Novermber 10, 2011
Over the last few days, at my preferred forum, there has been much debate on the value of old and proven trading strategies. After having presenting my own version of what a random entry system could look like, it almost appeared as if it was not enough.
So, for comparison purposes, using the same simulator and the same data set over the same trading period, I opted to test a published random entry system. The one chosen can be found in Dr. Van K. Tharp's book "Trade your Way to Financial Freedom" p. 200-201. This might be considered unfair by some since the whole testing period would be the future for this script. A totally out of sample, out of optimizing period. And yet for others maybe the perfect testing ground.
I took the first script that sounded reasonable for a test. I intended to run only one and only once; I did not have that much time to waste. What ever the results, that is what would be presented.
The original script is available here for free:
And the summary results are:
|Random Entries. Script from Van Tharp's book|
This should please the statistically minded. The sampling size is sufficient to show significance. The same goes for the trading interval as it is sufficiently long to experience all sorts of market perturbations. And since you are playing on the outcome of a coin, the expected value should be zero added to the drift.
This corroborates Andrei's paper, as it should. There is no gain at flipping a coin; all you can catch is the drift.
Modified ... November 10, 2011 © Guy R. Fleury. All rights reserved.