What is Pretty Good to You?

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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Algonquin
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What is Pretty Good to You?

Post by Algonquin » Fri Jun 13, 2008 2:31 pm

Ed Seykota recently made an interesting post on his site:

"A [MAR ratio] of 1.0 is pretty good, better by far than the one you get by buy-and-hold on S&P. People who claim much larger ones such as 2.0 and up don't usually make that claim for long."

This comes from a guy who has been trend following, professionally, since the 1970s. His opinion would also seem to be supported by the results reported at the iasg.com site.

Do the real-time results of TB users bear this out? Or is Ed's assessment more accurate? For what it is worth, my personal results are far closer to Ed's, though currently I do not trade a fully diversified portfolio.

sluggo
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Post by sluggo » Fri Jun 13, 2008 3:21 pm

There was a post a few years ago by c.f. where someone asked him "what is an extraordinary trader?" or something like that, and he replied. I searched for the post just now and can't find it, perhaps it was in the section of the Forum devoted to the now-obsolete product Veritrader. The Veritrader areas of the site are gone.

He listed several criteria and what I found extremely interesting was the order of the listing. The first item that he listed was "greater than 70% winning months" which is a criterion that very few gurus talk about. I've forgotten the others, I suppose I found them unremarkable, but this criterion is still surprising and striking, to me. Very few of my mechanical systems are able to sustain 70% winning months for backtests of 20 years or longer. In my experience testing mechanical systems, the ones that do exceed 70% winning months, really are "extraordinary" as he said.

No surprise that he and Seykota focus on different criteria!

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