
You said your system is mechanical. Was the "out of the market" decision
mechanical? If so, mind telling what method you used? Also,
what do you mean by "Up 26% this
year (after DD)"?
d
From:
[email protected]
[mailto:[email protected]] On Behalf Of Mark H
Sent: Tuesday, June 20, 2006 1:42
PM
To: [email protected]
Subject: Re: [amibroker] Has
anybody made any money???
Mostly out of the market
in the last 30 days due to market
conditions.
Current DD 20%, incurred
the week before the 10+ days crash (no trades during the crash). Up
26% this year (after DD).
I found that if I put in
more rules to reduce the DD, it would greatly reduce
returns.
----- Original
Message -----
Sent:
Tuesday, June 20, 2006 11:24
AM
Subject:
RE: [amibroker] Has anybody made any
money???
How have
you done in the last 30 days?
d
From: [email protected]
[mailto:[email protected]] On Behalf Of Mark
H
Sent: Monday,
June 19, 2006 10:15 PM
To: [email protected]
Subject: Re: [amibroker] Has
anybody made any money???
Of course, it
is self-evident that nobody can get 100% every year otherwise he
would own the whole world in less than 50 years starting with
$100.
That's not the point.
The point is when you are small, you should strive for high
returns with reasonable drawdowns. Then when you get to a few
millions or higher, you should diversify your investments/systems
and get lower but steady returns. That's the goal for many
individual traders if they don't want to manage other
people's money.
As I read, many top
traders were able to get 50-500% for 5-10 years when
they started out. When you are big, it is hard to get high returns
since your moving in/out of the market
causes adverse price
movements.
Richard Dennis
didn't blow his own bankroll. He blew half of the fund he managed
in 1987 because he violated his own principles which he taught to
the turtles. He stopped managing fund for a few years until 1994,
when he started Dennis Trading Group. He was and still is a very
wealthy man.
-----
Original Message -----
Sent: Monday, June 19,
2006 9:16 PM
Subject: Re: [amibroker] Has
anybody made any
money???
Hi Mark,
Glad to hear you don't
bet the farm. ^_^
I was trading probably before the
'Wizard' writers were out of high
school.
And I
believe Richard Dennis, whose successes were kind of
the
inspiration for those books, eventually tapped out, as in
blew the
whole bankroll. Pardon me if I have that
wrong.
Nobody gets those returns consistently, and the
basic reason behind
that statement being clearly true should
be obvious: The geometrical
growth of the money would soon
have such a successful trader with
such a large amount of
capital that percentage return gets
progressively more and
more difficult to keep in the stratosphere.
Eventually,
position sizes become a problem because of market
liquidity.
Or did you harken onto the grail? ^_-
Look at Warren
Buffet's problem ... too much cash, not enough
qualifying
opportunities. And he's not even a trader.
Of course, you
could be talking un-compounded. But I still have
serious
doubts about sustainability.
I stand by my statement that
outsized returns, particularly the
super-jumbo outsized,
require outsized risk. I haven't seen any
cases in which that
risk didn't ultimately pose a problem. And I
also stand by my
opinion that percentage returns in that league
are
unsustainable. If they were not, a very few managers
would be
managing most of the world's capital. But that is
not the case.
Yuki
Tuesday, June 20, 2006, 9:36:27
AM, you wrote:
MH> Yuki:
MH> Thanks for your
kind warning. However, you got it wrong. I am trading a strict
mechanical system including position sizing algorithm. So "bet
it all" is not applicable here. There were no big
bets and no
big wins either. Just small bets and small wins/losses, and a
lot of them. Since you stated "nobody gets those kind of
returns", I would recommend that you read a few of
those
wizards/hitters books to get some inspiration.
MH> Good trading,
MH> - Mark
H
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