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Again
Fred, it seems to me that what you are accomplishing is a fit. Going forward
will this extremely fine tune hold true? As a strong proponent of system trading
you are probably in a better position to answer that question but to me
robustness is a measure of how widely the the stock (s) may vary from the
optimized sweet spot and still remain consistently profitable. The one constant
in the stock market is that it is not constant. For a system to perform as
expected going forward it seems to me that the system must be flexible.
Optimizing to such tight tolerances makes that goal
challenging.
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
<fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]Sent:
Thursday, February 06, 2003 12:44 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Stock Selection was: [amibroker]
Re: NDX / QQQ - Can it be traded ?Jayson,Using
your example ...Wouldn't you consider it more appropriate to optimize in
steps of one and plot the results looking at the CAR & MDD's or some
combination of those such as MAR = CAR / MDD and see where the most stable
or robust area of MAR is for the parameters in play.For example lets
assume that you first optimize by 25 and find the best MAR is at
100.And lets assume that you optimize again by 1 and find out the range
between 81 and 101 is all pretty much the same but that at 74 the CAR
goes way down and at 102 the DD's go way up. Are you really going to
use 100 as the final value ? or the midpoint between 81 and 101 i.e what
I would consider to be the more robust setting.Fred--- In
amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:>
Ken,> > Example: lets say one of your optimizations is the length
of a given MA. If> your range is set from 20-200 with steps of 1 then
the optimization will be> lengthy and what you will have accomplished
is a tight curve fit of the Ma> that historically worked on this
basket over this time frame. The result may> very well not work
as well in RT . On the other hand lets say you are> optimizing the
same MA, 1-200 but instead of increments of 1 you use steps> of
25. This may offer a better representation since it does not
necessarily> curve to fit 1 or a few very good trades but instead may
capture a greater> percentage of good or bad trades.....>
> Jayson> -----Original Message-----> From: Ken Close
[mailto:closeks@xxxx]> Sent: Thursday, February 06, 2003 11:55 AM>
To: amibroker@xxxxxxxxxxxxxxx> Subject: RE: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be> traded ?> >
> Well, I almost did not respond (although thanks for writing). I
am not> concerned with the price factors etc.> >
> > This is the thing I am concerned with. I hear your other
emphasis and am> taking care of that. The following is the area
my previous post referred> to.> > > >
"The challenge is to find a good range of settings with out risking a
curve> fit, other wise the system will not likely trade in the same
manner as it> tests."> > > > Any further
comments on this one aspect of your reply???> > > >
Anyone else???> > > > Ken> > >
> > > -----Original Message-----> From: Jayson
[mailto:jcasavant@xxxx]> Sent: Thursday, February 06, 2003 11:41
AM> To: amibroker@xxxxxxxxxxxxxxx> Subject: RE: Stock Selection
was: [amibroker] Re: NDX / QQQ - Can it be> traded ?> >
> > Apples and Oranges Ken. Perhaps we can make a Nectarine! If
you choose a> basket of stocks based on a given criteria then testing
that basket over 10> years may well hold no significance. Lets use a
simple filter.> > > > C>10;> >
ma(v,50)>100000;> > > > Lets consider that this
is the criteria for our initial scan/selection.> Where were the
conditions 1-2-5-10 years ago? If the conditions were not met> just 1
year ago would we have selected the stock for use in our system? If>
not then what is the value of testing its results 2-5-10 years ago?
With> this approach you would need to test that the conditions were
in fact met X> years ago then test forward using your selection
criteria to exit when> necessary. This insures that you would not be
testing stocks that in RT you> would have no intention of
trading.> > > > You may wish to be careful with your
Optimization. The challenge is to find> a good range of settings with
out risking a curve fit, other wise the system> will not likely trade
in the same manner as it tests.> > > >
Jayson> > > > -----Original Message----->
From: Ken Close [mailto:closeks@xxxx]> Sent: Thursday, February 06, 2003
11:10 AM> To: amibroker@xxxxxxxxxxxxxxx> Subject: RE: Stock
Selection was: [amibroker] Re: NDX / QQQ - Can it be> traded
?> > Jayson: your advice is very good as well as
comprehensive..I am still left> unsettled as to my approach.>
> > > Lets say my indicator/system is relatively short term
in nature (lookbacks> are somewhat short). But, I want to
employ some of the principles that Fred> talked about namely to be
sure I optimize over a long period so various> market conditions are
captured). [I know the argument that the nature of> the market
changed on 3/1/2000 and therefore optimizations should be done> after
that point---I tend to want to be more conservative and capture>
conditions on both sides of the peak]. Also, a system that optimizes
to> good performance across that period seems a more conservative and
"robust"> system. Witness Freds model of results in his
"spectacular" system-the> equity curve kept going up and was smooth
as the system passed over> 3/1/2000,> > > >
As I said previously, the optimization process is a lengthy one, so
my> approach is to do all of what you said below in other scans (I
pull out of> TC2000 many of the conditions you talk about
below). This is my selection> watchlist. Then, I do not
want to / can not take the time to run> optimizations on 300 or 800
stocks so I want a screening approach that has a> good probability of
finding stocks that "resonate" with my system. Then, I> will
optimize these stocks.> > > > I still have to try
DTs approach and probably alter it to conform a little> more closely
with my system. Another approach is that if I have for example>
some trigger levels in my model...while these might optimize out to
extremes> for individual members (think about RSI crossing 30 and
70), then my> screening formula might set a standard trigger of crossing
50 either way.> Stocks that do "well" against the 50/50 cross should
do better when> optimized to exact levels. Stocks that do poorly
against the 50/50 cross> will still do poorly when optimized.
Don't you think this is a correct way> of looking at it?>
> > > Thanks for the help. Any further comments on
the above point?> > > > Ken> >
> > -----Original Message-----> From: Jayson
[mailto:jcasavant@xxxx]> Sent: Thursday, February 06, 2003 10:24
AM> To: amibroker@xxxxxxxxxxxxxxx> Subject: Stock Selection was:
[amibroker] Re: NDX / QQQ - Can it be traded ?> > >
> Ken,> > I agree with Dimitris. To select a basket of
stocks you must first select an> indicator or method/style to trade
them with. If your System/style is trend> following then
selecting a basket that trends strongly (up or down) is> critical.
The indicators that you read that tend to behave for trending>
conditions tend to fail miserably in consolidations. The reverse is true
for> Rolling stocks. You can use simple methods to begin the process
such as 20> and 50 ma or slope of either. Many use a floor of price
such as c>10 or 15> or whatever. Volume is certainly a major
consideration since without> liquidity the trade may be too challenging.
Volatility is also something to> consider and to compare to your
trading style. Do you (can you) stomach the> wild rides of stock like
BEAS whose current ATR is >7% of the current price> (today moved
nearly 8% on the open!!) or are you more comfortable trading in> the
3-5% range? Some like to add fundamental criteria. Though not easily>
accomplished within AB there are data suppliers (QP and TC2000 to name
a> few) that make such an initial screen very easy. Add your own
criteria to> pare down your initial universe to a more workable
number. A lot of my work> revolves around Sector Rotation.
Determining where the money is flowing in> or out can help you to
further refine your list. I think Ara is also working> in this area
and may wish to add some of his thoughts.> > > > IMO
this type of selection process offers insight into what is most
likely> to work in the short term. Testing a basket selection using
this type of> approach over a long period (years) may not yield the
desired results> because the above criteria is constantly in motion.
However if you find that> your system or approach tends to work well
under those conditions then> choosing stocks that meet a given
criteria can yield impressive results.> Consider this a method of
optimizing. Instead of optimizing the settings in> a group of
indicators so that the results test well on a given set of> stocks,
over a given time frame you are instead selecting a given
universe> that tends to do well with a given set if
indicators.> > > > Regards,> >
> > Jayson> > -----Original Message----->
From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxx> [mailto:TSOKAKIS@xxxx]>
Sent: Thursday, February 06, 2003 5:50 AM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] Re: NDX / QQQ - Can it be
traded ?> > Ken,> I will try to describe an objective
method I often use to select> stocks.> First of all it depends on
the indicator/system you use [since I have> not yet any ...holy grail
available]> Let us suppose you want to use the smoothed MeanRSI as a
general> indicator and you want to find "good" applications.> The
DEMA(MeanRSI,45) is a quite smooth and descriptive oscillator for>
^NDX market.> If you could buy at troughs and sell at peaks [with some
zig period> around 20] you would have one of the best>
performances for this Market indicator. Does it suites to ANY stock?>
Certainly not.> Run the> >
f=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");F=DEMA(F,45);z=20;>
Buy=TroughBars(f,z)==0;Sell=PeakBars(f,z)==0;Short=Sell;Cover=Buy;>
> from, say, May1, 2000 till now and see the top gainers [NTAP,
JNPR,> CIEN etc] and the top loosers [FHCC, PDCO, ESRX etc]> Since
Peak/Trough system is, as you know, unrealistic, try to replace> it
with a closest approximation.> For smoothed oscillators a 2-level system
is really interesting.> Try something like> >
f=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");>
X=45;//Optimize("X",45,35,50,5);> F=DEMA(F,X);>
x1=Optimize("X1",42,38,44,1);//buy level>
x2=Optimize("X2",56,55,60,1);//sell level>
b1=Cross(f,x1);b2=Cross(x1,f);//no need to be fanatic with the type> of
cross, the system knows better> s1=Cross(f,x2);s2=Cross(x2,f);>
nb=Optimize("nb",1,1,2,1);> ns=Optimize("ns",1,1,2,1);>
nSH=Optimize("nSH",1,1,2,1);> nCO=Optimize("nCO",2,1,2,1);>
Buy=IIf(nb==1,b1,b2);Sell=IIf(ns==1,s1,s2);>
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);>
Short=IIf(nSH==1,s1,s2);Cover=IIf(nCO==1,b1,b2);>
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short> > The good
performance of JNPR in the theoretical Peak/Trough project> [around
+1000% with 4/4/0 success]> leaves room for good optimization
results> [sometimes better than the "ideal" model: there are MANY
combinations> better than +1000% for JNPR]> The bad
performance of ESRX means that this stock need some other>
treatment.> The same optimization confirms the ESRX conclusion : It is
better not> to trade this stock, since the most profitable
combination> is the 0 trades !> Of course, this method is not
always accurate, but it gives good> advices for the first
selection.> Besides that, I have met many times JNPR and RFMD in the
4-digit> profitable stocks, my experience is not great, I come back to
basics> [CSCO 70% and BEAS 30%] quickly, I feel more safe there, but, it
is a> matter of taste [crude oil and copper futures are also
interesting,> but let us talk for stocks in this group]> Does it
help ?> Dimitris> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close"
<closeks@xxxx> wrote:> > DT: can you name some additional
symbols, besides CSCO and BEAS,> with> > which you have seen
similar success. Thanks for sharing your> > experience.>
>> > Ken> >> > -----Original
Message-----> > From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxx>
[mailto:TSOKAKIS@xxxx]> >> > Sent: Tuesday, February 04,
2003 3:38 AM> > To: amibroker@xxxxxxxxxxxxxxx> > Subject:
[amibroker] Re: NDX / QQQ - Can it be traded ?> >> >
Herman,> > An annual system % return 100%-120% is reasonable for many
QQQ> > systems from Jan2000 till now.> > [Suppose always
buy, sell, short, cover at +1Open, 0.5% commission> > and disabled
stops]> > I would be surprised indeed to see a double return.>
> Above 200%-250% we may find some other popular stocks, but
not> QQQ,> > AFAIK.> > I come to believe there are
some "functional" limitations for QQQ> > curve to exceed the annual
150%.> > This conclusion is after MANY tests for various trading
systems,> > optimised or not.> > This is a reason I prefer
CSCO or BEAS for example, their curves> are> > more
"profitable" and more flexible.> > Of course I [almost] always speak
for medium speed systems [not> more> > than 6 trades per
year]> > It is more than 8 months I did not trade a single QQQ share,
I> would> > be glad to come back to my old favorite, but for a
better than 180%> > annual return.> > This is my
experience, I hope it hepls somehow...> > Dimitris> > --- In
amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"> >
<psytek@xxxx> wrote:> > > Well Fred, the real values to use
when estimating whether a> trading> > system> > >
is practical have never been answered on this list. You are a> >
trader, I am> > > still mostly a tinkerer, so I respect your
opinion. As a rule I> > discard> > > systems that do not
survive my "acid test" of 0.5%. This allows> my> > to
fumble> > > placing the trade, allows for some over-optimization,
slippage,> > slow data,> > > and even for some
commission.> > >> > > There ought to be a formula
based on parameters like volume,> > volatility and> > >
price, to gives us a working estimate. Places that have lots of> >
trading> > > histories could crunch that out in seconds. Would be
interesting> to> > have a> > > poll on
this.> > >> > > Herman.> > >> >
> -----Original Message-----> > > From:
Fred <fctonetti@xxxx> [mailto:fctonetti@xxxx]> >
> Sent: Monday, February 03, 2003 4:03 PM> >
> To: amibroker@xxxxxxxxxxxxxxx> > >
Subject: [amibroker] Re: NDX / QQQ - Can it be traded ?> >
>> > >> > > Herman,> >
>> > > Let's use today as an example and assume you
are going to trade> > QQQ> > > after you
make a decision on where NDX closes ...> > >> >
> At 4:00 PM QQQ was as at 24.50> > >> >
> Between there and 4:15 QQQ got as high as 24.54 and as low
as> > 24.48> > > or 0.16% over and 0.08%
under as EXTREMES.> > >> > >
Thomas,> > >> > > I'm not quite ready to
toss it on the scrap heap yet. I just> > started> >
> playing with it.> > >> > >>
> >> > >> >
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