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DT: thanks...your approach is clear now.
I have not done the test with composites of the market, but one case
only, MSFT, did not produce a result I would try to trade.
Optimize Period.......FullPeriod.....OOSPeriod
......................CAR/Mdd
8/98-9/01.............49/-48.........5/-27
1/2000-9/01...........125/-38........13/-32
1/00 to 2/03..........125/-38
I will try other combinations, but this did not show me anything on
MSFT, even taking into account the bear market characteristics.
No criticism and I know you advocate using several indicators and
factors, but I am slowly learning to subject a system (any system) to
this optimize/OOS test cycle---the good performing systems (which I
define as having CAR>40 and Mdd<10 to 12, are far and few between.
Any one else have a comment?
Ken
-----Original Message-----
From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxxxxxxx> [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Wednesday, February 19, 2003 8:30 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: The transcendental use of Data: An application
Ken,
it is writen in the beginning : Use "current" stock to see the best
Foreign data to trade it [with D-ratio5 or any other indicator.
the second alternative is to use any group/watch List/sector or even
the whole market, "borrow" TMPW data and trade them all.
Is it clear?
It is the same logic with composite tickers : We use in a TTM the
MeanRSI curve to trade the stock/group/sector/market.
In the transcendental manner, we use MSFT RSI to trade INTC or any
other favorite stock. The MSFT RSI is the signal generator for
anonymous buy/sell signals. This is the idea.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Dimitris: thanks once again for an innovative system concept.
>
>
>
> The purpose of my note is to comment on it performance. Some have
said
> that it is better to optimize over a longer period than just from
> 1/1/2000 and others have said to optimize just from 1/1/2000
onward. I
> subscribe to the former approach and my standard optimize period is
> 8/1/1998 to 0/21/2001. I then test from 8/1/1998 to today and from
> 9/22/2001 to today. I use the Tonetti enhanced equity curve, which
> gives some good statistics but also shows the log equity curve. A
> system that is going to fail will show a clear drop off in the OOS
> period.
>
>
>
> This code gives a fairly smooth equity curve which does not "blow
up" in
> the OOS period. It seems to perform better on DJ30 or even SP500
stocks
> but not so good on NDX stocks. Drawdowns are still double digits. I
> also optimized from the period 1/1/2000 forward, using the same OOS
> period. Performance seemed worse in that annual percentage gains
were
> higher but Drawdowns were very high---30% the lowest.
>
>
>
> What is not clear to me in your message or code is what stock or
index
> you place in the Buy position while you are doing the optimization.
> What array is being bought and sold during the optimization. This
> clearly makes a difference to the result and I am curious as to
what you
> used.
>
>
>
> Nonetheless, it is an innovative new approach and I for one thank
you
> for sharing.
>
>
>
> Ken
>
>
>
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Wednesday, February 19, 2003 5:24 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] The transcendental use of Data: An application
>
>
>
> A.
>
> I trade BEAS.
>
> Its performance with the smoothed D-ratio5 is poor. 3/21 winning
> combinations when D1=Optimize("D1",42,30,50,1); and the best gives
>
> some +115% in 3 years. Nothing important for 57 dangerous trades.
>
> But, BEAS may give great results, much better than +1000% with a
lot of
> systems.
>
> B.
>
> I do not trade TMPW and I know almost nothing about it.
>
> For me, TMPW is a 5-D vector [O, H, L, C, V] in the wild StockMarket
> vector space.
>
> TMPW is in the top10 list for D-ratio5 trading over the whole N100
> market, according to my earlier post.
>
> Its D-ratio5 curve gives "good" signals for the majority of the
stocks.
>
> For D1=42, for example, it sends BEAS profits to >+1000% and it is
not
> coincidental, since the whole market profits are +450% with
>
> >75% profitable stocks.[It is not a holy grail, it is a real
fighter,
> you should take all the risk to trade it, but 75% is a respectable
> percentage]
>
> C.
>
> I "borrowed" TMPW clear Buy signal on Valentines day, Feb14 to Buy
BEAS
> [and CSCO] on the next bar Open.
>
> The Open was cool, the day was great, some cables traffic 15 min
before
> the end [life is not as easy as backtesting] plus my broker
>
> advise to sell tomorrow, but the sell order was an order, it was a
clear
> take-the-money-and-run session, the system will make its own
profits,
>
> statistics is an additive science [linear or not].
>
> CSCO will pay the expenses, BEAS will pay the research, I should
learn
> something for TMPW, perhaps it is a great company.
>
> D.
>
> I will refill my hot coffee and try to understand what I was doing
> yesterday.
>
> Dimitris Tsokakis
>
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