Most back testing is useless

[foroom lluzers]

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

Market is efficient , all edges are nullified .Trading is a zero sum game , and a negative sum gane , after allowing for mistakes , the unreality the trading mind sees as reality and the negative edge of the human mind in live trading .

There are edges , profitable systems /methods out there , back testing on excel can show you these , there are systems which bypass the negative edge of the human mind and eliminate the mistakes .

The systems /methods to trade profitably , with a technical edge and a winning mental edge ,are not availble on the internet or ony forums , books or coaches/mentors etc.Until then Lulz and enjoy " amateur claims of after event profits without actual trades not being put on " .

 

[foroom lluzers]

The way people are taught to trade in zero sum game , will eventually lead to losses and ruin.
Look at chart :zero sum results , it leads to negative sum after handicaps of mental edge , trading edge , spreads and mistakes.

 

[Fill_Or_Kill]

What the....

Does T2W get Government subsidies for being a lunatic asylum?

 

[foroom lluzers]

Patience doesn't give you an edge either. Nor does market timing.

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

Now think of it another way , you have found an edge , long biased with a stock market indices gives you a market edge.Markets are always rebound , after every fall . so you need patience to wait for the pull backs , to add positions and you need patience to hold.So patience is the key , but most traders behave like this


http://www.trade2win.com/boards/psy.../45686-trading-psychology-13.html#post2892306


If you have the patience , you will make money.Trading is very simple and easy , mastering the mental edge is the hard part.Trading is 80% psychology , 20 % edge or system or method.


https://www.google.co.uk/webhp?sour...pv=2&ie=UTF-8#tbm=vid&q=patience+trading+edge


Now these guys are making 10 trades a day

http://www.trade2win.com/boards/technical-analysis/183506-trading-p-f-2414.html#post2895680

 

[foroom lluzers]

What the....

Does T2W get Government subsidies for being a lunatic asylum?

These guys attract enough advertising impressions , inplace of subsidies.They are all on my ignore list.

Now these guys are making 10 trades a day

http://www.trade2win.com/boards/technical-analysis/183506-trading-p-f-2414.html#post2895680

 

[tomorton]

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....

I'm clearly not saying that.

 

[tomorton]

Which is one reason why so many small players lose.

Losing private retail traders don't become winners by mimicking what the institutional players do.

 

[tomorton]

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?

Yes. Thanks for pointing out what the other posters have conveniently forgotten - hedge funds have a high failure rate and most struggle to even match the market.

 

[Fill_Or_Kill]

I'm clearly not saying that.

Then I don't get your point because there IS not inconsiderable practical overlap is the systematic space, whereas you said there is so little it's not relevant.

A hedgie parameter based ATS would be not be entirely alien to a home or micro fund based ATS developer. It's created on proprietary software and ported to a colocated server etc of course, but the trading of tick data formed either into a chart or other flow is still present outside of the HFT space.

 

[Fill_Or_Kill]

Yes. Thanks for pointing out what the other posters have conveniently forgotten - hedge funds have a high failure rate and most struggle to even match the market.

I'm not defending the track record of open, ungated, multi asset, multi strategy funds run by principals who are often near enough incompetent - I'm only defending backtesting in the pure quant fund arena (the best of which are more often than not blocked to investor funds and trade employee funds only, and many don't have to report returns under family or similar rules). I'm saying some of what they do can be ported and for me that includes backtesting and optimisation.

 

[dbphoenix]

Losing private retail traders don't become winners by mimicking what the institutional players do.

It's a start. If the trader doesn't understand what those who move the money and the price are doing, he's operating in the dark in an almost random fashion. It's not a question of mimicking but of understanding how the market works.

 

[tomorton]

Then I don't get your point because there IS not inconsiderable practical overlap is the systematic space, whereas you said there is so little it's not relevant.

A hedgie parameter based ATS would be not be entirely alien to a home or micro fund based ATS developer. It's created on proprietary software and ported to a colocated server etc of course, but the trading of tick data formed either into a chart or other flow is still present outside of the HFT space.

They want a profit from the market, so do we. They look at charts, so do we. Beyond that, nothing in common.

 

[tomorton]

I'm not defending the track record of open, ungated, multi asset, multi strategy funds run by principals who are often near enough incompetent - I'm only defending backtesting in the pure quant fund arena (the best of which are more often than not blocked to investor funds and trade employee funds only, and many don't have to report returns under family or similar rules). I'm saying some of what they do can be ported and for me that includes backtesting and optimisation.

If we do what they do, assuming we even could replicate it, we'd get the same result. What good is that anyway?

 

[tomorton]

It's a start. If the trader doesn't understand what those who move the money and the price are doing, he's operating in the dark in an almost random fashion. It's not a question of mimicking but of understanding how the market works.

Most institutional players are too small to move large markets, they're just members of the shoal, same as us. But assuming they do understand how the market works, plus assuming private retail traders don't, its not doing them much good according to their published performance stats.

 

[Fill_Or_Kill]

They want a profit from the market, so do we. They look at charts, so do we. Beyond that, nothing in common.

This posting method of expounding no argument at all must work well for you otherwise you wouldn't post this way over and over, but I don't think you're making these statements from a position of knowledge. Have you worked at institutional quant level? Any tier at all.

You are claiming the way funds optimise and backtest has no resemblance of note to available retail methodology? (Remembering the topic...)

 

[Fill_Or_Kill]

Anyway this is becoming all incredibly tedious - I should have just answered the topic flat because one-upmanship puts none of us in a good light:

Most backtesting, when applied reasonably, is extremely useful in some form, importantly generally either as a partial confirmation or a total disconfirmation. If you're fkin clueless mathematically or lack experience in running systems, or both, of course it's useless.

 

[foroom lluzers]

If you're fkin clueless mathematically or lack experience in running systems, or both, of course it's useless.

Why argue with the vendors?

 

[dbphoenix]

Most institutional players are too small to move large markets, they're just members of the shoal, same as us. But assuming they do understand how the market works, plus assuming private retail traders don't, its not doing them much good according to their published performance stats.

I'm not referring to "most institutional players"; I'm referring to those who have the power and opportunity to move the market. But clearly I'm not making my point, so I'll leave it here.

 

[foroom lluzers]

Google is my best friend for research for unbiased qualitative information.

Here is what I found:

Year in, year out, low-charge index funds have been beating their more expensive actively managed counterparts. Almost all the difference is down to the fact that index funds charge as little as 0.06% a year, while active funds charge at least 1%, and often a lot more once hidden fees are taken into account. After all, those Porsches and Ferraris have to be financed somehow.

There is no need for back testing by instituitions investing in the better performance tracker funds.Does it confirm back testing is not really used?

 

[tomorton]

Back-testing would seem superfluous if you're only aiming to track your chosen index. While the active funds may indeed use back-testing, but nevertheless perform rather poorly.