Charles' first son, Richard Donchian Robusti, became a system trader in 1963. Richard Donchian Robusti carefully developed a mechanical trading system, tested it by hand (no access to computers), paper traded it, and ran it through the battery of Robusti family tests. When he became convinced that his system was ROBUST, Richard Donchian Robusti began trading it. He swore an oath and solemnly promised that he would trade this sytem forever, never making a single change.
Charles' second son, Welles Wilder Robusti, became a system trader in 1973. Welles developed his own mechanical trading system, tested it using pencil and paper and adding machines (there were no electronic calculators or personal computers in 1973), and ran it through the battery of Robusti family tests. Carefully note: when Welles Wilder Robusti was developing and testing his system, in 1973, he had ten more years' worth of market history data than his brother did, in 1963. So it isn't surprising that Welles Wilder Robusti's mechanical system (developed 1973) was different than Richard Donchian Robusti's mechanical system (developed 1963). Welles also swore the oath and solemnly promised that he would trade his system forever, never making a single change.
Charles' third son, William Eckhardt Robusti, became a system trader in 1983. Like his two brothers before him, Bill developed his very own mechanical trading system. But he used these newfangled things called Minicomputers to develop his system. Bill bought two "MicroVAX" computers from Digital Equipment Corporation of Hudson, Massachusetts, carefully entered price history data, and developed mechanical trading systems On Computer (!). When he had a pretty good looking trading system, Bill tested it thoroughly, including the famous Robusti family suite of challenging and extensive tests. Carefully note: when William Eckhardt Robusti was developing and testing his system, in 1983, he had ten more years' worth of market history data than his brother Welles had, in 1973, and Bill had twenty more years' worth of market history data than his brother Richard had, in 1963. Unsurprisingly, William Eckhardt Robusti's ROBUST system was different than Welles's ROBUST system, and was different than Richard's ROBUST system. Bill also swore the oath and solemnly promised that he would trade his system forever, never making a single change.
Charles' fourth son, John Henry Robusti, became a system trader in 1993. Following the family tradition, John developed his own mechanical trading system. By this time, personal computers were ubiquitous and fast (300 MHz Pentium CPUs!), and John Henry used them, along with state of the art software, to develop ROBUST trading systems. When he had a pretty good looking system, John tested it thoroughly, including running it through the entire battery of Robusti family tests. Carefully note: John Henry Robusti had 10 more years' worth of price history data than William Eckhardt Robusti, 20 more years' worth of price history data than Welles Wilder Robusti, and 30 more years' worth of price history data than Richard Donchian Robusti. Nobody was surprised to see that John's system was different than the other three. Like his three brothers before him, John swore the oath and solemnly promised that he would trade his system forever, never making a single change.
Charles's fifth son, David Harding Robusti, bacame a system trader in 2003. He developed a trading system using a server farm of 300 computers, each machine with 8 CPU "cores" running their own copy of Veritrader / Blox. Carefully note, DH Robusti had 10 more years of data than JH Robusti, 20 more years than WE Robusti, 30 more years than WW Robusti, and 40 more years of data than RD Robusti. After his system passed all the tests, it turned out to be different than all the predecessor systems. David swore the oath and solemnly promised that he would trade his system forever, never making a single change.
Now here we are in 2009. The Robusti family story may suggest some interesting philosophical questions. It may (or may not!) stimulate thinking about fundamental assumptions and dogmatic beliefs. Questions such as,
- Is it "fair" for each successive Robusti son to develop his system using more years of historical data, merely because the data is available? Is it "proper"? It it "correct"? Is it "valid"?
- The availability of more data encompassing more market phases and cycles and psychologies, is one reason why the developed systems are all different from each other. But is this "fair" and "proper" and "correct" and "valid"? Is Welles' system (developed 1973) any more robust or valid than Richard's system (developed 1963)? Perhaps you may feel the reverse is true: the 1973 system, having been fitted to more data, is less robust or valid than the 1963 system?
- If you were the first son, Richard D. Robusti, would you be tempted to discard your ROBUST system (developed in 1963) and instead use your younger brother David H. Robusti's ROBUST system (developed in 2003)? To do so would violate your sworn oath and invalidate your sacred family motto. On the other hand it might make you a ton more money.
- Cousins and nieces and nephews have money to invest. Would you suggest they invest it all with Richard and his 1963-vintage system? With David and his 2003 system? Equally among all five brothers? How do you divide up the pie?
- Whatever allocation you chose, would you suggest to the Robusti brothers themselves, that they should quit trading their individual systems, and instead, each of them should trade a Suite of systems according to your allocation percentages in question 4 above? If a certain allocation mix is best for the investors, isn't it also best for the traders too?
- The Robustis keep having kids who keep developing new and different ROBUST systems. Do you add each of them to your allocation, your "Suite", as their systems become available? Why or why not?
- What happens when one of the brothers retires or dies? Should the family hire somebody to keep trading that ROBUST system? After all, if it's ROBUST it should be profitable forever. Or do you think it's okay to eventually stop trading a system, for some reason or another?
- Change the story so the Robusti's have a new baby who becomes a system trader, every 2 years instead of every 10 years. Does this change any of your conclusions? How about if there's a new trader with a new ROBUST system, every 6 months?