October 31, 2011
What do you do for an encore? You have shown that using random entries can be profitable. You have shown that using random entries can be highly profitable. You have shown that using random entries can be extremely profitable and scalable to your available capital. What do you do for an encore?
Well, you show that it was not an aberration of nature, a fluke, a well chosen data set to make your point. So you select a totally different data set, run your script over it and show what ever the results may be. Therefore, I ran the same version of the RS script on my data set 2.
Now, doing this should be considered as shooting oneself in the foot. There is no way using modern portfolio theory, the efficient market frontier, the efficient market hypothesis or the capital market line that you should exceed by far the most expected outcome of such an endeavor. Your system, what ever it was, should crumble. It is almost an impossibility that a trading strategy, what ever it is, could survive using a totally different and unseen data set.
If you did not implode, then this would imply that your methodology had some value, somehow, somewhere. It might not be easily expressed but one thing is for sure, there is one or more trading procedures making the whole strategy profitable.
But what can I say, you be the judge, here are the results with no modifications brought to my last script:
|RS Data Set 2|
And here are all the charts generated by the Wealth-Lab 4 site:
Well, as a first conclusion, the procedures did not implode.
Created on ... October 31, 2011 © Guy R. Fleury. All rights reserved.