Is this one Spot on?

[jmreeve]

This system didn't really test very well over several years of data even when there was all the fanfare.

It was not designed to cope with poorly trending markets and was promoted during when there was a very strong trend. As soon as that strong trend finished the losses started. However, there have been some exeptional trending moves recently so it has recovered a bit. In the long term I doubt it will be viable as a tradable system.

With better system design and diversification it is possible to make money trading systems. By trading a single system you are very vulnerable to system failure. It is like operating a company with a single product line. As soon as the revenue from the product dries up the company will go bust. In the same way that companies need multiple products, traders need multiple systems if they are so survive for the long haul.

 

[TWI]

Is Spot On making a comeback? Here is latest Equity Curve.
SIBKIS is still a dog.

 

[jmreeve]

Spot on and SIBKIS both are good examples of the dangers of over-fitting to short periods of history data and publishing systems on bulletin boards.

Spot on was just exploiting a temporal inefficiency that was present while a major trend was under way.
It's fine to trade these providing you have the tools to know when to pull the plug.

 

[TWI]

jmr - I agree with you but would also point out that the concept behind these systems is valid. Breakout trading does work in fx markets and as a result I think it is of value for traders to appreciate the principle behind these bulletin board systems and from that look to develop something a little more robust. The main barrier to this is probably that a lot of amateurs are not prepared to invest in the necessary software to enable effective analysis or learn the coding skills to stress test ideas properly.

 

[jmreeve]

jmr - I agree with you but would also point out that the concept behind these systems is valid. Breakout trading does work in fx markets and as a result I think it is of value for traders to appreciate the principle behind these bulletin board systems and from that look to develop something a little more robust. The main barrier to this is probably that a lot of amateurs are not prepared to invest in the necessary software to enable effective analysis or learn the coding skills to stress test ideas properly.

The software and coding is really only part of the problem as learning how to develop and test systems properly is a huge learning curve. There is also almost no good literature on this subject.

What software are you using to test systems?
As TS2000i is now getting difficult to get hold of I am not sure what is currently available that is as good.

 

[TWI]

I now use TS8.1 ( currently on build 3006 which allows 3rd party data import via ascii.) Hoping that there will be something to interface Bloomberg soon as currently can only interface it with 2000i and running both TS platforms is not ideal.
Also use Rina Portfoliostream 6.0 and Portfolio Evaluator 7 both of which I find extremely useful.
Fortunately Bloomberg combined with Excel is excellent when it comes to data extraction and combining historical data in bespoke back adjusted format.
I have not been able to find anything better than this combination and to be honest I am so familiar with TS now that changing to another platform would be a real hassle.

 

[jmreeve]

I was not aware that you could import ASCII into TS8.
Is this a new feature?

Also does version 8 have the facility to save the strategy report in Portfolio Evaluator XML format?
This used to one of the format options under the save dialog in the Strategy Perfomance Report
and I use it to export to my performance analysis application.

 

[TWI]

It is a feature that has been added in the latest service pack. Finally they came around to the demand, it only took several years!! Also they are claiming that EU exchanges will be added in the next few months, this has also been on the agenda for about three years so I will not hold my breath.
I am not sure what format it is saved in from TS8 to PE7 just hit the rosetta and it saves it. Will have a look next time I open it up.