Any system that has DDs more than twice the returns (Calmar Ratio < 2.0) indicates that the fund manager is taking excessive risks.
Calmar ratio <0.5 !!!
Palsun, you really don’t know your stuff!!!
Beau said "There’s no doubt in my mind how valuable my systems are."
EXACTLY, your systems are only valuable IN YOUR MIND!
Now, my friend, you are getting at the crux of your problem…
Palsun and Beau don’t really like ETF Timer, etc. because these are BAD-A** compared to their flailing attempts (sorry the two of you).
Backtests to me have yet to gain appeal - as do any short-term success. And Palsun, if a system just “HAPPENS” (and I do not think that is absolutely the case here) upon a great 2-year equity curve - it deserves merit!
Even ShadowBanker couldn’t perpetuate the menagerie and it had a huge dollar trend going for it. ETF Timer had the market’s malaise!!!
Don’t trade off feelings or analyze off of them. Always re-evaluate your work and make honest appraisals and try to see the benefit to others - even if they are “competition”.
We can all learn from everything - perhaps even someone’s denial?
Gilbert
>Palsun and Beau don’t really like ETF Timer, etc. because these are BAD-A** compared to their flailing attempts (sorry the two of you).
Your apology not accepted. Mine is not a flailing attempt unlike yours…
>Backtests to me have yet to gain appeal
You think walk-forward testing is the way to go? If I was given a choice, I would take a back-test any day…
>And Palsun, if a system just “HAPPENS” (and I do not think that is absolutely the case here) upon a great 2-year equity curve - it deserves merit!
Yes it deserves merit but not as much as it seems to be given merit…You have to objectively analyze a system, not just its esthetic appeal…Did you understand what I wrote in reply to Keith…
>Even ShadowBanker couldn’t perpetuate the menagerie and it had a huge dollar trend going for it. ETF Timer had the market’s malaise!!!
So did a lot of other systems. Why limit yourself to comparing with ShadowBanker. This is cherry picking to prove a point…
>Don’t trade off feelings or analyze off of them. Always re-evaluate your work and make honest appraisals and try to see the benefit to others - even if they are “competition”.
This from a guy who is a pathological, chronic liar…
>We can all learn from everything - perhaps even someone’s denial?
Apparently you cannot…
I find it extremely assuming that this conversation has evolved into a discussion between 3 of C2’s “finest”:
Beau - arrogant (“I’m the best strategy developer in the world”)
Palsun - multiple failures, plagiarist (20 failed systems)
Gilbert - plagiarist, paper trader, ethics issues
All their systems together don’t come close to ETF Timer.
“Delusional” also applies to this august group. Time to put all 3 on “ignore”…
What merit does a troll have?
Huh?!?
G
Keith agrees with me … 2) There is no strategy to ETF Timer.
Beau,
I never said that. I said I’d sure as hell like to know what the strategy is. It’s “uncanny” is what I said. I’m jealous, and you should be too.
Nobody here gives the exact methodology to their strategy. Some give an idea, and some don’t. I respect that because what you is say about your strategy makes it easier for people like me to “figure out” how it works. I’ve reverse-engineered about 5 strategies here that I think are really good. There are two more that I really wonder about. ETF Timer is one. I won’t name the other, but it’s not yours.
You don’t disclose the logic behind your QLD/QLD systems, why should Mr. ETF Timer? So the bottom line is: I think ETF Timer is a very worthwhile strategy; I just wish I could figure out how it works.
Keith agrees with me … 2) There is no strategy to ETF Timer.
Beau,
I never said that. I said I’d sure as hell like to know what the strategy is. It’s “uncanny” is what I said. I’m jealous, and you should be too.
Nobody here gives the exact methodology to their strategy. Some give an idea, and some don’t. I respect that because what you is say about your strategy makes it easier for people like me to “figure out” how it works. I’ve reverse-engineered about 5 strategies here that I think are really good. There are two more that I really wonder about. ETF Timer is one. I won’t name the other, but it’s not yours.
You don’t disclose the logic behind your QLD/QLD systems, why should Mr. ETF Timer? So the bottom line is: I think ETF Timer is a very worthwhile strategy, I just wish I could figure out how it works.
>I just wish I could figure out how it works.
Simple. It is "trend-following", but frankly, it does not have a great position-sizing strategy…
For a system to be considered truly great, 3 things has to happen perfectly equally, 1) Issue selection 2) Timing and 3) Position-sizing.
As you say, ETF Timer may seem to excel in Timing (only time will tell the difference as it has not made statistically significant number of trades and gA may turn out to be right about it - "I was kindof shocked when the market recently signaled to me to go SHORT (short-lived 2 week correction) - that ETF Timer stayed LONG. Granted, once I got the signal the market ran right back up in the channel on nearly-no volume. . . but it spoke volumes (as least to me) that in the event we do drop deep and hard into a correction and TCM, LLC still is going long and even averaging a bit - - could spell the end or at least a large DD. Does not bode well to be a (in my mind) TRUE winner that can go 2 or 4 or 6 or whatever years with great (calmar, CAGR, etc.) results. -gA) and it may very well do credit to its name, but on the position sizing strategy (that determines CALMAR and CAGR), it seems to lack and that tells me something else…
Beau,
On one hand, you compare PTQQS to fund managers and how it beat 99% of them. Then when Walt compares PTQQS to ETF Timer, you disregard the comparison, saying “PTQQS is a thing of the past”.
Since you bring up PTQQS and ETF Timer, it seems logical that Walt would try to compare the two systems.
- If “PTQQS is a thing of the past”, why not kill it and be quiet about it?
- If you don’t wish to be quiet about it, I would like to hear your response to the gain and draw comparisons between PTQQS and ETF Timer.
Calmar Ratio of PTTQS: 0.36
Calmar Ratio of ETF Timer: 3.37
Please spare us…End of Discussion…
You think walk-forward testing is the way to go? If I was given a choice, I would take a back-test any day…
Huh, Palsun? Even you cannot be this daft… Walk forward is what you do to help confirm a backtest.
PS: I agree that walk-forward testing is used to validate a back-test, but it cannot be used as a sole and primary method of developing systems…A back-test is more valuable to quickly identify the best parameters for a system which is not optimized/optimized for a given market or market conditions, i.e., curve fit. A lot of developers fall into the trap of curve-fitting; a walk-forward test will confirm this as the results will not match the back-test; a case in point, just look at PTQQS system from Backtest Beau. But if a back-tested system holds up in a walk-forward test, then, that system will be better than the best back-tested optimized one…That is why given a choice, I would go with a back-test to reduce development time, otherwise (just using walk-forward testing alone) one might end up old and poor…
He’s saying attempting to create is system is done through the process of backtesting, which is consistent with trading system development. What is not, however, is the metaphysical idea of describing a system as an “art form.” Everything is quantitative.
I agree, which is why I created [LINKSYSTEM_44396934]. It’s first has matched the backtest, and, going forward, I know will match the backtest.
Exactly why there needed to be a new system. The old had been composed of too many different variations, and prompted me to start the new one. I’m starting over, as I have built the best system I can build, and having seen tens of thousands of backtests, performance summaries, and trading stats, out of all those, the research I have I can confirm is not found anywhere on the planet.
Realism Factor 100.0
Trades 1
Profitable 1
Losses 0
Win % 100.0%
APD Ratio 1.34
Correlation w/ S&P 0.310
Cumu $ $1,117
after typical commission $1,097
Keep after worst-case slippage 100.0%
Avg Win $1,117
Avg Loss $0
Profit Factor n/a
P/L per unit $1.13
after typical commission $1.12
Avg Trade Length 2.0 days
Compound Annual % 45.6% over 40 days
Sharpe Ratio 4.945
Max Drawdown 1.6% (20091102 to 20091103)
Risk of 20% account loss n/a
Risk of 50% account loss n/a
Risk of 100% account loss n/a
I see a calmar currently of 45.6/1.6=28.5. The subscribers I do have I know are aware of my strategy, and also know how big of a "quantum leap" the new system is.
As a professional, I only care about opportunity costs. I don’t consider trading anything but my own systems, and beyond that, investing needs to be done by licensed professionals. I would only trust mutual funds and managers of “managed accounts” through FINRA firms outside of it. I am only looking at mutual funds with “ticker symbols” investable through any retail broker, and, of those, I didn’t find any with those performance stats. Not even 5% APR’s either.
You’ll find confidence helps in the game of online internet posting. People, online generally, have no inhibitions against posting extremely slanderous and outright false posts about anyone. I don’t deny it is arrogant, as I certainly understand it can be seen that way, but I am just someone who has spent years writing trading systems. And if that doesn’t come through, it’s most likely because you don’t know my posting history. Since you’re new, it’s likely you don’t know where any “meat” as to my ideas about strategy trading are, or how you would understand them without being a trading system developer yourself.
Barry, I don’t say things without a lot of thought. Keith and I are both stumped on the strategy, as it is unlike anything we’ve ever seen. The legs of the trades do not appear like any system I’ve ever seen written, and I’m sure as any system Keith has ever seen either.
At the core, I guarantee I have described my system consistently for over 2 years now as a “Volatility based, overbought, oversold oscillator” that is perfectly described in my system description. Nothing even approaching that level of insight into the rationale of the system is in ETF Timer’s description. That’s the only issue I have with it. People more astute to posting would pick that up quite quickly.
I do think I’ll beat ETF Timer over the next six months. His luck is running out, and riding a bull market only works for so long. We found that out with MVP-3, and it’s 70% crash virtually overnight.
Guys guys guys, there is no point in arguing or even trying to figure out another developers system. The cream always rises to the top, ALWAYS! If Beau’s system is as good as he thinks than it will quickly gain recognition and its spot on the hot systems list. ETF Timer is obviously part of the cream right now. Its really not a hard system to figure out(trend following with scaling in and out). Sounds easy, but its not and takes disipline which this trader obviously has shown. As far as MVP 3 goes, I think its probably a decent system but uses too much margin at times for my taste. The overnight drawdown that his system expierenced can happen too any system that holds overnight. Anyway, the “cream always rises to the top”.
