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----- Original Message -----
Sent: Tuesday, June 20, 2006 7:15
PM
Subject: Re: [amibroker] Has anybody made
any money???
Could you elaborate more on the your statement about WL and AB?
quote:" 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."
tks
Paul
On 6/20/06, Mark H
<[EMAIL PROTECTED]>
wrote:
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,
----- 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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