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Right on Stephane,
"System Performance" is what counts. You should spend as much time on your
system performance indicator as you spend on designing your trading system.
Ok, and when all that is done try MM :-)))
To know when your system starts to fail is critical, if you use only one
system it will tell you when to go cash or reverse, if you use more systems
it will enable you to switch systems mechanically.
Best regards,
Herman.
Ps. If your optimizations take too long... perhaps you are over-optimizing.
> -----Original Message-----
> From: Stephane Carrasset [mailto:nenapacwanfr@x...]
> Sent: 01 November, 2002 9:34 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: a few considerations about optimization
>
>
> hello,
>
> I have searched a statistic code to select non random stocks
> and finally the best solution ( actually) is to choose the stocks
> that works well
> with your system...and eliminate the others.
>
> stephane
> >
> > 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.
> >
> > Al Venosa
> >
> > ----- Original Message -----
> > From: Franco Fornari
> > To: amibroker@xxxx
> > 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 for a 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,
> >
> > Franco
> >
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