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Fred,
I don't know when a system 'dies'. But, as an inexperienced, aspiring
trader, might I suggest examining and keeping close watch of your equity
curve? If it begins to 'die', perhaps it's either time to abandon it or
re-optimize your parameter values. There have been several posts on this
board about using the equity curve as a way of modifying your entries
(equity feedback). In fact, the January issue of Active Trader magazine had
an article in it where the author suggested keeping a moving average of your
equity curve, and stop trading your system when the equity fell below the ma
and resume trading it again when it crossed back above the ma. This requires
you to keep track of non-existent trades to keep your equity curve active,
but the approach sounds logical to me. In other words, only trade when the
equity curve is on or above its ma. This is but one of perhaps many
different ways to use equity feedback. Have you or anyone else played with
this approach much?
Al Venosa
>From: "Fred " Reply-To: amibroker@xxxxxxxxxxxxxxx To:
>amibroker@xxxxxxxxxxxxxxx Subject: [amibroker] Re: System Testing Validity
>Date: Wed, 19 Feb 2003 20:32:52 -0000
>
>Steve,
>
>I think given the current environment we are in it is POSSIBLY no longer
>absolutely necessary to be optimizing systems over that long a time frame.
>However, pre 2000 IMHO one would have had to look farther back in time then
>1983 to see whether or not their system was viable and again IMHO at this
>juncture one needs to look farther back in time then the beginning of 2000
>to see whether or not they have a viable system for exactly the same reason
>even though it's the bear that's familiar as opposed to the environment pre
>2000.
>
>I am not predicting a bull market as beginning tomorrow at 3:30 or that
>we've already turned the corner etc. only that clearly it will happen
>whether it's tomorrow, next week, month, year, decade or whatever, I, like
>Herman says, could care less. I only want to know that the systems I
>develop and trade work well in good markets and bad. If they do fine, if
>they don't ... NEXT !
>
>The other question I asked of no one in particular was ... When do you know
>your system has died ? Even with valid thorough testing systems sometimes
>die and systems traders I think have to give some thought to want would
>constitute death to a system and then when the results for whatever reason
>approach that what they are going to do next.
>
>--- In amibroker@xxxxxxxxxxxxxxx, "Steve Davis" wrote: > Fred, > > Please
>keep your insights coming. The subject of system validity and > robustness
>is certainly worthy of further discussion. In my case, I have a > SP500
>mechanical trading system optimized with historical data from 1983 to > the
>present. My performance numbers during the optimzation period are >
>CAR%=16%, MDD%=5.6%. Prior to the optimization period, the profits and >
>drawdowns are both larger. Why am I using such a large optimization period?
> > Because I am cautious and willing to sacrifice profits for lower
>drawdowns. > Would appreciate your thoughts on proper system validation
>techniques. Am i > being too cautious? > > My system performance is poor
>compared to your 100% CAR with only 3% MDD. > Your system performance is
>far outside my reach right now. > > -Steve > > -----Original Message----- >
>From: Fred [mailto:fctonetti@x...] > Sent: Wednesday, February 19, 2003
>2:44 PM > To: amibroker@xxxxxxxxxxxxxxx > Subject: [amibroker] Re: The
>transcendental use of Data: An application > > > So be it ... > > The IDEA
>I was trying to share was validity of system testing which > includes out
>of sample results and why when this isn't done your > likely to find out
>the hard way. I find it of no particular surprise > that this has no
>particluar value to discretionary traders, but then > I also have no idea
>why discretionary traders need/want tools like AB. > > --- In
>amibroker@xxxxxxxxxxxxxxx, "Jayson" wrote: > > Fred, > > > > This is
>exactly what endears Dimitris to many of us here. He has > provided > > you
>all the material needed to run the test your self. He has > presented a > >
>well thought out argument for why he believes it holds value. There > is no
> > > hidden code, no magic box just the system as he implemented it. Run >
>your own > > tests and decide if the approach suites your own needs. If
>after > running the > > system tests, optimized to your specifications and
>run over the > time frame > > you deem necessary, you find his system holds
>no value then simply > move on. > > If on the other hand you find some tid
>bit of it that holds promise > in your > > eyes then run with it. Improve
>upon it and then, please, post your > > improvements. That is the goal of a
>group like this, to share ideas > and > > hopefully grow from that sharing.
>Encouraging rather than > discouraging this > > type of sharing is what
>keeps active groups productive else all we > are doing > > is offering free
>tech support for the product. > > > > Jayson > > -----Original Message-----
> > > From: Fred [mailto:fctonetti@x...] > > Sent: Wednesday, February 19,
>2003 2:18 PM > > To: amibroker@xxxxxxxxxxxxxxx > > Subject: [amibroker] Re:
>The transcendental use of Data: An > application > > > > > > > Fred, read
>please my > > > http://groups.yahoo.com/group/amibroker/message/34143 > > >
> > Irrelevant ... You continue to very conveniently skirt the issue. > > >
> > What timeframe was this optimization for ? > > > > Show the results of
>trading the same system using the same > parameters > > for some year long
>out of sample period prior to that. > > > > > > > > > > > > > > > > Yahoo!
>Groups Sponsor > > ADVERTISEMENT > > > > > > > > > > Post AmiQuote-related
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>use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
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