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At 07:09 PM 7/15/00 -0500, M. Simms wrote:
>What you are saying then is that backtesting large samples is fruitless ???
Of course its fruitless! If it wasn't, we would all be wealthy by
now. Just make a system or buy one which has a nice backtest over
300 trades and retire in a few years. Its so easy right? :)
But really, I'm saying your idea of large is probably too small to
give *me* much confidence. How many trades did the Demark system have
before it blew up - enough to give you some confidence in it? As I
said, I have seen very little or no correlation between sample size
and future results in systems we backtested and then traded which
had as many as several hundred trades. That whole porfolio of
systems made money, but only a few systems in the entire group
carried the load. Maybe you have seen otherwise in your actual
testing/trading. I've seen tons of systems quickly break down with
200 trades and nice equity curves. We traded a system once which
had no losers in 98 trades in the backtest, but it broke down
immediately in realtime trading!
On the other hand, the stock system I mentioned with thousands of
trades I do have some confidence in. I like seeing 10,000+ trades
do well, and testing 75 stocks and seeing every single one make
money over the test period. Now that inspires at least a little
confidence that maybe this thing might actually work going
forward. I just don't get that same feeling from 30-300 trades.
regards,
rich
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