A while ago, I promised to share my little success story. I did in fact develop a stock trading system that strictly trades stocks on the NYSE and NASDAQ. (Also, there's no ETF's.)
Hopefully I can follow in your (& jcl's very large) footsteps someday...
You're too kind!
Originally Posted by DdlV
One question: Since the system is long-only - are you concerned about a severe, very deep, no-recovery crash, as many are currently predicting?
Good question. Attached are the 2008 crash (in sample as of 2009) and the coronavirus crash.
I have put in place lots of risk management. Once a certain amount of equity of the overall system is drawn down too much since the last rotation, all of the losing positions are cut. If we are approaching a margin call, the losing positions are cut. The risk management checks for problems on every tick. So I feel pretty good about it.
Originally Posted by DdlV
a severe, very deep, no-recovery crash
And how many times were such "end-of-capitalism" predictions correct?
Once a year at most. Just so we’re clear, it’s ten total, not per asset.
There are 200+ assets with at least eight years of data being trained. Assuming an average stock lifespan of 7 years out of 8, that at least 1400 years of total daily stock data being analyzed.
And how many times were such "end-of-capitalism" predictions correct?
"no-recovery" was a bit of "poetic license". Should have been "very loooooooooooooong recovery"...
If by "capitalism" you mean the (free) market, then it's never ended, and can't. That doesn't, however, mean the (real) market doesn't ultimately reassert itself over whatever system has been running, causing tremendous loss, pain, & suffering in some mathematical relationship to how long and how deeply it's been distorted.
But I don't think this is the proper Forum for this kind of Educational discussion!
Thanks again!
Re: Blog Post: Success Story 1: Stock Momentum Trading System
[Re: AndrewAMD]
#480784 07/13/2006:1607/13/2006:16
Executive summary: I'm not concerned because of the tons of stock data being trained against and the type of parameters being trained (mostly broad risk management parameters). Also, I should refer you again to the N=1000 shuffle test, which was performed 100% on out-of-sample data.
10 parameters with Brute force sounds too overfitted
Originally Posted by danatrader
Aren't you scared of Bruteforce optimising?
About this... I just reviewed my code for the first time in months. Actually, it's only 4 parameters trained. This is why my blog said "10 or less"!
They are: * Number of assets allowed to trade in the market at a time * Nominal margin consumed (assuming Leverage = 2) * Max portfolio allocated to any given asset * Max portfolio excursion