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Another reason not to use email
--- In amibroker@xxxxxxxxxxxxxxx, Sidney Kaiser <s9kaiser@xxxx> wrote:
> At 04:41 PM 04/13/2003 +0000, you wrote:
>
> > > 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
>
> This may be a duplicate...sorry. The original never came back in
my e-mail.
>
>
> 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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