|
PureBytes Links
Trading Reference Links
|
in a report at this site:
http://web.mit.edu/newsoffice/tt/1998/may20/leighton.html
was written:
"Even if the past is not correlated with the future, the past can be
combined with randomness to provide a very good prediction of future
performance," Professor Leighton said. "The intuition that past
winners are likely to be future winners can be used as the basis for
a successful strategy, even though the intuition is not precisely
correct."
To simulate the described behaviour i wrote some code (below) which
reduced exposure and increased RAR but had little effect on drawdown.
The absence of an appreciable effect on drawdown somewhat surprised
me.
(the code has effect of putting you out of the market to the extent
that the hurdle filter is increased & some stocks that would have
traded, don't).
================================================================
/*your buy/sell system goes here*/
Filter=Buy OR Sell;
E = Equity();
ppcbuy=ValueWhen(Buy,E);
ppcSell=ValueWhen(Sell,E);
profit=ppcbuy<ppcsell;
loss=NOT profit;
tprofit=Cum(profit);
tloss=Cum(Loss);
Hurdle=Random(1);//filter
dice=Optimize("dice",.65,.25,.75,.1);
throw=dice>Hurdle;
//z=desired win rate
z=Optimize("z",.75,.45,.75,.025);
Buy=Buy AND ((rate=tprofit/(tprofit+tloss+1))>z AND throw);
AddColumn(tprofit,"profit");
AddColumn(tloss,"loss");
AddColumn(rate,"rate");
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for Your HP, Epson, Canon or Lexmark
Printer at Myinks.com. Free s/h on orders $50 or more to the US & Canada. http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/l.m7sD/LIdGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|