Tracking trading systems
In the early years of my trading career, I purchased a number of trading systems that turned out to not live up to their billing.
A prominent vendor copied two pages out of a book that I published, where I discussed a trading tool, not a system. He sold it as a system and claimed it was the best thing he ever developed. At this stage (prior to organizing Futures Truth), I had hired a computer programmer, John Fisher, who had worked for the Department of Defense on the design of the Tomahawk cruise missile guidance system.
In 1988, with my experience as a professional trader and John Fisher’s programming abilities, we developed historical backtesting software. After that, I organized Futures Truthto bring truth and honesty to the trading world.
George Pruitt, a computer science graduate, came on board in 1989 and helped finalize the software, which became known as Excalibur. Initially, we were using it just to reveal fraudulent systems. However, people with good methodologies wanted their systems to be monitored and ranked. We always have had an arm’s-length relationship with our system vendors and have never charged a tracking fee. Quite a few fraudulent vendors were put out of business because the numbers that were reported simply did not measure up to the hype.
Today, we track more than 200 publicly offered trading systems and report walk-forward results in our quarterly publication.
Some early vendors who were in Futures Truth included:
Futures Truth offers results from when the system is released (see “Top 10 tables,” below”). These are hypothetical, but Futures Truth does not rely on hindsight.
One issue about trading systems is consistency. If you look at the top trading systems over time, you will see that most systems don’t spend much time on the top list. Over the years, certain system vendors consistently have ranked in the top 10. Many do offer more than one system, but it seems like one or two of their best systems are the ones that make the list.
For years, trend-followers dominated this list, but recently shorter-term and day-trading systems have crept in. Most of these follow only the stock indexes. Trend-following will probably work its way back and those vendors that made their systems adaptive have either weathered the storm or have already started to recover.
Note: In the interest of full disclosure, Murray Ruggiero has trading systems tracked and ranked by Futures Truth.
John Hill began trading futures in the 1960s. He and his family developed numerous successful trading systems, and created Futures Truth magazine, which monitored trading systems so that traders could gain an honest analysis of a system’s performance.
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