|
PureBytes Links
Trading Reference Links
|
HB,
Well-behaved, orderly, consistent patterns of
supply and demand,...just terms to describe issues that do, in fact, trade well
when applying my rules. Maybe someone else has very different rules than
I. The principle is the same: if you are confident that your system
trades in and out of sample and have traded it with consistent returns, then one
should never keep a stock that "blows up". It becomes fairly easy to move
stocks in and out of your trading mix...as long as you have criteria for
performance. As many technicians do: allow price to dictate your
triggers and allow issues to select themselves...based on consistent
performance.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
HB
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 19, 2003 3:48
PM
Subject: Re: [amibroker] Re: System
Testing Validity
Steve,
You mention creating a basket comprised of
well-behaved issues.
Do you mean issues which behave nicely according
to your system ? I.e. backtest your system and create a basket out of
those that traded in a well-behaved manner (e.g. not just a few home runs with
a ton of losses).
Or is there some other approach ? I'm not
sure how you'd mechanically scan for "orderly" accumulation &
distribution.
I've been grappling with this for a while
!
Thanks,
HB
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=kernish@xxxxxxxxxxxx
href="">CedarCreekTrading
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 19, 2003
16:38
Subject: Re: [amibroker] Re: System
Testing Validity
>The other question I asked of no one in particular
was ... When doyou know your system has died ? Even with valid
thorough testingsystems sometimes die and systems traders I think have
to give somethought to want would constitute death to a system and then
when theresults for whatever reason approach that what they are going to
donext.Fred,I've thought a lot about "death of a system"
and I believe technicians pointto system failure with little regard to
the change in supply and demandand/or volatility (in the issue that they
are trading). Over-optimized andbad approaches to the markets will
always fail (eventually).Sometimes, really great mechanical
approaches can be compromised by"forcing" the system on issues that have
random walk personalities.Well-behaved issues (trading vehicles that
exhibit accumulation/disturbutionpatterns) can return extrodinary
profits for long periods of time. Changesin supply and demand can
cause a stock or commodity's behavior to changedrastically (and render
repeated losses).Good, solid approaches will always work on a
universe of "well-behaved"stocks or commodities. You can design
objective criteria to pareill-performing issues from any universe.
I think most of us can conjure upa few rules about an issues's behavior
and remove issues that don't performto specific standards.A
well-designed system can trade dozens and dozens of issues
witheye-popping returns. Technicians tend to "force" their
approach "favorite"issues (QQQ's, eminis, MSFT). This is not
logical. You can tradeanything...why not trade orderly
issues?That's my thoughts on "death". Patterns change, but
good systems never die.Take care,Steve-----
Original Message -----From: <fctonetti@xxxxxxxxx>To:
<amibroker@xxxxxxxxxxxxxxx>Sent: Wednesday, February 19, 2003 1:32
PMSubject: [amibroker] Re: System Testing Validity>
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" <sdavis@xxxx> 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 <fctonetti@xxxx> [mailto:fctonetti@xxxx]> > 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" <jcasavant@xxxx> 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
<fctonetti@xxxx> [mailto:fctonetti@xxxx]> > > 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>
> > > <A
href="">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 messages ONLY to:
amiquote@xxxxxxxxxxxxxxx> > > (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
> >> > > Check group FAQ at:> > > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> >> > > Your use of Yahoo! Groups is subject to the
Yahoo! Terms of> Service.> >> >> > Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx> >
(Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
>> > Check group FAQ at:> > <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
>> > Your use of Yahoo! Groups is subject to> <A
href="">http://docs.yahoo.com/info/terms/>>>
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx>
(Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>>
Check group FAQ at:<A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>>
Your use of Yahoo! Groups is subject to <A
href="">http://docs.yahoo.com/info/terms/>>Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|