|
PureBytes Links
Trading Reference Links
|
<FONT color=#000080
size=2>Herman,
<FONT color=#000080
size=2>
I too have been
concentrating and trading short term oscillator systems based on CMO. I
actually started trading just as the equity curve for my universe of stockstook
a nose dive. This is one period that is not the time to trade this
system. So I am monitoring the equity curve hoping for a recovery in the
future.
<FONT color=#000080
size=2>
The last few days
the NAZ has been holding up relative to the DOW. When the NAZ becomesthe
dominant market, it may be a sign of a turn around.
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxx]Sent: Tuesday, July 16, 2002 10:41
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Re: How to spot over optimizing - Summary
<FONT face=Tahoma
size=2>-----Original Message-----From: Rick Parsons
[mailto:RickParsons@xxxx]Sent: Tuesday, July 16, 2002
9:49 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Re: How to spot over optimizing - Summary
<FONT color=#000080
size=2>Herman,
<FONT color=#000080
size=2>
These
rules are very good. However I wonder if one should be aware that
trying to satisfy every rule listed will result in constant testing/tweaking
trying to get everything perfect. Some of us, I suspect, are constant
tweakers, never satisfied, and never trading.<FONT face=Arial
color=#0000ff>[Herman van den
Bergen]
<SPAN
class=470582314-16072002>Absolutely right Rick :-) I am borderline myself. I
love the development more than the trading. However, over the last few
years I have developed many systems and i am beginning to see a
definite correlation between equities - even if they are based on different
types of formulas.. It may be possible to create a "System
Effectiveness" indicator that is based on a collection of equities derived
from the same formula by letting the system operate with slightly off
parameters; the equities will often still synchronize at drawdownsbut
with different lead times. For a trader who is dedicated to a particular
type of trading systems (I tend to concentrate on short term oscillator
systems) there may be a time to trade and not to trade. The problem is that
for most traders it is hard to sit on the side lines for up to 7-8 months -
even when this would be to their advantage in terms of risk and reward.But
isn't this what a lot of people are doing at this very
moment?
<SPAN
class=470582314-16072002>
I do love the
idea of combining various equity curves and getting out when they all head
south.
<FONT color=#000080
size=2>
<FONT color=#000080
size=2>Thanks,
<FONT face="Vladimir Script" color=#000080
size=5>Rick
<FONT face=Tahoma
size=2>-----Original Message-----From: Herman van den Bergen
[mailto:psytek@xxxx]Sent: Monday, July 15, 2002 5:27
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] Re: How to spot over optimizing -
SummaryHere's the uncooked and unseasoned stew of
things to consider (andunderstand) when optimizing. May or may not
apply to your type of system.- Optimizing rules vary for different
types of trading systems- The system works on only one stock-The
gains are erratic with a final big gain- Optimization values are
scattered (random peaks on a 3D chart)- The gains are too good tobe
true (1000,000,000%)- If you think you found the HG think again-
The equity line is straight, almost no drawdowns- The system only
works in recent years- The system doesn't work out-of-sample-
Optimizing parameters vary widely for different time periods- Greater
than 75% winning trades- DrawDowns greater than 50% for the bare-bone
system- The system was tested on only one period- Less than 30
trades- No out of sample test (can be done backwards)- Remember
that the market has natural Friendly and UnFriendly periods thatyou
can detect by overlaying the equities for as many systems as you
canmuster, if all equities start to dip, the market is becoming
unfriendly.- Consider using the C-Test by William Eckhardt [ See
Stocks & CommoditiesV. 12:5 (218-221): The c-Test by William
Eckhardt.]- Consider the type of parameter you are optimizing.- Do
check out opt values outside of the expected range, there might
besurprises out there.- Consider that some parameters interact and
others do not.- Consider one-by-one optimization and on-shot deals,
perhaps try both?- When incrementally optimizing parameters note that
the requirement for itsfrequency is the same as for trades, if you add
a new rule and it kicks-inonly once in ten years that doesn't mean
much, even if your gain triples.- To compare the effect of incremental
system optimizations overlay theequity curve for each stage of the
system (log scale). If equities track inparallel your enhancementmay
be insignificant. If the equity curvesseparate at an upward angle,
this means the improvement takes placegradually, this is more
significant.- To analyze the effect of optimizations you can alsoplot
the Buy/Sellsignals for the various stages to see where and how
differences occur.- Chart each and every parameter.-
...best regards,Herman.Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|