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Fred,
The "quiz" was not restricted to %Net Profit.
If, for you, the optimal is the highest MAR, then, optimize a stock
and find the best solution.
Is there a MAR higher than the optimal you have already found ?
This was the question, it sounds absurd somehow, but there is an
interesting method under construction.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred <fctonetti@xxxx>"
<fctonetti@xxxx> wrote:
> DT,
>
> Optimal means different things to different people.
>
> To me it means highest MAR = CAR / MDD.
>
> However, it also means the ability to perform in good markets as
well
> as bad. If you notice the MDD's happen during the largest bear
> market rally that occured since 1/2000 and they are sizable. I
> suggest you widen the view to include from 8/98 forward and you'll
> see why IMHO there is no point in optimizing a system over the last
3
> years which is virtually all bear market with some intervening
> rallies. If the current market suddenly became like that of the
late
> nineties it's the out of sample performance prior to 1/2000 that
you
> could expect and you'd be out of money in a hurry, wouldn't you ?
>
> Fred
>
If the market changes to pre-2000 conditions, it will not happen in
one night.
A more than 3-year bearish environment needs more than 6 months to
change.
The majority of my indicators run approximately at 30 to 40 bar
smoothing and will "see" such a change, if ever exists.
But, the fear of such a change is not a serious reason not to study
and apply techniques that express the recent situation.
We may live in a bearish/congestive environment for 3 or 5 more
semesters and IT IS A LONG TIME. It is better to act
than waiting a repetition of pre-2000 days.
On the other side, a lot of all-time indicators are already designed,
as you probably suppose...
Dimitris
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx>
> wrote:
> > This is the correct attachment.
> > Please cancel the previous wrong one.
> > DT
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Monday, February 10, 2003 2:01 PM
> > Subject: Optimization quiz
> >
> >
> > The optimal solution for the single level ^NDX D-ratio is a quite
> interesting +780% from Jan2000 till now.
> > Is there any optimization solution better than the optimal ?
> > Do not answer quickly, the answer is positive...
> > Dimitris Tsokakis
> >
> > Settings:Trade at +1Open with 0.5% commission and all stops
> disabled.
> > Dratio=1000*(H-L)/(H+L);
> > Z=5;
> > RRR=DEMA(Dratio,Z);RRRR=DEMA(RRR,10);
> > D1=Optimize("D1",26,15,65,1);
> > D2=D1;
> > F1=RRRR>=D2;F2=RRRR<=D1;
> > Sell=F2;Buy=F1;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> > Short=Sell;Cover=Buy;Short=ExRem(Short,Cover);Cover=ExRem
> (Cover,Short);
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