Back tested results of a system is one thing, to run it in
real-time and get the same results is another. There has not been
much buzz or updates about the mechanical systems from BPT for a
long time.
One way to see if a system's results are the product of
curve-fitting is to try the system with other vehicles. Matt,
have you tried your SPY system with other ETFs? If it works
well with a variety of ETFs, then it is likely to be robust and
continue to be profitable in the future.
There was a wonderful stretch of time in 2009 when the systems
were working in real trading. It's been a while since I checked on
the profit curves via the Mechanical Systems link on the left. They
actually look a bit better than I expected although it's tough to
judge without real number crunching. I hope that eventually it will
be clearly indicated on such charts where the point is that the
parameters and rules were fixed in place and the systems "went
live" -- as you say that's the point that matters. I think the hope
with the new system and one of the things that makes it different
from the others is that the backtesting has been done over such a
length of time and in so many different types of markets that the
expectation is that it will be more robust and continue to work in
the future. Of course anything can happen. Bravo to Matt for
tracking real $$ going forward -- that should be a good indicator
of ral live performance.
The mechanical systems entered trades when a short term trend
has already been established. What happens is that a lot of the
times the market is overbought or oversold when they entered their
positions. They would sometimes end up going long at resistance or
short at support. It's the opposite of what I would normally do. As
a result, there's a propensity for whipsaws when volatility is low
because they would enter positions when the trend is close to
changing. Imo, these systems will work well again when volatility
increases. When volatility increases, the market makes bigger
moves, and their will be more follow through on moves. Right now,
this FED manipulated rally has sapped volatility.
I haven't watched the videos for the new system. But from just
looking at the previous entries, the new system differs from the
mechanical systems because it takes a somewhat opposite approach.
It doesn't go long when the market is overbought or short when
oversold. Instead, it identifies what the main trend is. For
example, currently the trend is up. It would go long on the next
pullback. This is why the system has worked so well during the POMO
environment. The smart move during this rally has been buying the
pullbacks, and that's what the system has been doing. Once the
market tops out, most of the entries will be shorting the
bounces.
One observation I would like to point out is that the first
entry of a trend change could very likely be a loser. For example,
let's say the system goes long on the next pullback. If it turns
out we topped, then it could turn out to be a loser. I'm just
taking a hypothetical scenario. I'm favoring consolidation or a
pullback from here before another move higher.
Back tested results of a
Profession SPY Swing Trade System comments
Posted by etcbari on 25th of Apr 2011 at 11:39 am
Back tested results of a system is one thing, to run it in real-time and get the same results is another. There has not been much buzz or updates about the mechanical systems from BPT for a long time.
One way to see if
Posted by algyros on 25th of Apr 2011 at 05:14 pm
One way to see if a system's results are the product of curve-fitting is to try the system with other vehicles. Matt, have you tried your SPY system with other ETFs? If it works well with a variety of ETFs, then it is likely to be robust and continue to be profitable in the future.
Title: Systems There was a wonderful
Posted by bkout3 on 25th of Apr 2011 at 11:55 am
There was a wonderful stretch of time in 2009 when the systems were working in real trading. It's been a while since I checked on the profit curves via the Mechanical Systems link on the left. They actually look a bit better than I expected although it's tough to judge without real number crunching. I hope that eventually it will be clearly indicated on such charts where the point is that the parameters and rules were fixed in place and the systems "went live" -- as you say that's the point that matters. I think the hope with the new system and one of the things that makes it different from the others is that the backtesting has been done over such a length of time and in so many different types of markets that the expectation is that it will be more robust and continue to work in the future. Of course anything can happen. Bravo to Matt for tracking real $$ going forward -- that should be a good indicator of ral live performance.
Title: Systems The mechanical systems entered
Posted by cw12 on 25th of Apr 2011 at 12:19 pm
The mechanical systems entered trades when a short term trend has already been established. What happens is that a lot of the times the market is overbought or oversold when they entered their positions. They would sometimes end up going long at resistance or short at support. It's the opposite of what I would normally do. As a result, there's a propensity for whipsaws when volatility is low because they would enter positions when the trend is close to changing. Imo, these systems will work well again when volatility increases. When volatility increases, the market makes bigger moves, and their will be more follow through on moves. Right now, this FED manipulated rally has sapped volatility.
I haven't watched the videos for the new system. But from just looking at the previous entries, the new system differs from the mechanical systems because it takes a somewhat opposite approach. It doesn't go long when the market is overbought or short when oversold. Instead, it identifies what the main trend is. For example, currently the trend is up. It would go long on the next pullback. This is why the system has worked so well during the POMO environment. The smart move during this rally has been buying the pullbacks, and that's what the system has been doing. Once the market tops out, most of the entries will be shorting the bounces.
One observation I would like to point out is that the first entry of a trend change could very likely be a loser. For example, let's say the system goes long on the next pullback. If it turns out we topped, then it could turn out to be a loser. I'm just taking a hypothetical scenario. I'm favoring consolidation or a pullback from here before another move higher.
Hasn't it also been forward
Posted by aharon on 25th of Apr 2011 at 11:57 am
Hasn't it also been forward tested for a year? I thought I read Matt saying that.