I have been testing and testing systems in the systemtester but there are as good as no systems that produce any better results then buy and hold (i.e. without optimization and equally good results in different time frames). I also don't like having to make 100 trades (with all the timings risks) for a only 5% better result.

Are we looking for the holy grail and is everybody looking and searching for the formula for turning lead into gold or ...?

The best multi stock-multi periods tested system I could produce was:

buy: Mo(Mov(HHV(C,21),70,E),10)>100
sell: Mo(Mov(HHV(C,21),70,E),10)<100

Anyone with a better system ???? (and then I don't mean the standard Metastock pp:: CCI modified with 200 transactions in 500 daily periods)

Anton

Thank Wabbit for your honest answer.

If backtesting won't work, future use will most certainly not going to work either. Isn't the cornerstone of Technical analysis that the past patterns are most likely to be continued and repeated with a certain certainty in the future? Without this fundamental there remains nothing more then gambling.

Every casino player also has it's own system en lucky periods. If the use a computer and analysis (or change computing) tells me that the chances of even keeping your money will never exceed 36 out of 37 on roulette, you better stay out because the changes of consistent winning are nil on the long term.

Blackjack card counting works and it disliked by the casino's because a computer can provide and compute faster and better high chance situations and keep you out of chance situations better than the human mind/memory. On the long end this way of playing black jack provides predictable profit into an otherwise predictable loss situation

The system I showed can be tested in very marked on every randomly chosen group of stocks from a index and it will at least beat buy and hold. (have tested it backwards on 350 periods, 450 etc, incremental with 100 periods per step up tot 3150 periods. In every period it beats the buy and hold results of a group of indices or a group of stocks. On individual stocks it may underperform in 10-30% but overall it outperforms buy and hold consistently in every historical situation the past 15 years.

Are those not the systems we are looking for and need computer power for: systems that rule out luck of market situations and use chance computing in our advantage?

Nice improvement !

Which trend filter (or how??) do you use ???

Anton

Hi Henry Is the first chart correct? The equity curve and the under water histogram both give the appearance of being always in a trade, and yet both charts are marked as Long only. The EST and Trade Equity both show significant periods out of a trade, and quite different equity plots that aren't explained just by the different generation methods used by VST Pro. Thanks Roy

Oops, guess I shoulda used PrtScrn instead of SaveAs HTML.

Johnathan, here is the code I used

{* User inputs *}
pds1:=Input("HHV periods",1,260,21);
pds2:=Input("MA periods",1,260,70);
pds3:=Input("MO periods",1,260,10);
Sig:=If( Mo(Mov(HHV(C,pds1),pds2,E),pds3)>100,1,
If(Mo(Mov(HHV(C,pds1),pds2,E),pds3)<100,-1,0));
rev:=Input("Reverse trade signals? [1]Yes [0]No",0,1,0);

{* Entry conditions *}
entry:= {<- Do not change entry parameter name}
Sig=1 AND Ref(Sig,-1)<>1;

{* Exit conditions *}
exit:= {<- Do not change exit parameter name}
Sig<>1 AND Ref(Sig,-1)=1;

Anton,

Needed to stretch my mind this morning, so here are the median Profit/Risk ratios of a few test explorations on the S&P 500 -- with & without Market Trend Filter (MTF) and Stops (2.5 ATR Initial, 3.5 Trailing), 3000 bars (12 years).

--Strategy (Momentum-Anton) Only: 1.4
--w/MTF: 2.3
--w/Stops: 1.0
--w/both: 1.6

MTF only: 3.4
MTF w/Stops: 3.1

Here are 3 corrected charts of UTX using your system.

There are 3000 periods loaded



this chart is only using the MTF Filter no system signals



This chart is your system with the MTF Filter



This chart is only using your system

here is the code for the above system

pds1:=Input("HHV periods",1,260,21);
pds2:=Input("MA periods",1,260,70);
pds3:=Input("MO periods",1,260,10);
Sig:=If( Mo(Mov(HHV(C,pds1),pds2,E),pds3)>100,1,
If(Mo(Mov(HHV(C,pds1),pds2,E),pds3)<100,-1,0));
rev:=Input("Reverse trade signals? [1]Yes [0]No",0,1,0);

{* Entry conditions *}
entry:= {<- Do not change entry parameter name}
Sig=1 AND Ref(Sig,-1)<>1;

{* Exit conditions *}
exit:= {<- Do not change exit parameter name}
Sig<>1 AND Ref(Sig,-1)=1;

>>Have you tested the MTF on let's say Hang Seng index, or DAX or Russian RTS because if it's a filter that filters a fundamental predictable trend it shoudl work there also.

I'd agree, but I don't have data for the individual securities which make up the indices. I suspect the correlation of growth w/U.S. indices is high, though. And, as some have pointed out, panic tends to increase all correlations to 1 <g>.


>>If it's historically tailored to the S&P500 it will work on all S&P stocks, because those will at large follow the S&P500 WHEN TESTED BACKWARD.

Um, the word "Filter" in "Market Trend Filter" might not be the best choice of words -- perhaps a better term would be "Market Trend Supervisor" or "Market Trend Override".

The MTF isn't "tailored", it merely follows the trend of a market average. You could use a variety of methods/averages to do that, and use it to "supervise" or "override" your specific trading strategy/signals.

For example, Dow Theory has been used that way for 100+ years: Be in or out (long or short) of individual stocks -- or in more recent decades, the whole market, via VFINX or SPY.

FWIW, I've been following the MTF-only (highest P/R ratio, trend and stops) over at the main site for awhile: Testing forward -- or "Walk Forward", if you will -- which confirms similar results with Equis/Reuters data.


>>I am always a bit suspicious with a historically tailored system to one situation/exchange because the risk with such filters is that you are backtesting with a certain historical insider information built in that filter. The same reason ZIG-ZAG based systems produce fantastic results when tested backwards.

As above, "filter" was not the best choice of terms: ZIGZAG is a mathematical technique/data filter, while the MTF is hard math -- it will NEVER change signals. Comparing the two would be "apples vs. oranges".

Hope that helps,

Henry -- Your middle chart is what bugs me -- Anton's system w/MTF. It doesn't show profit, other than a very small amount in 2000 & 2001. Look at the posted chart.

But, adding the MTF should IMPROVE things, but the middle chart is WORSE than the bottom one -- it shows cumulative loss!

FWIW, I get the same results for your code or Anton's, when used without MTF, but there is a significant difference between them when MTF is active. Both however, show profit, as opposed to the loss in your middle chart, below.



VSTmod-L01 - Momentum - Anton

entry:= {<-- Do not change entry parameter name}
Mo(Mov(HHV(C,21),70,E),10)>100;

exit:= {<-- Do not change exit parameter name}
Mo(Mov(HHV(C,21),70,E),10)<100;

{ ----- *** End of user-edit section *** ----- }





VSTmod-L02 - Momentum - Henry

{* User inputs *}
pds1:=Input("HHV periods",1,260,21);
pds2:=Input("MA periods",1,260,70);
pds3:=Input("MO periods",1,260,10);
Sig:=If( Mo(Mov(HHV(C,pds1),pds2,E),pds3)>100,1,
If(Mo(Mov(HHV(C,pds1),pds2,E),pds3)<100,-1,0));
rev:=Input("Reverse trade signals? [1]Yes [0]No",0,1,0);

{* Entry conditions *}
entry:= {<- Do not change entry parameter name}
Sig=1 AND Ref(Sig,-1)<>1;

{* Exit conditions *}
exit:= {<- Do not change exit parameter name}
Sig<>1 AND Ref(Sig,-1)=1;

{ -------- End of user-edit section -------- }