This is good

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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marriot
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This is good

Post by marriot » Wed Jan 11, 2012 1:18 am

Or it is too good ...?
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Chris67
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Post by Chris67 » Wed Jan 11, 2012 1:53 am

too good

rajivm
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Post by rajivm » Wed Jan 11, 2012 1:55 am

No...quite achieveable.At least I am certain for systems that keep positions for max 4-5 days it is quite possible.

MarkS
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Post by MarkS » Wed Jan 11, 2012 10:01 am

Marriot, a few passing thoughts:

--If this is a short-term system, the slippage being used by the model becomes extremely important.

--How does the system test over other timeframes? Might it be overfit to the current environment?

--If you would achieve that kind of compounding, you will find the account grows so quickly that your system most likely will change as your order size increases. Whether increased slippage, having to not trade certain illiquid markets, etc. Obviously not as big an issue if this is a system that trades deep, liquid markets.

Honestly, I'm with Chris on this one, but I do hope you have found something exceptional.

marriot
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Post by marriot » Wed Jan 11, 2012 10:20 am

Ups, i am sorry for misunderstanding.
My fault.
I have find this report on one of the ranking Cta, Hedge funds sites and with this performances it will be not difficult to find it.
I tougth it was suspicius have those returns after fees but maybe Rajvim is rigth.
They trade very short term patterns.

trackstar
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Post by trackstar » Wed Jan 11, 2012 10:54 am

There is no way anyone can make a meaningful assessment without more data than is provided. "How many trades over this timeframe?" would be a starting point question I would have. "How much is being bet per trade?" would be the next.

trending3029
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Post by trending3029 » Wed Jan 11, 2012 9:50 pm

Those returns look very good in my perspective.

MarkS
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Post by MarkS » Wed Jan 11, 2012 10:39 pm

Thanks for the PM and link, Marriot. I believe it says their annualized return is roughly 7% -- am I reading that correctly? Is your 56% an annual figure or a total return over a 5-year period?

If annual, I've raised money on the venture capital side, and at least in that world an IRR of 25% would make you elite. The only place I've ever even seen annual returns that were off the charts, outside of a one-off event like Paulson's gain in 2010, is with market makers. But from my experience that was not truly scalable, and much of the gains were always plowed back into the business for data feeds, software, clerks, and anything else that you needed to stay ahead in the arms race; in the end the net gains were back down to "normal" range...

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