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----- Original Message -----
<DIV
>From:
Avcinci
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 01, 2002 8:56
AM
Subject: Re: [amibroker] a few
considerations about optimization
Franco,
Recently I was talking to a professional trader who told me that some
stocks simply don't behave well in any system and others do extremely well (in
backtesting). He attributes this to a term called the "fractal efficiency
ratio," coined by Perry Kaufman. A stock has to have some non-random
movement to be predictable. It's the total change in price over a given
period, divided by the sum of the absolute values of all the daily changes in
price. If a stock has too small a directional component, then it's a
poor candidate for any system, regardless of how many filters
or refinements you add. You're better off using all that firepower
on a better target. I've been testing a lot of stocks lately individually,
finding that many simply give very bad backtest results and very non-robust
parameter coefficients. So, I eliminate them from my watchlist and concentrate
on those stocks that behave well. This seems to be working well. I haven't had
time to write any code yet to see if the good-performing stocks have a higher
fractal efficiency ratio (personality as you call it?) than the poor
performing ones, but it's worth a try. You must test over a long enough
period of time to encompass bullish, bearish, and sideways markets, like
1/1/97 (or even earlier) to present time. If you try this idea out, let me
know how successful you are. I'm very interested in this concept. When I get a
chance, I'll try it myself. But, in theory, it seems to have merit.
You might want to take a lookat
Wilder's Commodity Selection Index.
Al Venosa
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----- Original Message -----
<DIV
>From:
Franco Fornari
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 01, 2002 6:15
AM
Subject: [amibroker] a few
considerations about optimization
Hello,
trying to optimize any trading system, I think we all have
thought, sometime, we would like to avoid such a tedious process or to do it
once and for all.
It could be possible? This question badgered me fora long
time, unfortunately with no success, yet I feel there must be a
solution.
Why I say that? Because a peculiarity of each stock,
called "personality" by someone, wich seems stable enough. In other words, I
think if we were able to mathematically represent this characteristic, we
could automatically optimize any trading systems.
But, the big matter is: what is this characteristic(long
term volatility, frequency of peaks and troughs, price)? How could we assess
or measure it? And, first of all, does such a feature exist or is
it only a mirage? How do you think about?
Best regards,
FrancoPost AmiQuote-related
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