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Ken,
Ther are NO stupid questions, only stupid answers. PLEASE continue
to contribute. We'll all be the better for it. Because the idea of
combining indicators or systems in a meaningful manner has been
around for awhile does not mean it's not a good idea. It is ...
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Bob:
>
>
>
> Thanks for the references. The tone of the reply is one that
certainly
> will encourage other beginners to share their thoughts and
ideas¡Äbut
> maybe Real World systems is just for experienced hardened
veterans. I
> will stay quiet and read from now on, not wanting to waste others¡Ç
time
> mentioning stuff that has been known for years. As I recall, the
person
> who suggested this thread wondered why there was so little response
> initially¡Ä..
>
>
>
> Ken
>
>
>
> -----Original Message-----
> From: Bob Jagow [mailto:bjagow@x...]
> Sent: Sunday, April 13, 2003 9:19 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Real World Systems - Multiple Sub Signals
>
>
>
> What's to mention, Ken?
>
>
>
> The other platform pushed those binary indicators from DOS days, so
> most MetaStock users teethed on them.
>
>
>
> Dave Evans, founder of a trading group I'm involved with,
propounded
> them and often posted re them on SI's Technical Analysis - Beginners
>
>
>
> Jim Greenville details a system that he has evolved over the years
at
> http://www.geocities.com/jimginva/
>
>
>
> Bob
>
> -----Original Message-----
> From: Ken Close [mailto:closeks@x...]
> Sent: Sunday, April 13, 2003 1:51 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Real World Systems - Multiple Sub Signals
>
> Multiple Sub Signals: - here is a real world trading approach that
I
> have never seen mentioned here. I would like to get some reaction.
> This is based on some real world trading that is happening on
another
> platform that I am helping port over to AB.
>
>
>
> The idea is to have signals for multiple subsystems and then take
your
> trading signal when a majority of the subsignals ¡Èline up¡É.
>
>
>
> For discussion purposes, visualize a mov avg cross over AND
>
> A volume oscillator AND
>
> An advance decline curve AND
>
> Perhaps a VIX type signal.
>
>
>
> If you let each one be a buy or sell, and call each S1, S2, S3, S4
>
>
>
> then your buy statement could be
>
>
>
> Buy = S1 AND S2 AND S3 AND S4.
>
>
>
> This might be a little too stringent, so perhaps you code it to
give a
> buy if 3 of the 4 signals are a buy and you do not care which ones.
>
>
>
> In the work that I am doing with this approach, I am seeing that
each
> S(i) has a return and a dd over a long period of time, but as you
add
> combinations of the signals, the return increases a little bit but
the
> dd seems to drop and drop quite a bit. An example might be returns
for
> each one individually of say 8-10% CAR and 13-15% dd, but when 3
out of
> 4 are combined as I describe above, the resulting return might be 9-
12%
> CAR and 6-9% dd. These are not barn burners, and those seeking or
> actually trading 50-100% CAR systems will laugh as they hit delete,
but
> for some folks who are risk adverse, or managing retirement
portfolios,
> or whatever, this kind of approach might have some appeal.
>
>
>
> In the work I have done so far, there has been NO OPTIMIZATION of
the
> parameters within the subsystems. Any In sample period compares
> favorably with OOS periods. The results look steady over 12 years
of
> data, with variations due to changing market conditions. (I am not
sure
> ¡ÈIS and OOS¡É apply when no optimization has been done, but what I
mean
> is that breaking the total time period up into sections shows no
real
> degradation or ¡Èblowup¡É of one period relative to the other.)
>
>
>
> The details of the subsystems are not the issue here-what I am
raising
> is the question of the drawdown dampening effect of the
combination. Is
> this a mathematically correct thing to expect? Does moving in this
> direction promise dd reduction? Assuming you select subsystems
that
> are not highly correlated, should you not expect improvements in the
> combination that are not possible in the single subsystems?
>
>
>
> Any comments? Build-upons? What?
>
>
>
> Ken
>
>
>
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