I numeri di un sistema reale computerizzato


  By: zorro188 on Lunedì 25 Febbraio 2002 15:19

Gentile sig. Zibordi, sono un suo abbonato. Esistono dei sistemi di trading INTRADAY automatizzati per Fib30 o Minifib? Se sì, potrebbe indicare qualche sito di riferimento, costi e performance? Grazie.

I numeri di un sistema reale computerizzato - gzibordi  

  By: GZ on Lunedì 25 Febbraio 2002 02:37

ricopio qui un intervento su Omegalist di un gestore americano che tra i diversi trading system che sta usando ha messo anche OddBall (con qualche piccola modifica) da novembre nel suo programma I numeri che indica sono numeri reali di un programma certificato per CTA ottenuti usando il sistema Oddball e con 250 mila dollari nel conto, non con un contratto Questa non è una simulazione, ma una gestione professionale vera. Per raccogliere soldi tra gli allocatori i CTA in america devono mettere ad es 250 mila dollari come ha fatto questo signore con un sistema per un anno o due e mostrare i risultati e se sono future gli allocatori preferiscono che si usino sistemi computerizzati leggere i numeri qui sotto per avere un senso di quella che è la realtà di un sistema professionale computerizzato per i future (non i test sul passato !!!) ********************************************************************************** Dear List: I have been watching this string attacking Mark and his free Oddball system that he provided to all of you. Once again, it's the same old babble back and forth - from people who spend their time typing these emails attacks and don't really trade in the first place, they just play with computers. Being a professional money manager (and not a techno weenie) for over a decade with the major firms - I felt quite ignorant not knowing what "Oddball" was prior to September 2001 having owned TradeStation for years. However - I studied the statistics from Mark's models and created a risk model to fit them into -similar to what I have used before when selling options. It took me about a day to put it together - and about 2 weeks of of putting real money at risk to truly guage where I found it to be the best risk/reward ratio in the eyes of institutional allocators if I decided to add these models to my CTA programs. Here's what I got: 1) Oddball: November 2001: - 4.76% December 2001: did not trade - transferring accounts from 1 FCM to another January 2002: - 2.07% February 2002 *: + 15.76% Since November 1, 2001 - February 19, 2002: + 8.00% Worst peak-to valley drawdown: -11.61%, January 2002 Now these are REAL NET performance - the good with the bad - slippage is present and the commission rate being charged is $25 per contract p. RT! I figured that if your rate is between $10 - $12 p .rt, one could add another +3.5% to those figures. When these CTA programs open up in March - commission rates will probably be at $10 p. RT like the institutional allocators only allow for, so if you follow the same principles - your costs will be very low. I have about $250 k invested in these models as we speak - when real money is at stake - one forces themselves to develop risk management measures and one has to do it themselves. Backtested data should only be used as a guide - the rest is placed on sound cash management. Oddball works great - plain & simple - you just need to know how to use it. I'm no techno weenie but I do see a good raw model when I see one and Oddball is just that - so if you understand programming which I have no clue about - tweak the system until it fits your risk tolerance and realistic performance expectations and end this string! www.Viper.com