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<SPAN
class=626242917-29092003>thanks very much for this steve. very interesting,
though I don't get all of it. a topic I'm thinking about pretty much constantly
these days.
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>a couple of questions, if I
might...
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>- sorry to ask, but can you explain the scatter plots
on slides 3 and 4? what exactly is plotted on x and y? the punch line, which I'm
too ignorant to see, is that the system fails with out of sample data. the one
part I understand, I think, is that the correlation coefficient, presumably
between in and out of sample results, is poor. right? how does the plot show
this?
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>- slide 24 mentions "Trend Following on Commodities",
as "100 day lookback, trade 34% before breakout". I don't understand what this
means. something about MA or EMA(100), maybe, but what's the 34%
piece?
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>- how would I compute the daily standard deviation of
the S&P500 in AB, in a way that gives the same .95%/day figure he mentions?
I ask so I can generate similar figures for other markets.
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>- the parameters I get optimizing today compensate for
transient market behaviors that will eventually end, and eventually it will do
very poorly. but if those behaviors persist, at least somewhat, for a
little while, might the system to do better than average in the short term? if
so, is constant re-optimization worth exploring?
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>thanks again for passing this on. makes me wish I lived
somewhere nearby...
<SPAN
class=626242917-29092003>
<SPAN
class=626242917-29092003>dave
<BLOCKQUOTE
>
<FONT face=Arial
size=2>Dave is an Agilent, triple-degreed, engineer. Two weeks ago, he
presented this work to our Denver Trading Group's weekly meeting (actually,
this group meets every Thursday and most Saturday's). Once a
month, I moderate a SIG on mechanical trading (and I haven't
seen less than eighty people in the room since I've been
attending).
Although, I don't agree with certain aspects of
his presentation and I somewhat object to his assigning my name to the
"Karnish System" (it has become a
bastardized off-shot of my work), I still believe that there is a lot of merit
to aspects of his work. The "Karnish System" has become the moniker for
systems (along the front range of Colorado) that stochastically smoothes
a momentum oscillator that initiates buy and sell signals using
symmetrical triggers.
I neither want to endorse, defend or criticize
Dave's work...but, offer this for group members to stimulate
thought.
Take care,
Steve
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