The most robust system
Posted: 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:
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
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