The top chart is a TradeSim run of the main system I use and the bottom chart is actual performance from 2003. They look pretty similar if you can mentally adjust the Y axis.
There are a number of things that I will mention;
1. I trade more than this one system so comparison with only one system is probably not totally accurate.
2. I pull money out and put money back in. The lift in the current year is because I put more money in.
3. I have pretty much pulled most of the profits out for various frivolous pleasures - the TradeSim run did not pyramid profits. I pumped more money in early this year.
4. Discretion is designed into the system - every run I do on TradeSim will give a slightly different result.
I think that TradeSim is an excellent product. The data for the run above was output from AmiBroker (thanks Glenn for the code which is available on the Yahoo site). The system used for the test above was actually designed using Metastock. The software doesn't necessarily make us better traders.
I read Way of the Turtle and the last couple of pages crystallised the thought that has been lingering in the back of my mind for some time.
The best way to trade systems is to write, test, optimise, walk through individual trades and immerse oneself in the process to design a system that suits the individual.
The more confidence one has in the system the more likely it is to work.
Giving a system to someone, even with a lot of coaching, will probably only work if that person pulls apart the system, changes aspects of it, and puts it back together.
Many don't have the time, effort or capital to put into the process.
Enough lecturing,
stevo
