I think whether a system will fail at a point in the future is of less reference value for our opreration. Find a valid system and get the milk out of it as much as possible, by the time the system approaches its longevity, you will probablay have already been much richer.
And the above opinion has not taken into account the following facts: 1--You can diversify your markets, one strategy is unlikely to become ineffective for all selected markets at the same time 2--You can diversify your strategies, it is even more unlikely that all strategies will become ineffective at the same timee 3--You can monitor temporarilly failed strategies, there is no gurantee that if one strategy performs badly today, it will not recover tommorow. Check out the idea of trading the equity curve 4--You can have a ranking system to evaluate all strategy/market combinations and only trade the top 50% ( or x%, depend on the bench depth) Huanyan ----- Original Message ----- From: wavemechanic To: [email protected] Sent: Wednesday, June 03, 2009 3:45 AM Subject: Re: [amibroker] Re: Do all trading systems stop working? - Howard Bandy's book Ed, The fact that certain sectors and individual issues outperform the broad averages during various periods is a given. As a result, irrespective of specific trading time frames (e.g., day/minute to buy and hold) everybody is a market timer in the sense that buying is based on the belief that within the individual's time frame a sale can be made for a profit. Use of an appropriate "system(s)" whether mechanical, discretionary, or a mixture is essential to trading/investing success (i.e., arguably beats having a "dream"). Whether systems must fail at some point, as Howard claims, is certainly questionable and at best, imo, applies for the most part to strictly mechanical methods. Bill ----- Original Message ----- From: Ed Hoopes To: [email protected] Sent: June 02, 2009 2:43 PM Subject: [amibroker] Re: Do all trading systems stop working? - Howard Bandy's book Wave, I should have included the time frame I was ranking over. My ranking is EOD, for trades lasting from a few weeks to a few months - basically swing trading. The point I was trying to make was that Howard Bandy may be right, but there are still sectors of the market that outperform the broad averages like the S&P - at least over the short term. Another point that Bandy makes is that very short term trading systems (day trading) seem more resistant to breaking - so all may not be lost. Finally, another curious feature is that an end of the month trade covered in his book is well known but continues to work - witness the last few days of trading ! ! ReefBreak --- In [email protected], "wavemechanic" <fim...@...> wrote: > > Happen to be doing well now. How about KOL in 11/08? > ----- Original Message ----- > From: Ed Hoopes > To: [email protected] > Sent: June 02, 2009 12:58 PM > Subject: [amibroker] Re: Do all trading systems stop working? - Howard Bandy's book > > > I guess that we all need to get better at market timing if we're going to trade SPY. > > Out of the 1600 or so ETF-CEF funds there are a few that stand out - all are sector funds that happen to be doing well. > > Check out: > KOL - Coal > PWND - Wind Energy > IDX - Indonesia > PSTL - Steel > > ReefBreak > > > > > > > > --- In [email protected], "brian_z111" <brian_z111@> wrote: > > > > Yes, last year was the real benchmark for managers/investors/traders ... I hope I learned my lessons ready for the next one. High volatility and correlated screaming bear years are here to stay.... they are the inevitable consequence of momentum trading, which is a self perpetuating system until the music stops and someone is left holding the parcel. > > > > > > > > > > --- In [email protected], "wavemechanic" <fimdot@> wrote: > > > > > > I suspect that these funds are not run by black boxes although the managers are working within a defined methodology. In any case, over the last couple of years the picture is a little different relative to the S&P500. In that case, all are in the same ballpark (a little higher/lower over time) except for two underperformers - PSP and STH. So, relative to these funds make life simple buy SPY and close your eyes. > > > > > > Bill > > > > > > > > > > > > > > > ----- Original Message ----- > > > From: Ed Hoopes > > > To: [email protected] > > > Sent: June 02, 2009 11:02 AM > > > Subject: [amibroker] Re: Do all trading systems stop working? - Howard Bandy's book > > > > > > > > > There are publicly traded funds organized around various trading systems. Below are a few for comparison: > > > > > > NFO - Insider Info > > > STH - Stealth > > > XRO - Sector Rotation > > > PIQ - Magni Quant > > > PSP - Private Equity > > > FVI - ValueLine 100 Stocks > > > BWV - Covered Calls > > > CSD - Spin Off Companies > > > DEF - Defensive Stocks > > > EZY - Low PE Ratio Stocks > > > > > > Now take each one of the above and do a relative performance to the overall market - like VTI Vanguards Total Market ETF - and you can see how well they work. > > > > > > NFO, PSP, EZY top the list with a modest out performance using my ranking algorithm. The majority equal the market or underperform. > > > > > > For me the most disappointing is FVI only as good as the broad market - so much for $650.00/yr fundamental/technical analysis newsletter. XRO - is the worst. > > > > > > ReefBreak > > > > > > > > > > ------------------------------------ > > **** IMPORTANT PLEASE READ **** > This group is for the discussion between users only. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links > ------------------------------------ **** IMPORTANT PLEASE READ **** This group is for the discussion between users only. This is *NOT* technical support channel. TO GET TECHNICAL SUPPORT send an e-mail directly to SUPPORT {at} amibroker.com TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at http://www.amibroker.com/feedback/ (submissions sent via other channels won't be considered) For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ Yahoo! Groups Links
