Most back testing is useless

[foroom lluzers]

Is 'not back-testing' one of the 40?

Back testing without psychology is one of them , backtesting for historical conditions gives you a false edge , it dissapears when markets change , yet the marketing men of back testing software and services will continue with their holy grail and vendors will continue with theirs.

Your question may be very intelligent.If you back testing gives you information to place real money bets , on historical set ups , why would it work ?Every set up of t/a has 3 outcomes ,they fail or nothing happens or it works 33% chance of success .

Most professors who teach in business schools feel that most technical analysis rules are historic , and are aids for gamblers.Gamblers need a reason to bet , and technical anylysis gives gamblers the reason.

A recent study by finance professors at Massey University in New Zealand examined more than 5,000 technical trading rules to see if they added value. The authors found "no evidence that the profits to the technical trading rules we consider are greater than those that might be expected due to random data variation."

http://www.cbsnews.com/news/is-technical-analysis-a-waste-of-time/

Most of you will give opinions of why t/a works , you can not provide any evidence or studies because technical anylysis can not be tested , it does not always work , all context can not be applied in testing , emotional trading failures due to t/a failure can't be tested , stress and it's negative influences of t/a can't be back tested.WTF. F O S .

Give me 50 opinion posts without evidence ,and start up 10 other threads positive about t/a , that t/a works.(VENDORS ONLY SELL COURSES OF SNAKE OIL)

95 % losers in trading probably use t/a to place bets.

 

[Fill_Or_Kill]

Nobody serious who has a practicable short term edge based on charting would ever be ridiculous enough to post it on a forum or any other public venue. So you're right in that you won't find any working systems on here, except perhaps on a long term time frame.

 

[tomorton]

Nobody serious who has a practicable short term edge based on charting would ever be ridiculous enough to post it on a forum or any other public venue.

Why not?

There are hundreds already available for free on the web. The posters believed they all worked. Some of them must do. What's to lose by posting?

 

[piphoe]

Back testing without psychology is one of them , backtesting for historical conditions gives you a false edge , it dissapears when markets change , yet the marketing men of back testing software and services will continue with their holy grail and vendors will continue with theirs.

Your question may be very intelligent.If you back testing gives you information to place real money bets , on historical set ups , why would it work ?Every set up of t/a has 3 outcomes ,they fail or nothing happens or it works 33% chance of success .

Most professors who teach in business schools feel that most technical analysis rules are historic , and are aids for gamblers.Gamblers need a reason to bet , and technical anylysis gives gamblers the reason.

A recent study by finance professors at Massey University in New Zealand examined more than 5,000 technical trading rules to see if they added value. The authors found "no evidence that the profits to the technical trading rules we consider are greater than those that might be expected due to random data variation."

http://www.cbsnews.com/news/is-technical-analysis-a-waste-of-time/

Most of you will give opinions of why t/a works , you can not provide any evidence or studies because technical anylysis can not be tested , it does not always work , all context can not be applied in testing , emotional trading failures due to t/a failure can't be tested , stress and it's negative influences of t/a can't be back tested.WTF. F O S .

Give me 50 opinion posts without evidence ,and start up 10 other threads positive about t/a , that t/a works.(VENDORS ONLY SELL COURSES OF SNAKE OIL)

95 % losers in trading probably use t/a to place bets.

just amoreass gobblygook & LOGICAL inconsistency. if i had time point all out..

never read so much BS in my life

too busy making retail $

 

[Fill_Or_Kill]

Why not?

There are hundreds already available for free on the web. The posters believed they all worked. Some of them must do. What's to lose by posting?

Well I did say serious. I haven't seen a short term system posted work except in a small slice of a market phase and often the posters will add an element of discretion to protect their pride behind subjective smokescreens. Why on earth you'd fully publicise the unbelievable hard work required to develop a phase adapting edge is beyond me. Such prudence in practice is why the Renaissance "traitors" were unable to redevelop the same systems at Millennium - and frankly as an individual I think most people would do well to apply the same level of obfuscation about their own systems for guaranteed preservation of alpha if nothing else. Presumably many do. Why take the risk?

Posting something like an MA regression or band "play" type thing that returns here and there on small money, sure, fine.

 

[edmond360]

Nobody serious who has a practicable short term edge based on charting would ever be ridiculous enough to post it on a forum or any other public venue. So you're right in that you won't find any working systems on here, except perhaps on a long term time frame.

I would if I was at a big fund. Perhaps I've valued an asset at $400, and start buying it up today between $370-$375 . There's not huge profit there, I'm only going to make $30 if I sit and wait for the price to catch up with the valuation.

If you're smart though, you could use an algorithm to buy the stock in a way so as to recreate a recognizable "pattern". The same patterns which are taught to retail and technical traders. Well now you have a shot at people seeing the pattern, and buying up the stock well past $400 because of an ascending triangle or some such ****. Like sheep.

It would operate a bit like a pyramid scheme, people getting in nearer the tip will think they're awesome traders with an edge, and people nearer the base will think technical analysis doesn't work.

 

[tomorton]

I still think there's no impact on your trading or bottom line if a number of retail traders have full details of a winning strategy.

Of course, it could always be sold, which would generate another income stream and somewhat restrict awareness.

(PS: I thought I might have teased you into a defensive argument - "I can't let the secret out or the banks will pick it up and trade against me", but you're not one to fall for such superstition, fair enough.) Have a good evening.

 

[foroom lluzers]

I'm surprised you'd say something like this. Back-testing is followed by forward-testing followed by the evaluation of results and necessary modification of protocols.

Does no one understand the scientific method anymore?

Yes curve fitting , but on live it may require orignal protocals/settings rather than curve fitted .

Forward testing , is easy to talk about , but who has the mindset to work for months , without pay.In your case you require upfront pay.
http://www.trade2win.com/boards/edu...36-virtual-accounts-versus-real-accounts.html

we have to get a certain amount of pleasure and stimulation or rewards from our daily activities and what we put into our bodies. If we don't, then we create a pleasure deficit or what is known as "reward deficiency," and are subject to depression, anxiety and poor performance. Each day we have to stimulate our reward pathways adequately if we are to function well emotionally, mentally and physically.

There is a conflict between forward testing for no reward, and our phsyche , we can not be working for nothing.

 

[foroom lluzers]

I would if I was at a big fund. Perhaps I've valued an asset at $400, and start buying it up today between $370-$375 . There's not huge profit there, I'm only going to make $30 if I sit and wait for the price to catch up with the valuation.

If you're smart though, you could use an algorithm to buy the stock in a way so as to recreate a recognizable "pattern". The same patterns which are taught to retail and technical traders. Well now you have a shot at people seeing the pattern, and buying up the stock well past $400 because of an ascending triangle or some such ****. Like sheep.

It would operate a bit like a pyramid scheme, people getting in nearer the tip will think they're awesome traders with an edge, and people nearer the base will think technical analysis doesn't work.

The biggest edge in trading is patience , buy up at lower and hold until profit , patience(the professional's edge) is not backtested in any backtests.

Market timing does not work , so what are you back testing for , because most intraday traders will not be able to time the markets

http://www.trade2win.com/boards/edu...22-what-happens-when-you-try-time-market.html

http://www.cnbc.com/2017/02/25/buff...onkeys-says-hedge-funds-cost-100-billion.html

 

[sigmund1]

Waterboarding or Cattle Proders.

Torture any data set long enough and it will give you any answer you want.

 

[foroom lluzers]

Torture any data set long enough and it will give you any answer you want.

You will not back test other unexpected market issues.They are flawed.

see video on you tube called"The Monkey Business Illusion"

 

[edmond360]

The biggest edge in trading is patience , buy up at lower and hold until profit , patience(the professional's edge) is not backtested in any backtests.

Market timing does not work , so what are you back testing for , because most intraday traders will not be able to time the markets

http://www.trade2win.com/boards/edu...22-what-happens-when-you-try-time-market.html

http://www.cnbc.com/2017/02/25/buff...onkeys-says-hedge-funds-cost-100-billion.html

Patience doesn't give you an edge either. Nor does market timing. Think of it like this, if you have no edge which should be your first assumption, then over time you just pay 1% commission per trade. So your starting point is 49%.

For all sorts of reasons, you will actually end up making stupid mistakes and lose money faster than you should do. In other words, 30% is more likely to be your true starting point.

The next step is to learn things like patience, timing, technical analysis, trends, risk management, psychology, back testing, etc. All of those things stop you being stupid, and get you back to the original 49%.

Retail traders confuse that process with thinking it's paying off and they are "improving" their edge. It isn't. All it has done is made you more profitable to the broker, because instead of donking all your money to other market participants in a single trade, you're now following what the broker has taught you, you can protect your capital well enough to keep trading day after day, and slowly paying that 1% to the broker until they eventually get all your capital.

There is variance, some traders will do better than 50%, some traders will do worse than 49%. That's just how statistics work. But overall, when you add all the well taught traders together, it nets out to 49%. That is the truth. The only real edge you can have over the market, which is not down to pure chance or variance, is if you can predict the future price. Common sense should tell you that your personal levels of patience, or psychology, or discipline, or your skill at drawing lines on a chart all have zero predictive value.

 

[kalott]

https://www.prorealcode.com/prorealtime-trading-strategies/sell-may-buy-october-works/

:cheers:

 

[foroom lluzers]

Most traders lose because of their mistakes and their minds are out of tune with reality , so in real trading reality mees the traders.

http://www.trade2win.com/articles/2216-your-brain-wasnt-built-handle-reality


Just search on google for quality discussions on trader mistakes , with words Traders and mistakes trading mistakes.These are part of subconcious errors , performance is less than back tests.



https://www.google.co.uk/webhp?sour...UTF-8#q=Traders+and+mistakes+trading+mistakes

 

[Fill_Or_Kill]

I'm sure there's some merit in what's being said here if I had the time to decipher some of the more interpretive statements, but I would state this to those unsure ... if there's anyone who believes the very top tier systematic funds out there are NOT using back-testing and are NOT using optimisation, they are extremely mistaken. Both are used extensively at institutional level.

 

[tomorton]

I'm sure there's some merit in what's being said here if I had the time to decipher some of the more interpretive statements, but I would state this to those unsure ... if there's anyone who believes the very top tier systematic funds out there are NOT using back-testing and are NOT using optimisation, they are extremely mistaken. Both are used extensively at institutional level.

There's so little practical overlap between how the big players play and how the small players play that this is not relevant.

 

[Fill_Or_Kill]

There's so little practical overlap between how the big players play and how the small players play that this is not relevant.

You seem to have dismissed my statement rather bluntly. So you're saying systematic hedge funds didn't run parameter based ATSs in your institutional career? They did in mine....

 

[dbphoenix]

There's so little practical overlap between how the big players play and how the small players play that this is not relevant.

Which is one reason why so many small players lose.

 

[piphoe]

There's so little practical overlap between how the big players play and how the small players play that this is not relevant.

Do not most big players lose too..the hedgies & Mutuals? they do well for awhile like many retail smalltimers.

how many hedgies have blowed out? PROS did they not "know" better?

So what's your point again?

 

[piphoe]

trading is EXTREMELY difficult if not impossible to sustain over time.