20DMF back-test period

[Pascal]

I received this private message:

Your robots performance is too good to be true for me. Even it works half as good as the past performance, it is already excellent. Did you just back test from 2007-2011? Why don't you test for 10 or more years performance?

The main difficulty is that before July 2007, shorting was only accepted on an up-tick. This added a positive bias to the EV method and hence, the 20DMF was also showing a much more positive MF, simply because short players were refrained from pushing the price down.

Thanks to some friends from this board, I collected the minute data down to the decimamilization period (April 2001 I think). I could develop an "new" 20DMF market timing model (both for the upper and the lower panel), adapted to the market conditions at that time, but would a back-test using this adapted indicator be reliable in today's condition?

Instead of going further into that direction and spend time to produce something whose results would probably be useless, I preferred to start the development of the robots, which at least are practical in today's environment.



Pascal

[adam ali]

Pascal,

I think the more important question is what happens if the up-tick rule is reinstated? Will that affect the performance of the 20DMF / Robots going forward?

I'd guess people are interested in going back further in time in order to determine if the system works well in either environment.

[Pascal]

Pascal,

I think the more important question is what happens if the up-tick rule is reinstated? Will that affect the performance of the 20DMF / Robots going forward?

I'd guess people are interested in going back further in time in order to determine if the system works well in either environment.

If the up-tick rule is reinstated, then i'll also go back in time to check, but I will not do that work beforehand.
We will have time to adjust.


Pascal

[mingpan.lam]

Hi Pascal,

Is it possible to provide the trades of the robots with stop loss level of the testing period that you posted on the Robots page? i.e.
IWM trading with Pivots 1/3RR and GDX Robot Entry Next Day Open

Cheers,

Ellis

[Pascal]

Unfortunately, because of the possibility for reverse engineering, we decided not to give the detail of past trades


Pascal

[mingpan.lam]

Understand and thanks Pascal.