Hello, Jim
Actually, the question about financial
statistics is a tricky one. The important things there are not only win/loss
ratios, the intervals where these ratios are calculated should be considered
as well. I have had many cases when a trading strategy worked very well for a
half a year. And then it died forever.
As an example, see this intermediate
backtesting result for huge intraday data:
The system provided 65% good signals
(469 win./ 247 los.) during some perios (several
months).
After that 53% only, and then
59%.
100 trades is not enough to get the
reliable statistics (we use at least 500 trades, in this example 700
trades).
One of this forum's participants is
Robert Pardo, he can comment this better than me.
Best regards,
Sergey
----- Original Message -----
Sent: Monday, December 08, 2008 12:31
PM
Subject: [Bulk] [RT] A note on
Forecasting
My pivot trading methodology depends on anticipating and trading as
close to the pivot points
as possible. My argument is that trades near the pivot points are the lowest
risk and highest reward points to trade. I operate my trading as a business
- I buy inventory and sell to capture a minimum profit margin. I have
spent most of my trading career studying the characteristics of markets at
turning points (pivots) and constructing trading tools to anticipate and
trade near those points. These tools deliver consistent reliability of
profitable trades between 70% and 80%.
I document my trading concepts by forward testing, not computer
generated back testing. In other words I trade the tools in real time and
record the results. For example, my latest application to the ESZ08 has
generated about 78% profitable trades on a five minute chart over the past 6
weeks.
One of the issues I have with the people that post forecast on this
list is that they do not provide reliability measures of their techniques.
Failed forecasts are rarely addressed and specific application details are
not provided. Consequently I usually delete them without consideration -
after all - a stopped clock is right twice a day.
So I recommend that anyone who posts a forecast provide the statistics
documenting the same performance of technique over at least 100
applications. For example my techniques are good within one bar of the
forecast 70% to 80% of the time depending on market. With that information,
readers can better judge the value of the post.
Jim White
Pivot Research & Trading
Co.
PivotTrader.com
