The most robust system

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earik
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The most robust system

Post by earik » Fri Nov 03, 2023 7:45 pm

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:
lunar1.png
Equity
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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:
lunar2.png
System Report (1 contract)
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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

sbank
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Re: The most robust system

Post by sbank » Mon Nov 06, 2023 5:31 pm

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. :)
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Simon.B
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Re: The most robust system

Post by Simon.B » Tue Nov 07, 2023 3:43 am

Both systems look good....thanks guys.

Simon

lexa007
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Re: The most robust system

Post by lexa007 » Fri Nov 10, 2023 7:24 am

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.
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earik
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Re: The most robust system

Post by earik » Fri Nov 10, 2023 8:23 pm

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. :D

Earik

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