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Strategies & Market Trends : John Pitera's Market Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: Yorikke who wrote (14013)

4/15/2013 3:15:08 AM

From: John Pitera

1 Recommendation Respond to of 33421

these are responses from Jorjs take the Money and Run Thread.

To: Patrick Slevin who wrote (17618)

4/15/2013 2:35:12 AM

From: John Pitera

Read Replies (1) of 17620

yes we are dilegently back testing a number of mechanical trading systems....... paying programmer $100 Hour to Back test data...............

people who want to remain anoymouns...... are involved... they have alimony payments..... and every other manner of complications in their lives....... we have some currency systems that look they can return 20% month after month....... but as you know with back testing and data optimizing you have several months of those returns in your account. Also anyone who has every done backtesting and really gotten serious about it knows that the more you tweek a system to enhance trailing 12 month trading and earnings finds that they have over tuned the system and they need a system that is more robust and not as specific regarding the very specific values you use for your trading systems........... that's like a million dollars of free advice...... but it's a tragedy........... that so few people do their homework and learn about this.

John

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To: John Pitera who wrote (17619)	4/15/2013 3:03:32 AM
From: John Pitera	of 17620

Hi Patick.... yes we are testing everything....... correlations can go from insanely consisted to absolutely breaking down...... the after spending 90 minuetes on saturday night we looked at a 3 dimensionaly corellation of the spread between the 2 and 10 year part of the yield curve and then overlaying the correlation of the SPX as well as third key monetary interest rate that I think I said I would not talk about in public........ I have some charts that we sit back and look at and it's got like 6 moving variables.....and sometimes they correlated massively and at other times such as 2008........ they completely break down..... the fact that they completely break down may well mean that these signals are the "canaries in the coalmine" and that they are leading indicators that we are preparing for a major financial meltdown........ and you know what that means in terms of shorting equities, running to treasuries...... and getting out of risk assets and currencies....... I'll see if I can post one on of these charts tomorrow........ I think I actually have to get clearance...... so as someone does not arrive at my door and sue me to death or more practically place 2 9 mm's in my head. that would be very effective in shutting down my posting. John