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Hello Dave,Most of your questions
will be answered when you run the code and step through your stocks in the
Workspace. You will immediately note various types of behavior, either on a
single stock or a group of stocks.I am very pleased if a system behaves
at least 'satisfactory' on a number of stocks, if it only works on one i don't
trust it. The CMO5 works very nice on a significant number of stocks. Similarly
i don't trust systems that work only one year out of five. That doesn't mean it
could no be traded... just that I would not feel conmformtable doing
so.This is just another method of learning more about the behaviour of
your parameters, I am not suggesting that this is the most important or only one
you should use.Some more inline below...happy
trading,Herman.-----Original Message-----From: Dave
Merrill [mailto:dmerrill@xxxxxxx]Sent:
Thursday, September 04, 2003 11:07 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] Optimizing &
Robustness of single parametersvery interesting herman, thanks very much
for this. looking forward tochecking it out.I'm slightly confused
about where this fits in overall system evaluationthough. I see that the
plot shows smoothness or uneveness of equity inresponse to changes in the
parameter under test, but I have some questions.(please understand that
I'm not disagreeing with anything at all. I'm justtrying to get my head
around this approach system evaluation. I have a sensethat many schemes that
backtest well do so only out of curve fit, and thatperformance can degrade
at any time. IMO there's no more critical piece ofthe puzzle than how to
distinguish a nice curve fit from something moregenerally applicable, and if
parameters need periodic adjustment, how toknow how and when to do
that.)- I assume you'd want to test all reasonable parameters to fully
evaluate asystem. what does it mean if a system provides even response to
changes insome parameters, but uneven response to others?<FONT
color=#0000ff> Even responses would
indicate predictable behavior under changing market conditions.-
what exactly does uneven response mean? that the system isn't robust
andshould be discarded, or used with caution? might you also see
unevenperformance if the test exceeded the usable range of the parameter,
forinstance if an MA intended to be the faster of two MAs crossed over
andbecame the slower
one? <FONT
color=#0000ff> An uneven response
might indicate your system loses sync with the market, even under minor cahnges
in overal market rhythm.- why would you expect behavior for all
stocks to synchronize? somehistorically move much faster, or much more, and
an MA, for instance, thatdidn't match the stock well wouldn't do very
well.
Never said that ALL
stocks would synchronize, but some will. There are market leaders. You may want
to read up on DT's Trade the Market systems.- what does it mean
if equity is smooth over one time period, say 2000 topresent, but uneven, or
consistently negative, for other time periods, say1992 to present? one
possibility is that market behavior has changed speed,and a system would
need to adjust. would that make it an unwise system touse, or just one that
needs recalibrating periodically?
You have to set your own
testing range, some systems may work well over ten years others only start in
1999. Never deny facts, accept what you see and try to work with
it.thanks again for your thinking on this, very important. are
there any booksyou'd recommend about techniques for evaluating and properly
optimizingsystems?
There must be but i don't
know about any. Perhaps somebody else can suggest. If you haven't you may want
to read the tutorial on system design on the AB
site...dave------------------------ Yahoo! Groups
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