Archive for October, 2007
I hate Fed Day
What happened to the Quants in Aug. of 2007
Found the link to this paper in this weeks issue of The Economist. Fascinating paper describing the unusual returns experienced by long/short equity hedge funds. A must read.
- John
Subprime and Financial Crisis Explanations
My Current Portfolio
In the spirit of my post last week, here’s my updated portfolio:
Symbol       % Gain Loss          System
AMZNÂ Â Â Â Â Â Â Â Â Â Â Â +0.37Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
EWAÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +10.91Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
EWHÂ Â Â Â Â Â Â Â Â Â Â Â Â Â +14.51Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
EWZÂ Â Â Â Â Â Â Â Â Â Â Â Â +12.96Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
FXIÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â +36.09Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
GLDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â +12.36Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
GNTXÂ Â Â Â Â Â Â Â Â Â Â Â -5.79Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
SCHWÂ Â Â Â Â Â Â Â Â Â Â Â Â -4.87Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
SRCLÂ Â Â Â Â Â Â Â Â Â Â Â Â -4.42Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
WFMIÂ Â Â Â Â Â Â Â Â Â Â -7.51Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
Only at about 60% invested now, but that will change tomorrow morning with the new buys from the swing system. As you’ll notice, the longer swing positions hang around, the worse they’re usually doing since winners are quickly sold. ADCT and FSLR from last week were sold for nice gains. VRTX is a different story :).
- John
I recently signed up for a StockTickr account. For those of you not familiar with it, it’s a very robust tool where you can import all your trades directly from your brokerage statement (assuming you use one of the brokers they support) and then view statistics on your trades. Furthermore, you can “tag” trades for different systems. I wanted to use it so I can see the performance I’m getting from my swing stuff versus my trend following versus my intraday trades.
After I loaded up all my trades (took about 15 minutes for YTD from IB), I started playing with the commission calculator which is designed to let you plug in different commission structures and see if you would have saved money versus what you current pay.
For stock trades only (no futures or options), I have incurred $972.86 in commissions at IB year to date. If I was paying $6.95-$9.95 per trade (current going rates at the aforementioned brokers) I would have paid between $5,831.05 and $8,348.05 in commissions. This means I have saved between $5,000 and $7,000 by using IB.
If any of you reading this are still using Fidelity, Ameritrade, Schwab, Etrade or anyone else charging $6.95+, please do not make another trade until you’ve moved your account to a more reasonably priced broker. This is especially true if you’re a subscriber to our collective2.com system as the amount you’ll save over the course of a few months will more than pay for the entire years subscription fees.
- John
Link-O-Rama part Duex
Second installment of the things I found on the web this week….
What sort of service would you like?
10 Tips to improve your Wireless Network
Battle of Airline Advertisements
UK Nightclubs vs. Swedish Nightclubs
That’s all folks,
Dave Johnson
First Boomer Applies for Benefits
http://www.bloomberg.com/apps/news?pid=20601087&sid=aAAJdNHgnKUw&refer=home
Ultimately this will be the greatest drag on the US economy. Not in the way that most might see it though. Certainly the Government will face its own fiscal challenges. But the economy which is driven by consumer spending will be hurt by boomer spenders spending just a touch less than they used to. The ramifications of that reality will have reverberations throughout the economy unlike boomers have ever seen in their lifetimes. Less goods produced and consumed means less jobs which means…….Not good. But that is a little ways off for now.
Enjoy the ride while you can.
My wife said I have to work this video into a post for her……..Ummmm…… Boomer Money…..Lick it Up (while you can)
I should note this is my own opinion and is not necessarily that of John’s (we don’t do macro stuff anyway).
Have a Great Night!
Dave Johnson
Trading Intraday
Ever since I recorded my intraday trades I have received an endless stream of readers looking for further tips. The videos themselves are an excellent resource to see some of the types of entries I might take during the day. But the basis for framing biases are really based upon very very simple ideas of identifying trends.
An up trend is a series of higher highs and lows. While a downtrend is a series of lower highs and lows. I have mentioned before that I found Stan Weinstein’s work in this area a great way to frame the “where are we now?” Trendlines can play an important role as well to see logical resistance and exhaustion points on a chart.
Todays mid morning action was a trend down type scenario in the Nasdaq futures that for me exemplified some logical entry points as well as clear swing high points that would have changed the picture enough that I would have been able to see I was wrong.
Those turn point areas on the indicator make nice entry points with definable risk as marked by the red line at swing highs. Remember waves. If it does not look like a wave - it’s not. Today had some clear wave patterns I liked. Keep an eye out for those.
In my videos I was trying to show you how to play band to band mostly, where fading moves into logical resistance were the plays. With this other type of trading we are recognizing a trend or bias is in place and we want to trade with that. Those are clearly 2 diametrically opposed type of systems but sometimes the fading of extremes type entries can lead to being able to add to a position once the trend entry kicks in. Big waves and wavelets each with their own risk and position size is how I try to trade and analyze the market as it unfolds each day.
Have a Great Night!
Dave Johnson
Crash of 1987
My Current Portfolio and Previous Post
I’m afraid my previous post was not as clear as it could have been. The results of my scan found a long only system that was a consistent loser over a 20 day time period. A system like that is very rare because almost any long only scan you run on the QQQQs is a winner due to the extreme upward bias since the QQQQ’s inception.
Also, when I mentioned establishing positions this morning, what I meant was that even though this scan showed potential trouble ahead for the overall market, no scan would keep me from taking every signal of our swing trading system. The key to system success is taking EVERY signal, whether you like it or not. The 3 positions we established this morning were FSLR, AMZN and GNTX.  Both AMZN and FSLR were up over 3% while GNTX was down 1.5% for a nice gain on today’s new positions.
Here is what my current portfolio looks like
Symbol       % Gain Loss          System
ADCT Â Â Â Â Â Â Â Â Â + 0.55 Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
AMZNÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +3.81Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
EWAÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +16.87Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
EWHÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +19.47Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
EWZÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +17.93Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
FSLRÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +3.37Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
FXIÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +38.62Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
GLDÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â +10.27Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Trend Following
GNTXÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â -1.53Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
SCHW Â Â Â Â Â Â Â Â Â +0.20Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
VRTXÂ Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â -6.83Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
WFMI Â Â Â Â Â Â Â Â Â Â +1.50Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Swing
All these positions are long and overall I’m 85% invested with 15% in cash.
- John
Stormy Seas?
The QQQQ had a high volume reversal today. After gapping up, it climbed to a > 0.5% gain from yesterday before sharply reversing and closing down over 1% on high volume. I was curious how often a pattern like this had occurred before and what usually happened next.
I scanned the QQQQ’s for all cases where they opened higher, had a high greater than 0.5% above the previous day’s close and then closed down over 0.5% on volume at least 50% greater than the day before. The system would buy on the next open after this occurred and exit after 20 days (approximately one month).
Going back to 1990 this has occurred only 23 times and has an average 20 day loss of 0.77%. What’s most amazing about this pattern is that it is almost impossible to find any entry that will generate a loss on the QQQQ’s on a time based exit over this time period as the QQQQ’s have increased over 10x since 1990.
Now why this means that there may be trouble ahead for the market, that does not mean that our long only swing system on collective won’t be buying tomorrow. Remember, each system has it’s own time frame and money management strategy so it is very possible to have long systems being profitable at the same time a short system is also active.
- John
This morning I came across an article by Alligator Investor on the Seeking Alpha website noting a trading system in the Dow Jones Industrials over the past 50 year. In the article he mentions a commonly mentioned system of using a moving average crossover system that uses the 50 and 200 day moving average. When the 50 day crosses above the 200 day moving average we buy and when it moves below we exit. Although I think there is some merit to the basic premise of the article I think it leaves the reader with the impression that the system did pretty well overall.
The problem is that over time it leaves you way way behind. The data and charts I am about to show you do not even include dividends or the effect of short term tax consequences. Looking at the last 50 years as he did in the article let us compare buy and hold versus usage of that system.
And here is a visual of what that looks like in your portfolio.
That is not good.
Hey why stop at 50 years? Lets go back to 1919 !
Number wise this is bad enough. But this next visual is very enlightening.
Ok your so far behind - your not even in the race.
Here is a PDF with all the trades listed
Surprising? I think it is when you see it in such stark contrast of data and pictures. Backtesting allows that. It allows you to challenge the conventional wisdom that permeates the trading environment. When people ask me “Dave what does work?” I tend to say things like “it’s the opposite” or “not what you may think”. I say these things because so much of what I have tested through the years has been so counter-intuitive to what I had been taught up until that time. It cuts to the core of your belief systems. It’s that knowledge that now allows me to feel comfortable stepping away from the crowd.
As an example of being totally crazy lets change the test a bit. We will not buy on a cross up - but a crossunder of the 50 day moving average and we will use the same exit as the first test- a cross under of the 50 below the 200 day moving average. So our system will buy the so called “Death Cross“. Yes the dreaded Death Cross. Those are considered very very bearish. So we buy that and wait for a cross up and use the crossunder as an exit. That has to have much worse performance right?
That is the past 50 years. So let me get this straight. Drawdown the same. Return of 5.15% in Death Cross system and 4.42% in the “good/safe” system I showed you above.
The purpose of this post is to make you look at the markets differently. Remember what Dr. Koch mentioned in his interview with me?
The Trading Digest - Can you tell me any consistent themes you find are more successful in trading systems? In what timeframes?
Dr. Koch - To tell you the truth: after years of research in the stock market I
know one single principle which works consistently: The effects of fear
in the markets. In terms of trading systems this is the pullback, bottom
fisher or mean reversal which in effect talk about the same statistical
effect. You can find this effect in hours, days, weeks, months and even
years. I found the most interesting time frame in the range of 2 to 5
days. Let me emphasize that this statement means at the same time: None
of the so called classical technical indicators works. No RSI, no MACD.
none of them.
Did you catch that? He said “The effects of fear in the markets. In terms of trading systems this is the pullback, bottom fisher or mean reversal which in effect talk about the same statistical effect. You can find this effect in hours, days, weeks, months and even years.”
Do you think something we call the “Death Cross” might be fear creeping into the market at that time? Sure is. And as I have shown you here today thats an edge over conventional wisdom.
Have a Great Day!
Dave Johnson
Wednesday Link-O-Rama
I am a web nut. I come across lot’s of useless and …….yes mostly useless stuff on my web journeys each day. Mostly while waiting for setups and alarms on my trading screen each day I kill time reading web stuff. So as a weekly (or close as possible) installment I am going to post links I found interesting in the past week.
The only rub is that most of these will be entirely un-market related. Amen. As anyone who studies the markets knows, the news that emanates from it is mostly boring and generally worthless when system trading.
So I present thee MY FIRST SET OF LINKS!
Oh Lordy Lordy a Stupid Filter!
I feel like this before my morning coffee
I would do poorly in this class as well. Just silly.
How would you like to work inside of a press? Really Inside
Test your Norwegian Party Preference
Ok that is the first set. Do what you wish with them. Let’s see….market news…market news…were overbought and would not commit mega new dollars in the swing timeframe period (1-10 days) does that mean we might drop? Yup
Have a Great Day!
Dave Johnson
An Interesting Backtest I Ran
The massive runup from the extreme oversold lows of Mid-August gave me an idea to test. Let’s test a rate of change that just occurred from the lows on the Nasdaq 100 37 days ago. As of Fridays close we were greater than 12% higher than price 37 days ago. A big big move.
So if we screen for that condition and enter the next day at the open. (noted in blue dot)
And code an exit logic that looks like this:
We exit no matter what after 22 days (about 1 month) at the following open
or
We do this on the Nasdaq 100 Index going back to Feb 1988 (beginning of data)
This condition triggered on 62 occasions - 69.35% were profitable - with an average profit of 2.65% - the dollar profits and drawdown are based on $15,000
Thats massive. As a matter of fact the average return over any 22 day period would be +1.22% yet we are seeing +2.65% average return.
The 10% profit target probably was only hit once or twice right? Wrong. Out of the 62 trades 16 hit the 10% target before the 22 day timeout exit. That is about 25% of the time. I put a link below where you can download a PDF showing all the trades.
Here is a PDF with all those trades listed
I am not here to expouse a particular bullish or bearish view. I can only show you what I am seeing in this test. I have no bias and I will not make any particular trade based upon this test. This data is very similar to a test I ran on the old blog that everyone dismissed at the time (here and here). Also some of the newer readers may benefit from a post on the old blog that talked about my portfiolio construction. That has changed only slightly from when I wrote that and has done very well for me. But that is another post for another day.
Have a Great Day!
Dave Johnson
Dr Koch Interview Followup
If any of you out there have questions or would like to add to the discussion please feel free to leave a comment or email me directly. I know I may have some follow-up questions.
Have a Great Night!
Dave Johnson
Dr. Rene Koch has written articles for Technical Analysis of Stocks and Commodities, created software interfaces for the popular Wealth-Lab software, and has publicly tracked systems on the Collective2.com that are consistently top performers.
Dr. Koch lives in Germany and his native language is German so for our interview we decided to do an e-mail exchange with some questions that system traders or aspiring system traders might find useful.
The Trading Digest - Could you tell me a little about yourself and your background?
Dr. Koch - I am in my forties. 15 Years ago I received a PhD in physics and
computer science from a German Universities. I worked in the field of
acoustics and digital signal processing. After a few years in the
measurement technology business I turned to finance and trading system
development. Surprisingly a financial time series is not much different
from acoustical noise and the math used in both cases is astonishingly
similar.
The Trading Digest - How do you define system trading?
Dr. Koch - Taking advantage of statistical anomalies in financial time series. These
anomalies make future price changes a bit different form a 50% chance.
The Trading Digest - How long have you been designing systems?
Dr. Koch - I started in 2000. My first usable system was ready in autumn 2001 and
showed very good stats at that time. I started trading right before 9/11
and lost quite some money, because system behaved quite different in
these weeks than the years before - an interesting lesson to learn.
The Trading Digest - What software do you use for your analysis and system design?
Dr. Koch - I started with Wealth-Lab and wrote quite a few utilities for it to give
me answers to my (statistical) questions. These days I use RightEdge
(www.rightedgesystems.com) and a bunch of additional software (Excel,
SQL Server, things I develop myself in C#)
The Trading Digest - How do you evaluate the quality or validity of a system?
Dr. Koch - The most important question to ask:
Is any result from a backtest (like overall profit, maximum drawdown,
sharpe ratio) just a statistical fluctuation or does this result hold
for future trades?
It is astonishingly hard to answer this question and most backtesting
software does not assist you but helps to produce false expectations.
I recently developed a new methodology which avoids over-optimization,
data-mining bias, etc. in short: fooling yourself. It is based on
proprietary statistical methods and gives excellent results.
The Trading Digest - Can you tell me any consistent themes you find are more successful in trading systems? In what timeframes?
Dr. Koch - To tell you the truth: after years of research in the stock market I
know one single principle which works consistently: The effects of fear
in the markets. In terms of trading systems this is the pullback, bottom
fisher or mean reversal which in effect talk about the same statistical
effect. You can find this effect in hours, days, weeks, months and even
years. I found the most interesting time frame in the range of 2 to 5
days. Let me emphasize that this statement means at the same time: None
of the so called classical technical indicators works. No RSI, no MACD.
none of them.
The Trading Digest - What advice would you give to beginning trader/investor?
Dr. Koch - First of all: Don’t believe a single word form the books of all these
well known trading gurus. I tested many of the systems/indicators/ideas
they published. None of them worked as advertised.
My advice: Get a sound understanding of “the scientific method”,
statistics, data mining, math.
One of the best books for this is: “Evidence Based Technical Analysis”
by David Aronson and the references herein.
The Trading Digest - Tell me about the systems you track on the Collective2.com site
Dr. Koch - One of my students is a typical “small investor”. He has not much
capital, not much free time during the day and didn’t want to do all the
development of a trading system for himself. After months of discussions
and refinements of published WealthLab systems, we arrived at some
systems which were tradeable for him. They work with small amounts of
invested money and are tradeable with a one-time effort during the day.
Because the systems performed quite well we decided to give them a try
on Collective2. Meanwhile all these systems are among the Top-10 stock
systems there.
The Trading Digest - How many systems do you trade for your personal account?
Dr. Koch - These days I am busy at the development side of the game. There is a
hedge-fund which trades the systems I developed with much more money
than I could afford.
The Trading Digest - What is the minimum account size you recommend for a subscriber to your system?
Dr. Koch - I recommend $15k as the minimum amount. While it is possible to use more
leverage with CFDs or similar products I do not recommend to do so,
because a future drawdown (which is always larger than expected) becomes
simply too dangerous if your leverage is higher than 1:2 or 1:3.
The Trading Digest - What enhancements would you like to see to the collective site?
Dr. Koch - I had some request from European customers to trade European stocks.
Unfortunately C2 is limited to US securities currently.
The Trading Digest - Any books or websites you could recommend?
Dr. Koch - Besides the one mentioned above just - one hot tip:
“Fooled by Randomness” by N.N. Taleb.
I stay away form most websites about trading and try to avoid discussion
forums as much as possible. The only exceptions being the Wealth-Lab and
Right-Edge Forums.Â
The Trading Digest - Thanks you so much for your valuable time Dr. Koch and best of luck in all you future endeavors.
Any interested readers can learn more about his stock trading systems (Ruby and Topaz) on Collective2.com
A Professor’s Life Lessons
Over at the Wall St. Warrior blog I happened to catch the chart he posted this morning on the Nasdaq Composite. He always has lots of graphs and data that can be helpful knowing where the market is. Thanks Jaime for a great blog.
I repost that chart here with his notes. I want to run a simple backtest based on something I am seeing.
Look at the RSI indicator in the upper pane. It appears to have just crossed under the value of 68 yesterday. I wanted to test what that may portend for the market going forward.
We will buy the open the day after the cross under of 68 on the 14 period RSI and test exits at 5,10,and 20 days later. I tested on the Nasdaq Composite going back 20 years. Here are the results of that scan.
Not what you may expect but the level of out performance in the 5 and 10 day holding periods is over 2 times the average 5 and 10 day hold. Even 20 days later were still almost 1.5 times an average 20 day hold. Does this mean we definitely go up these amounts. Not at all. There were many losing trades as well. But were looking at all of the trades in aggregate.
Typically these high readings happen in bullish environments and those tend to be supportive in the short term at least. As to what will happen - who knows?
As I was playing around with the parameters of the test I inputed the MACD level as well. notice in the chart it is above the 40 level. If I add this parameter to the backtest what do you think this does? Lessens the number of trades but average winners increase dramatically in the shorter timeframes.
5 days - 0.94%
10 days - 1.58%
20 days - 1.79%
Pretty Dramatic - I love this stuff…..
Have a Great Night!
Dave Johnson
What are the parameters and qualifications that I look for when evaluating a system? Having been a serious system tester and designer for some time I thought I might pass along some of the things I am looking for. Just some very basic concepts for now. The Collective2.com site is a great place to see real trading in action. Contrary to all the BS system sellers out there touting 150% returns with no risk the markets are quite efficient. Efficient in that any one set of rules applied consistently will have periods of out performance and periods of under performance. Holy Grails do not exist in trading nor on the Collective2 site.
No system is infallible in all market conditions. Having tested virtual every sort of entry and exit imaginable I believe I can say that fairly certainly. Can anyone point to a trading system with verifiable results that was perfect? That called every top and bottom perfectly? Of course not. So when evaluating a system having unrealistic expectations is going to leave you disappointed. Realism and reality are going to have to be hallmarks in your journey. I am going to try and give you some basics to use when evaluating trading results and systems.
In order to group systems in a way that makes comparision easier I always want to compare systems that have similiar holding periods. I dont want to see a trend system based on daily bars that holds an average of 100 days compared to a swing trade system that holds 5 days on average. These holding periods also tend to have some general characteristics that are similiar throught that group like drawdowns from tops and volatility.
Let us go over to the Collective site and do some system sorting on their grid. It’s this grid which helps that sorting process. One drawback with this tool is its inabilty to sort amoung multiple columns but we will have to make due for now. I am only going to look at stock systems so I only check that off. In the filter area I only want profitable systems. If I check off ’smooth equity curves” I am esentially only focusing on Sharpe Ratios above 1. Sharpe ratio is a critical component to understanding and evaluating systems. It tells us essentially the reward to variabilty ratio. How big are the wiggles compared to the returns. Two systems may have doubled your money over the course of the past year but if the variabilty/volatility is higher in one compared to the other the less volatile system will have a higher Sharpe ratio. A ratio above 1.5 in systems is rare and impressive over the long haul and above 2.0 rarer still. Anyway lets sort some systems.
I have sorted some stock systems by the average trade length - you can see they range from 4 weeks to 6.8 weeks. Now lets look at systems that have a reasonable time traded and a Sharpe ratio over 1.3. This leaves me with 3 systems that I might look a bit further into. One of the things I do not like right off is that the realism factor in each of these systems is relatively low. I like these above 75 generally. The lower rated systems tend to trade in less liquid and wider bid/ask environments. Meaning the ability to match system results could be impacted.
Of these 3 systems lets look at annualized return (underlined in red). How do I quantify these returns? I have 68.7%, 132.6% and 42.4%. Is the one thats highest best? Actually we don’t know because that system could be trading a 2 times leverage and the 42.4% on at 1 times. It would require further investigation. Also the highest in terms of Sharpe and Annual returns is a somewhat newer system that only has 22 trades so far. But one to keep an eye on.
When designing systems I look for these same sorts of parameters. Ultimately I want high returns, smooth equity curve, realism, and one that does not require a case of antacid to trade through. On my old blog I gave out picks to a swing system for one year before the market opened and did 40%, but tracking the trades was a pain so now John and I use C2 to prove ourselves over time. John, who also writes for this blog, being a former Microsoft programmer and system designer and myself being a trader and system designer made a good team for not only this blog but for our endevours in system design. We wanted to create systems the average working guy could use to enhance his portfolio performance or highlight interesting setups here on the blog.
Ok, so you now have some basic tools to sort and scan. Some of these systems are run by some very very good system designers and traders. Not all of them, but there are some really good ones I can attest to. In the coming weeks I am going to do some interviews with traders I think are very knowledgable from this site. Many of these traders I have interacted with at some level over at the Wealth-Lab site. This is the desktop software I use to do portfolio level testing of my systems.I am of the opinion that unless you have some sort of verifiable track record it is difficult for me to assign any value to your opinion. This is why I always encourage other bloggers to start a C2 system. Let us see what you can do. Or how about the systems on TV where they tell us how good they are, or the typical pitches you hear from the unscrupulous. Prove it in real time. Real position sizing. Real Emotions. That is what Collective 2 does. It allows us to sort through the BS and find quality systems. You job is to determine which won’t blow up in the end.
Have a Great Night!
Dave Johnson