As the originator of the Ploutos system, I would like to respond to your comments.
The term "data mining" has two different connotations. The first is a neutral one, merely
implying that historic data has been used to test a strategy. The second implies data has been used selectively to arrive at the desired solution, which would obviously render the outcome invalid. I was extremely careful to avoid the latter - I developed the strategy mainly for my own investment purposes.
Also, it is built on sound underlying principes. High RS coupled with a value factor is well known as a powerful combination, and the Timing Indicator enhanced performance still further by keeping you out of the market when it gets into one of its periodic blue funks (like right now).
You are correct in saying that longer back tests are desirable, but sadly my database only goes back to 1995 - still, that's over 12 years and encompassed both fierce bull and bear markets.
You are also correct in questioning whether it works in real time as well as in back testing.
The algorithm was frozen in May '06, since when it has shown a gain of 38%, versus a fall of 8% in the All Share Index. Only time will tell, of course, but I am personally pretty confident
that the outperformance will continue.
Ploutos
As the originator of the Ploutos system, I would like to respond to your comments.
The term "data mining" has two different connotations. The first is a neutral one, merely
implying that historic data has been used to test a strategy. The second implies data has been used selectively to arrive at the desired solution, which would obviously render the outcome invalid. I was extremely careful to avoid the latter - I developed the strategy mainly for my own investment purposes.
Also, it is built on sound underlying principes. High RS coupled with a value factor is well known as a powerful combination, and the Timing Indicator enhanced performance still further by keeping you out of the market when it gets into one of its periodic blue funks (like right now).
You are correct in saying that longer back tests are desirable, but sadly my database only goes back to 1995 - still, that's over 12 years and encompassed both fierce bull and bear markets.
You are also correct in questioning whether it works in real time as well as in back testing.
The algorithm was frozen in May '06, since when it has shown a gain of 38%, versus a fall of 8% in the All Share Index. Only time will tell, of course, but I am personally pretty confident
that the outperformance will continue.
Best Regards
Peter Raven