Hi gang,
I had some free time, and thought it would be fun to pull up an ES chart and apply some of the mechanical systems I've built over the years. I never expect systems to last forever, and there's even a whole discussion about this in the Mechanical Trading book, but even though I know that intellectually, I still harbor a secret desire that one of them would stay robust a really long time.
Anyway, I'm not going to do a blow-by-blow, because I'm not sure what would be accomplished by that. But I was pleasantly surprised by the "winner". Turns out is was the Lunar System. This is the one I went through and built for the old PowerUser Conference in Vegas years ago. I think this was like 2006? It had been live maybe 6 months before that time, and once we talked about it, it was never changed. Just the Sun, the Moon, the ES, and a handful of filters. And Spherical Astrology - wouldn't work without that!
Check it out:
This is trading 1 contract. 2019 was pretty crappy (it was a bad year for pretty much everything), but aside from that, this is pretty great. Here's the system report:
71% accuracy, and a worst ever 4-in-a-row losing streak. Not bad for a 17-year old out-of-sample run.
Anyway, I thought some of you would get a kick out of this. (There are still a few people hanging around who attended that conference!) The really cool thing is that the system that stayed relevant for this long a period wasn't based on technical analysis, or artificial intelligence, or anything chart-based. The one that proved to be the most robust was based on natural law. And planets. I know I'm preaching to the choir on this one, since we all sort of knew that's what mattered, but it's still nice to see that belief borne out in actual data.
Earik
The most robust system
Re: The most robust system
Earik,
The Genetic USM variants are working well on Gold. (Here are the two USM ones from the Mechanical Trading book, plus a third genetic algo I created. The three signals are all just ANDed together. This also includes $30 commission and slippage per side.)
Not bad as well for when you first released your book.![Smile :)](./images/smilies/icon_e_smile.gif)
The Genetic USM variants are working well on Gold. (Here are the two USM ones from the Mechanical Trading book, plus a third genetic algo I created. The three signals are all just ANDed together. This also includes $30 commission and slippage per side.)
Not bad as well for when you first released your book.
![Smile :)](./images/smilies/icon_e_smile.gif)
Re: The most robust system
Both systems look good....thanks guys.
Simon
Simon
Re: The most robust system
Hi Earik,
I would have guessed that it would be one of your hives system that would come out on top. Here is a hive i built in 2011 and still doing ok.
I would have guessed that it would be one of your hives system that would come out on top. Here is a hive i built in 2011 and still doing ok.
- Attachments
-
- Hive.jpg (491.23 KiB) Viewed 21618 times
Re: The most robust system
Nice systems, gang!
I do have a few hives that are still chugging along. Those sort of rebuild themselves as they go, which definitely makes them more robust. I hadn't checked the genetic USM systems on Gold though - that's very cool.
Earik
I do have a few hives that are still chugging along. Those sort of rebuild themselves as they go, which definitely makes them more robust. I hadn't checked the genetic USM systems on Gold though - that's very cool.
![Very Happy :D](./images/smilies/icon_e_biggrin.gif)
Earik
Who is online
Users browsing this forum: No registered users and 4 guests