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> > 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
Well, count me in the camp that is interested in trading system design and
evaluation.
I have designed or evaluated hundreds of systems over the years. Unlike
Fred I have not come across something I can trade successfully year in and
year out ... still looking. I am not very creative with thinking up clever
ways to improve result but I do have a dogged persistence that is useful in
testing, debugging and evaluating systems.
I usually do not jump into the trading system discussions because I would
come off as being too negative. I have made most of the available mistakes
and found the most of the flaws in the usual system candidates.
What I find interesting is simple effective trading ideas.
At one time I thought testing baskets of stocks might lead to more robust
system parameters but it appears that what I get is mediocre performance
from parameters that do not work well with any securities. Back to the
drawing board....
As Ken Close has found, most systems are excessively curve fit and fail
quickly once the optimization period has ended. One of the things that
might be of high value to AB users would be to generate some code that
would simplify out of sample testing. With the latest AB version perhaps
it would be possible to select and optimize over one period and then have
the code move on to a selected OOS period and output those results in
addition to the optimization results. Also a easier interface, perhaps an
Excel macro, to ease the data manipulation to generate the 3-d parameter
sensitivity plots. A third item that would be nice to have is the ability
to optimize on some parameter other than maximum profit. Fred's MAR or
something that takes into consideration max consecutive losers, max draw
down over some specified period of time like weekly DD , or ??? These wish
list items would require some help from someone who is a good programmer,
which I am not.
Bottom line, there is a demand for trading systems ideas and sharing of
those ideas that might benefit many of the quiet AB users if we can just
get a little momentum going here.
Sid
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