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Metastockuser--you might not think you have anything to share but you
have to start somewhere.
When you ask people on this board to explain things to you, solve
your coding problems, and share their knowledge, no matter what
you're asking for, it's not free! The person who gives you what you
want has to spend their time, which is limited, and time is not
cheap!
When they answer your questions, if they get anything for it, all
they get is "thank you". That's not much considering the effort
that's necessary to answer most questions, and sometimes they don't
even get that. I don't know JO, Roy or the other frequent
contributors to this site, but I bet they could give you an earful
regarding the crap they get, or the dumb emails they receive, or even
the insults they sometimes have to put up with.
I'll bet they've heard "I'll buy you dinner" or "can I pick your
brain" a thousand times. That stuff is an insult to anybody who
really knows what they're doing. A good trader, or good programmer,
knows exactly what their knowledge is worth, and it's worth far more
than a dinner. The brain pickers are the real idiots. Let me give you
another name for a brain picker. It's called a vulcher, and brain
pickers deserve every bit of the reputation of the vulcher.
I'm really surprised at how many people come on here and think every
question they ask should be answered just because they feel they
deserve an answer. Like I said some people are too lazy to even read
a manual. When they don't get the answers they want, they get huffie.
Some body is up late into the night if they think they have anything
to be huffie about when they come here wanting everything for FREE.
When they are asked to share, they politely decline. They say they
have nothing to share, when the truth is they're overly protective of
what they do have. A lot of people on this board and the other boards
I belong to, treat their work as if it's top secret. They don't want
to share anything as if sharing it would mean they would somehow make
less money from trading it.
The opposite is also true. People on here get emails from complete
strangers asking them to send their whole trading systems to them.
Talk about pigs at a trough. (in relation to pigs that has nothing to
do with peak and trough functions)
As far as a 22% annual return goes, that's really a modest rate of
return for a trading system. Simple mutual fund trading will yield
more than that.
While cases of huge rates of returns wind up in the press, they are
not normal. On average, a reasonably good day trader will hit between
50% and 75% a year, year in and year out. Once in-a-while they'll
have a really good year and go over a 100%.
All of the SPY and Q systems I have will produce much more than 22% a
year. I think the VLE system is mostly a trend following indicator
but could be traded. The reason the 22% is important is because it
beats by and hold over the same period. In a trend following system
you want it to predict trend changes more accurately than guessing.
If a trend following system beats buy and hold, then the information
it gives you is relevant to the degree that it does out perform buy
and hold. In other words, the VLE is a moderately good source of
trend information as compared to having no information at all, which
is what buy and hold is.
There are several good systems development books I could recommend if
you will read them. There's one that's written by the editor of
Futures Truth that's very good.
It's going to be hard to be a good systems developer if you can't
program, and you can't expect people on this or other boards to do
all of your programming for you.
If you want to thank the people who contribute, start contributing
yourself. You're smart, you can read and write. Sometimes I see JO
posting nothing more than interesting books or websites. I saw posts
from Martin and Joe offering to help him with a problem on coding.
I'll bet that made his day, even if he didn't need the help.
You might want to think about posting your spy system and ask if
anyone can improve it. You might be surprised. Then you're not asking
for something for free. You've given something, and now more will
flow back your way.
Give it a try. You might be a big beneficiary. If a few simple things
double the return of your SPY system, how much is that worth to you?
John
PS You don't need to understand MS programming to set something up in
TradeSim. Read the explanations of what the Zweig 4% system does and
how it works and then put it into TradeSim based on what it suppose
to do.
--- In equismetastock@xxxxxxxxxxxxxxx, "metastockuser"
<metastockuser@xxxx> wrote:
> John,
>
> My questions were meant to get at understanding how the
programming
> worked. 20 DMA X-Over is simple, but when you get into othe types
of
> programming I'm lost. The backtester I use requires me to set up
the
> buys and sells in a particular fashion. Not understanding the
> programming made it difficult for me to attempt with the SPY system
> that was published.
>
> I published some of the posts in responce to my questions and I
> fully plan to revisit the issue.
>
> Another issue I'm just coming to grips with is the Reward to Risk
> aspect. My SPY system certainly does not generate the 22% or
whatever
> the system put forward on this board apparently generates. And I
> think my Reward to risk on my SPY system is only 1.5. Annualized
rate
> / Drawdown. But I'm hearing that at least 2.0 is desired and some
> shoot for much better R to R figures before they will trade a
system.
>
> Now a qqq system I've just set up looks like a 6.x Reward to Risk
> and I'm probably going to toss a few dollars at it and see how it
> plays. Nice smooth equity line over time and so forth...worth a
shot
> I guess.
>
> My nagging problem with my QQQ system is that the QQQ doesn't have
as
> much data to work with as SPY and individual stocks I've set up.
And
> I've got a feeling if there were more data available on the QQQ
> (meaning data that would have been created in other types of
markets)
> then my returns would probably drop, drawdown would increase, and R
To
> R would degrade. So I realize that I have some nice QQQ numbers and
> it's most likely because there is not enough data to account for
most
> different sorts of markets I'll be seeing in the future with the
QQQ.
>
> As always, the hardest part for me is the actual programming.
The
> simplest of programming tricks can take me days to figure out. And
> that's all I was after on that system you folks published. Some
> understanding of how the programming worked.
>
> To be honest, I've been so busy working on the trading projects
> I've assigned myself on this 2 weeks of down time I have, that I
> haven't been able to return to that SPY system and try to work it
out.
> Even now I have work running in the background.
>
> Thanks for your responce. I seriously doubt that I have anythign
> to really contribute to this group but I'll think about it. An
> amateur system builder that can't program certainly wouldn't have
much
> to contribute....I would think.
>
> --- In equismetastock@xxxxxxxxxxxxxxx, johndoeforever49
> <no_reply@xxxx> wrote:
> > Metastockuser--You wrote a nice explanation of what you are
trying to
> > do--especially for a beginner. It appears you've read a lot of
books.
> > You certainly have the terminology down. Congrats on developing
your
> > own SPY system. Maybe you can share it with the group!
> >
> > I re-read all of the posts and I don't think anyone was
particularly
> > upset. It sounds to me like manohohman didn't want to respond to
> > anymore questions with answers that should have been transparent
to
> > begin with.
> >
> > For example, Zweig's 4% trading rules are well known. You can
look
> > that up for yourself. It has nothing to do with any code. Then
there
> > was a 20 day moving average added to that. How hard can that be?
So
> > setting up a systems test of your own should be easy, if you will
> > look up a couple of definitions. If you can't set up a systems
test
> > based on the original Zweig's trading rules with the moving
average
> > added, then you can't trust the results of your test anyway.
> >
> > He said there were quesitons about curve fitting and out of
sample
> > data. Sounds like a lot of people don't understand curve fitting.
> >
> > This system was presented for only one security in one time
frame.
> > You can't change the security, the time frame, or the trading
rules
> > which were defined by someone else. The 20 day moving average is
the
> > most used moving average there is. He said the backtest results
he
> > looked at were for 10 years. That's straight forward to me. What
is
> > there to curve fit?
> >
> > I think he said he used the system as a trend indicator, rather
than
> > something to trade everyday, although you certainly could do that
> > with it. He mentioned using other indicators with it to prevent
> > whipsawing if he were going to trade it, but he didn't say what
> > indicators he would use. I don't think backtesting really defines
the
> > amount of whipsawing a system has, or the conditions under which
it
> > takes place. I assume that's why he said he goes over the charts
by
> > hand. I wonder if the drawdowns are easily seen by hand.
> >
> > Since you've got your own SPY system, maybe you could take the
charts
> > from it for a couple of years and compare them to the charts from
the
> > posted system and see how much better yours is. Then you could
post
> > your system with an explanation of how and why it improves on the
4%
> > system. That would really benefit the group.
> >
> > This 4% system is as simple as it gets. It sort of sets a floor
to
> > compare other SPY systems to.
> >
> > Of course I didn't see manohohman's emails, just the posted
> > responses. I didn't see any questions on drawdowns or losing
trades.
> >
> > After I joined, I read through the archives. I was hoping more
people
> > would post unique systems or techniques for trend following and
other
> > stuff. But so far I haven't found much.
> >
> > I see a lot of questions on programming issues, some discussion
on
> > theory, and a few questions on how to use metastock, but nothing
that
> > would really make metastock more effective to trade with.
> >
> > I guess no one has anything to share, or maybe there's no pay off
for
> > sharing!
> >
> > Metastockuser, here's your chance to start the ball rolling on
the
> > sharing thing. Hope you will take this opportunity to do so.
> >
> > John
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "metastockuser"
> > <metastockuser@xxxx> wrote:
> > > John,
> > >
> > > I'm merely trying to understand it so I can break it out and
test
> > > it. I've recently gone live with my own SPY system. If I were
to
> > > find a better system I'd sure be willing to trade it.
> > >
> > > But I have to see the equity line over ten years or so of data
in
> > > different markets and so forth. check out the drawdown, etc
etc.
> > > Also, I want the stats so I can know EXACTLY what to expect
going
> > > forward in number of losing trades in a row, winning trades in
a
> > row,
> > > average loss, average win, relative and absolute drawdown, and
so
> > > forth. So if it encounters a market it does not work well in
I'll
> > > know by the behavior against past stats hopefully before my
bottom
> > > line is seriously affected. But that means I have to run the
tests
> > to
> > > have the data on hand to use as control limits for using or no
> > longer
> > > using the system.
> > >
> > > One reason I like tradesim for back testing is that it makes it
> > easier
> > > for me to see on a month by month and year by year basis
exactly how
> > > the system plays out. I also don't have to play games with it
to
> > get
> > > it around 8.0 issues regarding next day purchases being cancled
and
> > so
> > > forth.
> > >
> > > I just don't see why anyone would take offence at someone
trying to
> > > understand an indicator so they can back test it. It took
longer to
> > > lecture me on it than it would have to put a few lines of
> > > understanding by each code line so I could understand what it
was
> > > actually doing.
> > >
> > > My problem is that I'm so new to all this and programming in
> > > particular that it's like trying to understand greek. But I'm
> > > certainly smart enough not to play a system that I haven't
first run
> > > my own back tests against. Hand work is fine, and I fully
> > understand
> > > the need to work through enough trades by hand to make sure the
> > system
> > > test is valid. I find setting up an expert system and
comparing it
> > to
> > > trade logs helps in that regard. But nothing beats running a
system
> > > tester of years and years of data in various types of markets
to get
> > > at the performance of a system in a reasonable amount of time.
> > >
> > > I appreciate the work this guy did and am sure he did a fine
job.
> > As
> > > soon as I have time to work it out I'm sure I'll enjoy running
the
> > > test and seeing how it performs in various markets.
> > >
> > > Just pasting someone elses work into my expert system and using
it
> > > without understanding it and backtesting it is not something I
would
> > > ever do.
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, johndoeforever49
> > > <no_reply@xxxx> wrote:
> > > > I don't think he backtested it at all. I think he said he
looked
> > at
> > > > the charts for several years to see if he could use it to get
> > similar
> > > > results to the backtested results. I think he said it did.
> > > >
> > > > As I remember it, manohohman said a lot of other people had
> > > > backtested this. Along those lines, I remember seeing results
> > from
> > > > Zweig, Mcdonald, and some other people who have looked at
this
> > system
> > > > since it was developed. Each one was a little different from
the
> > > > original one Zweig came up with. But I don't remember
everybody
> > who
> > > > has commented on it, or even when.
> > > >
> > > > I don't remember him recommending that anybody trade this. I
> > > > certainly never would rely on the results of other systems
> > developers
> > > > like Zweig.
> > > >
> > > > From my stand point you are exactly right--don't use this.
> > > >
> > > > John
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