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Thanks everybody for the responses.
Downloaded the Eckhardt paper. Does anybody still use angles? Today, using
computers, we would probably use ROC(). I think the C-test was more relevant
in the old days when fundamental parameters, which could be in any number of
different units, played a bigger role. And then there are those who use
astrology... I guess there is still use for the C-test.
Thanks for the link to the Eckhardt Trading Company overview
http://iasg.pertrac2000.com/SnapshotPT.asp?ID=114 ], that is very
interesting. I do believe however that for the small trader who trades
mechanically in small lots (not millions), long and short, much greater
profits are possible. The thing that I admire is that they conceived their
system so many years ago...
wrt Optimizing, I have a gut feeling that not only do the criteria's differ
for trading systems but also for parameters. For example a trading formula
with two "period type" parameters that are optimized using 100^2 iterations,
might be made to fit many price charts with good results. On the other hand
if the parameters were Profit Stops and Max Loss Stops, for example, they
would have less of a chance to over-optimize the system. What do you think?
Another factor might be the sequence of optimization and whether all
parameters are optimized in one step or individually. The case of Thresholds
was brought up awhile back. Here we have another case where we may consider
to optimize separately or in one operation.
Suppose you optimize all six above in one operation, would that be increase
or decrease the chance of over optimization? Personally I optimize one at a
time and chart the result for each operation. This helps me get a feel for
what is happening. In the end, having a better understanding of the system,
I may go back to make changes.
Best regards,
Herman.
-----Original Message-----
From: MarkF2 [mailto:feierstein@x...]
Sent: Sunday, July 14, 2002 7:47 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: How to spot over optimizing
This is not necessarily about overoptimization, but all systems: the
methodology MUST have dimensional coherency. See Stocks & Commodities
V. 12:5 (218-221): The c-Test by William Eckhardt.
For those who don't know, William Eckhardt was Richard Dennis' trading
partner. Here's his documented trading performance over the last
decade+.
http://iasg.pertrac2000.com/SnapshotPT.asp?ID=114
Mark
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