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Pit Stops:
The Failures of Back-Testing |
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This is a letter sent to Mark Brown. |
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Dear Mark, |
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First let me thank you for all your posts. I'm one who really appreciates all you do and try to do. I'm one of those sad naive cases who fell victim to dishonest system vendors. I bought Wisdom of the Ages for $10,000 last September. My business failed and after day-trading S&P 500 on paper, using the trial version, I made between $3000 and $11,000 per day. Even though the indicators had to be watched manually and required my novice interpretation, I was naively impressed, took the plunge and handed over 10 grand. When I got back from Chicago and started trading real-time with real money, I noticed that the 50-second fill-time getting in and again getting out of a trade, coupled with the bad fills and slippage (I estimate to be 40 cents) was something that was cleverly misrepresented by both the system vendor and the broker he set me up with. I lost $26,000and stopped trading. I've been collecting (free downloads) systems and indicators since then and have them coming out the wazoo. |
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My back-testing has found nothing that works on day-trading. The closest I came was a simple pivot point system I wrote myself. It lost $8000 during December, and made about $20,000 until March 11th, using 1 contract paper trades with $175.00 slippage and commissions. As I said, I have tons of systems and indicators, mostly due to your generosity. Any chance you could make some suggestions of which ones are worthwhile testing? |
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Thanks. |
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