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Some one had asked a while back if anyone had gone to the
Rina Systems 3 Day seminar for evaluating system performance.
I attended recently, and thought I would write up my experience
for the mailing list. I'm not connected with Rina in anyway. The
seminar was $2400.00, limited to 5 attendees and was held
at Rina in Cincinnati, Ohio.
My background:
Math/software engineering, one of the first 400 people at Silicon
Graphics, now I'm a software architect for Acuson (ACN on the NYSE)
maker of medical ultrasound devices. I have ten years of trading
experience, 5 years of easy language, and position trade
$50,000 - $150,000 a position in stocks or Fidelity Selects.
I had been day trading/scalping on the NYSE, and did well,
but it was alot of work and stress. I wrote some systems to
trade the Fidelity Selects on a longer term basis that
also did well. I purchased Rina's Dynamic Zones indicator
and the precursor to Portfolio Maximizer before it was sold
to Omega Research and included as an add on. I wanted to learn
more about system evaluation. I don't skimp on software or books that
improve my trading. and don't go to seminars that are not technical.
I attend TAG every year, and expect at least that level of seminar.
Besides myself was a floor trader from Australia, 2 Forex traders from
Germany, and a guy pretty smart guy from Florida who traded options.
The seminar was mostly taught by David Stendahl, and focused on
how to evaluate trading systems, and some time was spent with
Leo Zamansky on Optimal F and Secure F.
David Stendahl is very knowledgeable, and taught a very methodical
approach to system evaluation. During the seminar we used Portfolio
Maximizer, 3D Smart View and Money Manager to do system evaluation.
I bought all three products, and felt I got my money's worth.
The first two days were lecture/question/answer sessions,
and the last day was spent doing specific system evaluations.
I used have all three products heavily since I have
bought them and find them invaluable.
This is the process the David Stendahl taught us:
1. Write the system and optimize it, saving the
optimization report, to later view in 3D Smart View.
2. Bring up Portfolio Maximizer and look at
the general system performance.The scatter graphs in
Portfolio Maximizer are extremely helpful. The first
ones I look at are Max Adverse excursion and Max Positive
Excursion. Alot of the methodlogy behind this is in
John Sweeney's two books "Maximum Adverse
Excursion" and "Campaign Trading"
By looking at the scatter graphs you can quickly see where to
place your stops, and also when it makes sense to double
up your position, or if your system just plain stinks.
The software really helps you focus on how your system is
performing, and Stendahl is an expert at evaluation,
leading us through crisply the key areas to look at. The
software (Portfolio Maximizer) gives
you a very clear view of system performance.
It also helps you look at combined system performance
when trading a portfolio of systems.
3. 3D Smart View I also found to be an incredible product,
though simple. It provides a 3D topology view of the
system optimization report that comes out of Tradestation.
You can quickly see how stable your system is across an
optimized parameter set. You want to see flat areas, as
opposed to peaks in your system performance which
shows stability and not curve fitted performance.
4. Money Manager helps you to do more sophsticated money management
than I had really thought of using before, such as position add on,
when down or up, or based on a win or loss series, or Secure F.
or turning your system off during periods of big draw downs until
you hit a new equity high.
I feel alot more confident now about my system evaluation skills.
For anyone who is serious about improving their knowledge of
trading system design, I thought the seminar and software was well
worth it, (about the cost of one losing trade) (for me).
Combining Rina's Dynamic Zones with Mark Jurik's smoothing
techniques has allowed me to come up with some very good
systems that I was able to verify the performance of through
Portfolio Maximizer and 3D Smartview and really tighten the
system performance up. I'm a happy camper.
Thanks,
David
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