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<FONT face=Arial color=#0000ff
size=2>Hello,
<FONT face=Arial color=#0000ff
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<FONT face=Arial color=#0000ff
size=2>fwiw... there is a lot of eagerness to generalize for the sake of
convenience. People talk about the markets as if there is only one way to look
at them. My experience (whatever that means) is that for some systems the
trading principle hasn't failed for over 11 years (limit of my data) but
for others I see right-across-the-market drastic changes at some point in
time. To me this means that one should assess the market with respect to the
systems one is trading.
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It is
the same with optimizing...some systems give a broad plateau of performance and
others give one single very sharp peak. Having a single sharp peak may simply
mean you have identified a uniquely stable market characteristic and it should
be interpreted in the context of other measurements, like the number of winning
trades and W/L ratio.
<FONT face=Arial color=#0000ff
size=2>
I
don't think it is correct to simply generalize and say broad plateaus are good.
When optimizing one is also dealing with different types of variables, for some
variables one may never be able to look for broad plateaus, for example the
periods for a fast trading system; there may only be a 3-4 values for the period
that make any sense. On the other hand, trigger thresholds may have a nice large
range and can be plotted nicely on a 100x100 grid - sometimes you may been have
to choose between two high performance centers. It would take additional
analysis to decide which one to go with. So a 3D plot doesn't answer all
questions.
<FONT
face=Arial color=#0000ff size=2>
<FONT face=Arial color=#0000ff
size=2>Herman.
<FONT face=Arial color=#0000ff
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<FONT face=Arial color=#0000ff
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<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
<fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]Sent:
Thursday, February 06, 2003 9:01 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Nature of the market
- Previously Stock SelectionKen,This is NOT
meant as a comment directed at your statment because I know your quoteing
a quote of a quote as it were.============================I
know the argument that ... "the nature of the market changed on
3/1/2000 and therefore optimizations should be done after that
point."Now there's a classic statement that I haven't heard the likes
of since people were talking about the fact that we had a "new economy"
in the very late 90's and that we were no longer subject to bear
markets.To me the "Nature of the Market" is the same as it's
always been. It goes up and it goes down. Without the excesses
in one direction or another there would be no value to tools like AB and
no reason to develop market timing systems as buy & hold would be the
rule forever.This therefore to me is the reason now and as always to
not have a testing window that's so short that it can't see anything
outside the current micro climate. Lots of people in the late 90's
did this and got smashed and now that we've had an almost three year long
bear market, people are starting to do it again.Once this starts
to pervade the mainstream and/or the talking heads at the financial news
networks we'll be absolutely positive the bottom is at hand or already
behind us.Post
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