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Ken,
Why is "each stock/or future has its own optimized parameters" considered a
bad thing ?
Don't individual stocks have behavioural patterns that work well with
certain optimization parameters ? Although I don't use individual
optimization parameters, I recall playing around with this functionality in
WealthLab.
HB
----- Original Message -----
From: "Ken Close" <closeks@xxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, April 13, 2003 13:47
Subject: RE: [amibroker] Re: Real World Systems
> In a reply to my own message to all----regarding optimized systems that
> "blow up" in OOS testing (see original message below for details) ---
>
> ...what are the characteristics of an "optimized" system that DO NOT
> blow up in OOS testing???? I think this is the question of the day if
> not the week.
>
> Except for systems that have some structural oddity, it seems that any
> optimization will "blow up".
>
> The term "overoptimization" is often used, implying that
> underoptimization and even "perfect" optimization exists.
>
> What makes an optimization a "good one" or a "bad one"??
>
> A "bad one has....
> ....too many variables
> ....too short a time period
> ....to small an increment in the optimizing variable
> ....too few issues/too many issues
> ....each stock/or future has its own optimized parameters
>
> Who has the experience to comment on this??
>
> Ken
>
> -----Original Message-----
> From: Ken Close [mailto:closeks@xxxxxxxx]
> Sent: Sunday, April 13, 2003 1:40 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: Real World Systems
>
> Fred:
>
> After our off-line discussions, I adopted the process of not using
> PositionSize in the Phase 1 work of testing a system. As you have
> pointed out, the first job is proving a system "works", and the best way
> to differentiate between system changes is with full compounding.
>
> That said, I have yet to get a system to the Phase 2 stage where I can
> determine the effects of PositionSize on the magnitude of various "real
> world" trading steps. I have found in system after system, that
> Optimizing in Sample, then extending the Equity curve plot into the OOS
> period shows that the system "blows up". The equity line rises in an
> almost straight line fashion until it reaches the beginning of the OOS
> period, at which point the "dreaded yellow triangle" begins to rise,
> never to fall--signifying that the beautiful optimized system earns no
> equity and in fact subtracts a bunch in the OOS.
>
> I am working some systems from the FastTrack world, which use parameters
> that have seemingly not been optimized but have just "been used", almost
> like folklore, since the very early 90s. These equity curves are modest
> yet rise at a positive slope without significant drawdowns. Perhaps
> here, I will get a chance to experiment more with the PositionSize
> parameter.
>
> Ken
>
> -----Original Message-----
> From: Fred [mailto:fctonetti@xxxxxxxxx]
> Sent: Sunday, April 13, 2003 1:08 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Real World Systems
>
> Ken,
>
> You and I have had some offline discusions about system development,
> testing, optimization and realtime usage ... What are your views at
> this point with regards to using PositionSize= in the pre-realtime
> parts off this, I know at one point way back they were significantly
> different then my own.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > Phsst: no...I have an interest in "real world trading". I work
> > systems all the time and occasionally believe I have enough
> confidence
> > in them to try trading them. I have invested month and months in
> > several systems wherein all I did was learn the perils of
> > overoptimization.
> >
> > I suspect there are tons (as in lots) of people who are VERY
> interested
> > in this topic, while at the same time perhaps believe they have
> little
> > to contribute. So they do not say anything because then someone
> will
> > say "Well, where is YOUR real world system to share". There may
> even be
> > an implied expectation: if you publish a system, it should work.
> Maybe
> > folks' confidence in this is not what it should be to allow them to
> show
> > their fragile stuff.
> >
> > Ken
> >
> > -----Original Message-----
> > From: phsst [mailto:phsst@x...]
> > Sent: Sunday, April 13, 2003 12:42 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Trailing Stops
> >
> > > Are you going to post it in the other forum or drop the subject ?
> >
> > Fred,
> >
> > Think about it. You're the only one who has shown any interest at
> all
> > in the subject of Real World Trading using Amibroker... and you
> don't
> > trade stocks! Go figure ;-)
> >
> >
> >
> > Phsst
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > Phsst,
> > >
> > > Are you going to post it in the other forum or drop the subject ?
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > > Sid,
> > > >
> > > > After sleeping on it, I decided maybe you are right. This may
> not be
> > > > the place for a thread on Real World Trading thread.
> > > >
> > > > Thanks for making me think about.
> > > >
> > > > Phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "phsst" <phsst@xxxx> wrote:
> > > > > >Why don't we continue these trading system and performance
> > > measure
> > > > > >discussions over on the Amibroker-TS group?
> > > > >
> > > > > Sid,
> > > > >
> > > > > I'm going to start the thread here.
> > > > >
> > > > > After seeing the topics discussed it may just fade away. But
> much
> > > of
> > > > > the discussion will be about the relevence of how AB (and
> Fred)
> > > > > calculate Equity curves, PositionSizing, compounding along
> with a
> > > few
> > > > > other subjects. It all revolves around how AB is used as a
> tool
> > > for
> > > > > trading.
> > > > >
> > > > > Lets talk about moving the thread after I post it.
> > > > >
> > > > > Phsst
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser
> <s9kaiser@xxxx>
> > > wrote:
> > > > > > At 06:02 PM 04/12/2003 +0000, you wrote:
> > > > > >
> > > > > > > > I am curious if the methodology of limiting position
> sizes
> > > to
> > > > fixed
> > > > > > > > dollar amounts is something you actually do.
> > > > > > >
> > > > > > >Fred and others,
> > > > > > >
> > > > > > >Later tonight or tomorrow I will start a new thread with a
> > > Subject
> > > > > > >line called "Trading in Real Life". And in that thread we
> can
> > > discuss
> > > > > > >actual trading methodologies along with the applicability
> of
> > > > > > >Amibroker's backtesting capability as it applies to actual
> > > trading.
> > > > > > >
> > > > > > >Maybe I'll learn something... or maybe others will learn
> > > something.
> > > > > > >
> > > > > > >If there is active participation, it could be a long
> running
> > > thread
> > > > > > >because I have several issues to discuss but I don't want
> to
> > > saturate
> > > > > > >any one post with more than one trading/Amibroker issue.
> > > > > > >
> > > > > > >It is a pretty day here and I have some non-computer
> > > activities that
> > > > > > >need attention.
> > > > > > >
> > > > > > >If you are interested in this new thread... just imagine an
> > > > > > >automotron's warbling electronic voice beckoning you with
> the
> > > > words...
> > > > > > >"Would you like to play a game?".
> > > > > > >
> > > > > > >Later,
> > > > > > >
> > > > > > >Phsst
> > > > > >
> > > > > > Phsst, Fred, Dingo, Steve / all
> > > > > >
> > > > > > Why don't we continue these trading system and performance
> > > measure
> > > > > > discussions over on the Amibroker-TS group? It was set up
> to
> > > discuss
> > > > > > trading systems and we could get the TS traffic away from
> > > the "how
> > > > > do I use
> > > > > > AB" traffic here. It has been nearly unused for a couple
> months
> > > > and is
> > > > > > available.
> > > > > >
> > > > > > http://groups.yahoo.com/group/amibroker-ts/
> > > > > >
> > > > > > Cheers
> > > > > > Sid
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > ---
> > > > > > Outgoing mail is certified Virus Free.
> > > > > > Checked by AVG anti-virus system (http://www.grisoft.com).
> > > > > > Version: 6.0.465 / Virus Database: 263 - Release Date:
> > > 03/25/2003
> >
> >
> >
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