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----- Original Message -----
From: <<A
href=""><FONT
size=2>fctonetti@xxxxxxxxx<FONT
size=2>>
To: <<A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>
Sent: Wednesday, February 19, 2003 9:10
AM
Subject: [amibroker] Re: The transcendental use of
Data: An application
> I am curious as to what others think about this
?> > Yuki ? Dingo ? Herman ? Jayson ? Grahm ? Others
?
Assume that markets come in three
"flavors:" bull, bear, flat. Also, assume that backtesting is defined
as a simulation of investing decisions in RT. With that background
then a system that is developed with data that is not representative of the
three "flavors" is at best a system for at most two of the three
"flavors." As a result, the user would need another method for
determining when the system is not valid, or at least has not been evaluated,
reflecting the fact that the market has changed, for example, from bull to
bear. Of course, this might result in a lag while the new trend is
detected, during which time the system might underperform relative to its
historical record. In addition, if one has a method for determining trend,
especially if it can be used for various time frames from intraday to
multi-year, then arguably one does not need a "system" for that is a
"system." So if a system is developed for specific market environments the
result is not what I would call system trading, as opposed to discretionary
trading. This reflects the fact that an additional filter is required
(i.e., trend determination) to keep the system "honest," which by my definition
should not be required for system trading. However, whatever works
for a trader in terms of bottom line and comfort is OK, and effort should be
made to not get bogged down in semantics. Choose your
poison.
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