[np-]

This is pretty cool, and seems like it would be fun to mess around with. I loathe to be overly negative since I realize I'm probably not the smartest person in the room so I might have overlooked something, but...

1) My findings are that you can't ever predict future stock performance based on historical data, no matter how many tests/trials/algorithms you run. The reason for this is because we, as mere mortal humans, just simply can't predict the future -- no matter how much we try to obfuscate this fact with math and data science, unless you're modeling every single thing that's happening on the planet at the same time and have created a singularity or something, you just can't. This means there is always something potentially lurking around the corner that can absolutely destroy your returns. Now, can you have success in the short/medium term? Maybe. You have a chance to come out a winner in Vegas too.

2) The difference between simulated trades and real trades is actually quite significant. Every real trade you make on the market, no matter how small and/or insignificant you think it is, actually does have a real impact on the market. This is where I find it typically goes sideways when people come up with algorithms based on historical data. An analogy for this is voting -- you might feel that your one single vote doesn't matter, but the fact that everyone voted is everything. You can't easily simulate this as far as I can think of.

[deandree]

Thank you very much! I don't see the feedback as negative, as what I've seen so far has been 95% overwhelmingly positive. My thesis has proven true - this tool is helping people. While HN might not be the most appropriate audience, I'm still grateful for the comments made here. Always good to see things from different perspective.

As for your points:

1) Trading is a game of probabilities and risk management. None of the best traders I know are trying to predict anything. They are merely reacting to situations where they have calculated advantage. They know their edge, they know their odds, and they are placing their bets when it's skewed in their favor.

2) For most retail trading styles and portfolio sizes, real trades will have an impact, but not significant enough for it to worry about too much. Unless asset your're trading is really illiquid.

[ezekiel68]

I'm not sure it is required that we become able to predict the future perfectly. Some technical patterns for some asset classes in some situations (such as belonging to a strong industry group) do, in fact, give an advantage. Here's an example:

If a securities chart has been trending downward and the price is below its 50-period moving average (50PMA), the price action cannot change to a rapid and significant upturn without crossing above the 50PMA . Although this does not mean that all crosses above the 50PMA will result in rapid and significant gains, a system such as this could be used to test whether such a strategy provides enough of an advantage over time. It can also be used to test one's reflexes to make the trade at the proper time. AND also used to test one's reflexes to get out of the trade if it does not continue moving in the anticipated direction.