New posts

Reply to thread

Message

MichaelD, with all due respect, it's your study. If you didn't want it to be critiqued, why post it?

In addition to my previous comments, using today's ASX200 as your universe, with 10 years of past data is NOT a way to compare a breakout system to a random entry system that has "entry=1" as the trigger.

The latter system will always be in the market...and when those markets are today's ASX200 constituents and we know where they're going to end up, you wouldn't do yourself any favours waiting for a breakout would you?

Anyway, this isn't my point.

Entries become important when you have initial stoplosses. Your study did not have any initial stoplosses. My own research into random entry/exit testing has suggested that adding a stop to such a system reduces CAGR, but vastly improves Max DD.

Working on entries can help keep the system up off it's initial stops, if that makes sense.

My study:

http://theasxgorilla.blogspot.com/2007/08/2500.html

<blockquote data-quote="theasxgorilla" data-source="post: 288189" data-attributes="member: 6099">MichaelD, with all due respect, it&#039;s your study.&nbsp; If you didn&#039;t want it to be critiqued, why post it?In addition to my previous comments, using today&#039;s ASX200 as your universe, with 10 years of past data is NOT a way to compare a breakout system to a random entry system that has &quot;entry=1&quot; as the trigger.The latter system will always be in the market...and when those markets are today&#039;s ASX200 constituents and we know where they&#039;re going to end up, you wouldn&#039;t do yourself any favours waiting for a breakout would you?Anyway, this isn&#039;t my point.Entries become important when you have initial stoplosses.&nbsp; Your study did not have any initial stoplosses.&nbsp; My own research into random entry/exit testing has suggested that adding a stop to such a system reduces CAGR, but vastly improves Max DD.Working on entries can help keep the system up off it&#039;s initial stops, if that makes sense.My study:<a href="http://theasxgorilla.blogspot.com/2007/08/2500.html" target="_blank">http://theasxgorilla.blogspot.com/2007/08/2500.html</a></blockquote>

[QUOTE="theasxgorilla, post: 288189, member: 6099"] MichaelD, with all due respect, it's your study. If you didn't want it to be critiqued, why post it? In addition to my previous comments, using today's ASX200 as your universe, with 10 years of past data is NOT a way to compare a breakout system to a random entry system that has "entry=1" as the trigger. The latter system will always be in the market...and when those markets are today's ASX200 constituents and we know where they're going to end up, you wouldn't do yourself any favours waiting for a breakout would you? Anyway, this isn't my point. Entries become important when you have initial stoplosses. Your study did not have any initial stoplosses. My own research into random entry/exit testing has suggested that adding a stop to such a system reduces CAGR, but vastly improves Max DD. Working on entries can help keep the system up off it's initial stops, if that makes sense. My study: [URL="http://theasxgorilla.blogspot.com/2007/08/2500.html"]http://theasxgorilla.blogspot.com/2007/08/2500.html[/URL] [/QUOTE]

Verification