Beau Wolinsky has made such wonderful claims for his “Pairs Scalper” over the past year that when I saw the following post of his in the chatter area, I felt compelled to look under the hood.
"Per my own system, I described as a volatility based overbought-oversold system, which no one can duplicate."
Since it’s inception over a year ago, Beau’s QLD/QID scalper has made 44 trades. A cursory look at the trades and a chart of the underlying QQQQ’s shows that the strategy is essentially a counter-trend system on daily bar data. After relatively big down days it goes long, and after relatively big up days it goes short. It generally gets out after the first profitable close and carries a relatively large stop on 2X leverage instruments traded at full margin.
This type of counter-trend trading is the basis of many equity index strategies. The questions is: “Has Beau really found a superior way to execute on this well-known way of trading the equity indices”. The key to good execution on this type of strategy is to “pick your spots”. Almost every day is either up or down; how do you decide when to take the next counter-trend entry. Looking at the days Beau chose to trade gives a great clue to how well the strategy will work. I looked at his 44 entry days and measured performance on the underlying QQQQ index. If he traded QLD, he was going long the QQQQ, and if he traded QID, he was shorting the QQQQ. The following performance was based on open to close on the day of the signal. If he was long the QQQQ and the close was above the entry, it was a winning entry day, below the entry and it was a losing entry day. Just the opposite on the short trades.
The results show that on the 44 days of entry, Beau had 22 winning days, and 22 losing days, for an average profit of 0.148 percent per trade (less than two tenths of a percent). Then I looked at how the traditional counter-trend approach worked on the days Beau’s strategy choose to trade. My rule was that if yesterday’s close was less than the close the day before that, I would go long on the day he chose to trade, and I would go short if yesterday’s close was higher than the close the day before that. The results for this strategy were 23 winning trades, 21 losing trades, and an average profit of 0.161 percent per trade. Marginally better than Beau’s implementation. There were only 5 trades where the two implementations differed on the direction of trade for a given day, and those 5 trades made the marginal difference.
These results are not overwhelming. Maybe the real power of Beau’s strategy is that it does a better job of “picking the spots to enter” than the traditional counter-trend methodolgy. I looked at “big up and big down days” as a function of percent of gain/loss for the day on the QQQQ. If you go the opposite direction the next day, when the QQQQ is up or down 1.5 percent, you’d have had 39 winners, 33 losers, and an average gain of 0.257 percent. I don’t think “picking the days” is the answer.
The last possibility is money management. Beau took a 22-winner, 22-loser first day strategy and turned it into 30 winners and 14 losers. Maybe that’s the power of the system. So I took the 1.5 percent-for-entry, counter-trend version with 39 winners and 33 losers and got out after the first profitable close. If it wasn’t profitable within three days, I got out the next open. The results show 47 winners, 12 losers, and an average profit per trade of .0051.
I could go on and compare his metodology with stops versus the tradional aprroach with stops, but the picture isn’t going to change. Beau, I don’t think your strategy is as special as you think it is.
So many, many words wasted in an ongoing war of pride, jealousy, pseudo-knowledge, and rhetoric.
RESULTS, my friends, that’s ALL that counts. And not a bunch of pretty, interesting numbers, but MONEY IN MY POCKET.
That the ONLY reason to be here, and if you happen to think differently, you are losing your money while looking silly.
You just cost him $ 850,000. Well, hopefully the potential buyers will not read your message. I bet he is going to be pissed at you. 
I think he actually raised the price to $8,500,000. Go figure.
Yeah, and let me tell you how special your crap ETF-trader is. Go figure.
See you at 450k, dude.
You go trade it, Keith, see if you can overtake my system with that stupid crap.
That’s not a wide stop, and you’ve grossly understated my system’s performance. 4% is about as tight as any trader can make it on 2x leveraged funds. I hear 1x systems on the q’s with that much leeway.
There is more lines of code on this strategy than anyone can figure. You look at systems on WL, and people pride themselves on small systems, like 17 or 33 lines.
Mine are several hundred, and I’ve found this strategy much further back than any of the systems coming out today. It is what I consider the best system in this country.
It’s not going to benefit you to doubt me when I’m quite a bit higher from here. The last person who did that doesn’t show his face here anymore on c2 when he blew up his system trying to compete with me. Maybe they say things on other websites, but not here.
It’s going to take a few more years to get that price, I admit, but I think that that is about what it’d be later on.
I can tell you, using my KY roots, “It ain’t: this much percent up, this much percent down.” That’s a pretty stupid strategy if you ask me.
Interesting. Then you can take a look at the backtest with an APR of 550% and DD of about 15%, then come back and tell me what the average percent is. You’ll have the exact same problem with your system.
Not to mention, these are all models. My model’s backtest is worth millions to me personally. Hence why I put it at that price, because that is my price, and I have said that I don’t believe anyone would pay for it. The point is I have one. And if it takes doubling three more times to get people to realize the value of that system, so be it. That’s worth the post fee on c2 for several more years. Not to mention at the same time that I’ve gotten similar results in real brokerage accounts.
Like I said. See you at 450k.
(If you want a time, say February 2009).
One more thing, Keith, why are my system stats being treated as “claims”? The whole point of c2 is to independently verify a trader’s reported performance.
This system has what anyone could want.
Let me take back some of those things. I don’t know which ones, but whichever will make you want to talk a bit more.
While it is true, it’s not much on the index, I just look at the charts of QID and QLD. That’s pretty much all the trading world is to me. There are several things working in the system that are not as simple as what you’re making it out to be. Not disclosing DD on your system tells me something.
I will attempt to duplicate what you’re talking about.
We’re all working with models. Those who come here without an edge, which are ones without models, like discretionary systems, never last, because it cannot be duplicated.
I see it more like, I have a model that works. Past performance is no guarantee and all that stuff. But I feel reasonably confident in my targets and I’m extremely comfortable with its risk characteristics.
I’m not mad. I think the average profit of the system is less than I’d like, but there’s probably more benefit in seeing average profit percentage.
Let’s do the math, so if you’re saying I make 0.148% per trade, on a 2000 point contract that’s 3 points. Nope, buzzer, judges? Incorrect. I’m working with someone currently that said my average profit per trade was 30+ points. There’s a huge difference. So you’re wrong.
Ah, this is actually a good thing that someone pointed out, but who really cares how you become a millionaire? The point is you are. I’m getting there. I’d say definitely in five years.
Wait, just looked at it. Average is 10 points profit for 432 NASDAQ points, taken before the last two trades. So…10/2000 I think is 0.002 or 0.2%. Yeah, that’s close enough. If you win enough of the time, and make more money on the winning trades, it’ll work.
No one ever says anything about the SDS sso version, which are the same thing mostly with different variables, but the same shell program. That’ll be going up shortly here, too. I’d be doing good to double by the end of the year on that, or getting it to where QID and QLD is at the end of this year.
One more thing, Keith, nice on the short term trader. What’s my problem with it? 1000’s of trades. I won’t need that many to get to that level.
I’ve written systems like that, one that’s published, but I probably personally don’t like to do that, and it’s a matter of style.
After relatively big down days it goes long, and after relatively big up days it goes short.
That’s sure how it feels, but… it’s not that simple.
It’s a nice mystique that I can safely say unless someone ponies up some money, they won’t ever know.
Ah, I see, you’re trying to reverse engineer it. You won’t be able to. I’m sure you think that you can or that you’ve proved something, but what you’ve left out is that it’s probably looking at five to six different systems. So you’d be engineering some of the really poor ones that I first started with.
The strategy you’re talking about is quite comical to me.
Let’s dissect, shall we?
The results show that on the 44 days of entry, Beau had 22 winning days, and 22 losing days, for an average profit of 0.148 percent per trade (less than two tenths of a percent). Then I looked at how the traditional counter-trend approach worked on the days Beau’s strategy choose to trade. My rule was that if yesterday’s close was less than the close the day before that, I would go long on the day he chose to trade, and I would go short if yesterday’s close was higher than the close the day before that. The results for this strategy were 23 winning trades, 21 losing trades, and an average profit of 0.161 percent per trade. Marginally better than Beau’s implementation. There were only 5 trades where the two implementations differed on the direction of trade for a given day, and those 5 trades made the marginal difference.
Your peeking…quite blatantly, since you will probably never know without buying my system when you’re supposed to buy. I can see straight through this BS now. The sentence goes "Then I looked at how the traditional counter-trend approach worked on the days Beau’s strategy choose to trade. My rule was that if yesterday’s close was less than the close the day before that, I would go long on the day he chose to trade, and I would go short if yesterday’s close was higher than the close the day before that. ?"
So you’re saying on days when “Beau’s strategy chooses to trade”, like you’ll ever know my signal, that your strategy did better.
This is extremely BS. You’re not ever going to know when my system bought. This is called "Look Ahead bias."
For all who see this, know that this trader couldn’t reverse engineer this system as he says because it is based on future data from the fact that he must know when I’m trading when he never will.
Wow Keith. You really stirred his porridge, Must have struck a nerve. hehe.
Here’s the strategy and results in Wealth Lab
var Bar: integer;
for Bar := 20 to BarCount - 1 do
begin
if not LastPositionActive then
{ Entry Rules }
begin
if (@#Close[bar]<@#Close[bar-1]) and ( (@#Close[bar-1]<@#Close[bar-2])) then buyatmarket(Bar+1,’’);
if (@#Close[bar]>@#Close[bar-1]) and ((@#Close[bar-1]>@#Close[bar-2])) then shortatmarket(Bar+1,’’);
end
else
{ Exit Rules }
begin
if (positionlong(lastposition)) and (@#Close[bar]>positionentryprice(lastposition)) then begin sellatmarket(Bar+1,lastposition,’’);end;
if (positionshort(lastposition)) and (@#Close[bar]<positionentryprice(lastposition)) then begin coveratmarket(Bar+1,lastposition,’’); end;
end;
end;
Results:
Long + Short Long Only Short Only Buy & Hold
Starting Capital $52,000.00 $52,000.00 $52,000.00 $52,000.00
Ending Capital $152,023.12 $441,245.88 $-237,222.75 $48,599.00
Net Profit $100,023.12 $389,245.88 $-289,222.75 $-3,401.00
Net Profit % 192.35% 748.55% -556.20% -6.54%
Annualized Gain % 12.34% 26.11% Error Y=-4.562 Days=3367 -0.73%
Exposure 136.93% 39.86% 305.79% 100.00%
Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission $-1,320.00 $-720.00 $-600.00 $-8.00
DividendsPaid $0.00 $0.00 $0.00 $0.00
Number of Trades 83 45 38 1
Avg Profit/Loss $1,205.10 $8,649.91 $-7,611.13 $-3,401.00
Avg Profit/Loss % 0.97% 1.73% 0.07% -2.56%
Avg Bars Held 25.37 10.78 42.66 2,318.00
Winning Trades 67 36 31 0
Winning % 80.72% 80.00% 81.58% 0.00%
Gross Profit $845,917.06 $484,159.65 $361,757.42 $0.00
Avg Profit $12,625.63 $13,448.88 $11,669.59 $0.00
Avg Profit % 2.24% 2.56% 1.87% 0.00%
Avg Bars Held 16.10 12.86 19.87 0.00
Max Consecutive 18 11 15 0
Losing Trades 16 9 7 1
Losing % 19.28% 20.00% 18.42% 100.00%
Gross Loss $-745,893.94 $-94,913.77 $-650,980.17 $-3,401.00
Avg Loss $-46,618.37 $-10,545.97 $-92,997.17 $-3,401.00
Avg Loss % -4.37% -1.61% -7.93% -2.56%
Avg Bars Held 64.19 2.44 143.57 2,318.00
Max Consecutive 3 3 1 1
Max Drawdown $-812,897.88 $-433,389.75 $-812,897.88 $-254,319.00
Max Drawdown Date 10/31/2007 10/9/2002 10/31/2007 10/9/2002
Max Drawdown % -277.07% That’d be right. You lose everything following this advice when the short goes against you.
Data goes back to 1999.
Wealth-Lab Score -15.9593 -6.7883 0.0000 -1.5553
RAR 9.0130 65.4933 0.0000 -0.7310
Profit Factor 1.1341 5.1010 0.5557 0.0000
Recovery Factor 0.1230 0.8981 0.3558 0.0134
Payoff Ratio 0.5127 1.5931 0.2362 0.0000
Sharpe Ratio -0.4422 0.4866 0.2963 0.0146
Ulcer Index 63.9294 23.9821 96.0521 83.2288
WL Error Term 231.9350 32.3990 512.7880 275.9070
WL Reward Ratio 0.0532 0.8058 0.0000 -0.0026
Luck Coefficient 8.0604 7.0602 3.6000 0.0000
Pessimistic Rate of Return 1.5078 3.9829 0.6229 0.0000
Equity Drop Ratio 0.0000 0.0000 0.0000 0.0000
Keith I’d have to say your post certainly hit a nerve with 'ole boy Beau. He sure likes to dish it out, but doesn’t seem to be able to take it when the table is turned… nope, not one bit. Must surely be the shots of whiskey doing the typing over there if I were to guess.
You a drinking man Beau? Don’t let it get the best of you my friend.
I especially enjoy reading your claim however of how you believe that discretionary trading is prone to failure. I could prove the fallacy with that logic by simply not entering another trade into the TF system for the next 8 months which would give a 100% increase in value over a 12 month period which equals the qid / qld scalper system after a full 12 months. But I only point that out in defense of all of us C2 vendors that wake up each morning and try to do our best - nothing more, nothing less.
This is the good 'ole USA and we are all granted the freedom to express our views, no matter if they are knowingly wrong, or just unsubstantiated by anything more than for our own self righteous justifications.
I just wish I didn’t have to read all of this ranting bull sh*t in the C2 suggestion forum. Where’s a forum moderator when you need one to stick this thread in its rightful place… so that the rest of us hard working souls don’t have to read these worthless rants which accomplish nothing but make the entire C2 community look amateurish at best.
Relax everyone. Let’s all take a deep breathe and calm down. The sun will come out again tomorrow. hopefully.
Peace to all, and to all a good night.
I don’t drink, and you obviously aren’t familiar with percent of equity position sizing.
I’ll say something about TF after 9 months. We’ll see if you don’t completely destroy your system.
You also missed the point that he’s peeking ahead to create a “system.” This is caled curve fitting, and it is quite blatant were you to read the post.
Correct me if I’m wrong, isn’t your SDS system underwater at the moment?
