I've been reading your blog, must say I'm most impressed with your testing and your honesty about your results. Continued focus on this I'm sure will lead to success.
I do have to ask a couple of things though. Have you not considered selling short at all during this time, forgetting the curfew of course? Do you have any mechanical systems set up with this sort of bias? You say you're a trend follower but you are in effect trading against the overall bearish trend, is this to show the robustness of your system? Hindsight is fine understood, we've all had our experiences just was curious to hear your comments.
While I did initially look at designing short systems, I haven't tested any due to the following reasons:
1. Equities have always had a historical bullish bias and I have no reason to believe that will change. Therefore, to trade short would be to trade against the underlying longterm trend. (I had data only since 1992. The longest bear market during this time lasted 21 months.)
2. In terms of testing, it seems that brokers seem to differ in terms of which stocks were shortable. This makes realistic backtesting difficult.
3. During mid-2007 when i was designing systems, only one provider would allow unleveraged shorting, and this broker charged $50/trade.
I have used shorting for a forex system which I have designed but that has been put on hold for the time being.
I started out in trading early 2005 through managed funds.
November 2005 started in stocks through fundamental analysis.
After the 2006 May correction I learnt to use stops!
A few months afterwards I read Michael Covel's book and it was a real eye opener for me into what can be achieved through mechanical systems trading.
In 2009 I started looking seriously at short term automated trading through AmiBroker/IB as this would allow for all the benefits of short term trading (smoother equity curve, faster recovery from drawdowns, etc) without the associated screen time.
4 comments:
Hi Nizar,
I've been reading your blog, must say I'm most impressed with your testing and your honesty about your results. Continued focus on this I'm sure will lead to success.
I do have to ask a couple of things though. Have you not considered selling short at all during this time, forgetting the curfew of course? Do you have any mechanical systems set up with this sort of bias? You say you're a trend follower but you are in effect trading against the overall bearish trend, is this to show the robustness of your system? Hindsight is fine understood, we've all had our experiences just was curious to hear your comments.
Have a good christmas.
Hi,
Thanks for your kind words.
While I did initially look at designing short systems, I haven't tested any due to the following reasons:
1. Equities have always had a historical bullish bias and I have no reason to believe that will change. Therefore, to trade short would be to trade against the underlying longterm trend. (I had data only since 1992. The longest bear market during this time lasted 21 months.)
2. In terms of testing, it seems that brokers seem to differ in terms of which stocks were shortable. This makes realistic backtesting difficult.
3. During mid-2007 when i was designing systems, only one provider would allow unleveraged shorting, and this broker charged $50/trade.
I have used shorting for a forex system which I have designed but that has been put on hold for the time being.
Thanks for dropping.
All the best for 2009.
Hi Nizar,
As a beginner I have found your blog very enlightening. Thanks for making it available
Regards
John
Nizar
As a beginer I have found your blog very enlightening. Thanks for making it available.
Regards
JOhn
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