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Hi Gorilla --

Only mechanical systems can be tested and validated. Discretionary trading is always a possibility, but that is outside my area of expertise.

If the system is a mean-reversion system, it will want to buy weakness. In a serious bear market, there are strong rallys. Your system may identify them and buy them, or may avoid all long positions until the bear market is over -- it is all up to you and your program code. Use anything that you can design, test, and validate. Validation is the key.

Feel free to test over 1987, but testing over data earlier than that used for development has little or no meaning. In developing models for trading systems, the out-of-sample period must be more recent that the in-sample period. Every time any trading system makes a profitable trade, the market it trades becomes more efficient and more difficult to trade profitably. Testing over data that is earlier is misleadingly encouraging.

Thanks for listening,
Howard
www.quantitativetradingsystems.com

<blockquote data-quote="howardbandy" data-source="post: 195835" data-attributes="member: 9179">Hi Gorilla --Only mechanical systems can be tested and validated.&nbsp; Discretionary trading is always a possibility, but that is outside my area of expertise.If the system is a mean-reversion system, it will want to buy weakness.&nbsp; In a serious bear market, there are strong rallys.&nbsp; Your system may identify them and buy them, or may avoid all long positions until the bear market is over -- it is all up to you and your program code.&nbsp; Use anything that you can design, test, and validate.&nbsp; Validation is the key.Feel free to test over 1987, but testing over data earlier than that used for development has little or no meaning.&nbsp; In developing models for trading systems, the out-of-sample period must be more recent that the in-sample period.&nbsp; Every time any trading system makes a profitable trade, the market it trades becomes more efficient and more difficult to trade profitably.&nbsp; Testing over data that is earlier is misleadingly encouraging.&nbsp; Thanks for listening,Howard<a href="http://www.quantitativetradingsystems.com" target="_blank">www.quantitativetradingsystems.com</a></blockquote>

[QUOTE="howardbandy, post: 195835, member: 9179"] Hi Gorilla -- Only mechanical systems can be tested and validated. Discretionary trading is always a possibility, but that is outside my area of expertise. If the system is a mean-reversion system, it will want to buy weakness. In a serious bear market, there are strong rallys. Your system may identify them and buy them, or may avoid all long positions until the bear market is over -- it is all up to you and your program code. Use anything that you can design, test, and validate. Validation is the key. Feel free to test over 1987, but testing over data earlier than that used for development has little or no meaning. In developing models for trading systems, the out-of-sample period must be more recent that the in-sample period. Every time any trading system makes a profitable trade, the market it trades becomes more efficient and more difficult to trade profitably. Testing over data that is earlier is misleadingly encouraging. Thanks for listening, Howard [url]www.quantitativetradingsystems.com[/url] [/QUOTE]

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