|
PureBytes Links
Trading Reference Links
|
By coicidence, the "Inspection Points" thread points to this target :
To automatically control the parameters, using an equity feedback
every x days.
Any [bright] ideas for the inspection frequency will be much
appreciated.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> Is this the proper forum for this discussion?
>
> Can any of this discussion be translated into Amibroker insights,
code
> examples or solutions?
>
> Heck... I get off topic every now and then, but I would not take
> offense to having my reins jerked when needed.
>
> Phsst
>
> --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
wrote:
> > Hi,
> >
> > Quite a few articles and books have been written on the topic of
> > system optimization. Most of the work done in this area
concludes
> > that optimizing individual systems does not provide a superior
> > result. If you take, for example, a MACD oscillator and optimize
it
> > over a year of data, and then trade that system in the future,
it's
> > odds of success are meager....
> >
> > You have to optimize many individual systems and arrive at a
> > collection. You can then use Back Test scores from the systems
to
> > form a consensus to create Entry/Exit signals. This is very
> > different and much more advanced, than just optimizing an MACD.
You
> > can try "fixing" the systems, but in all cases the accuracy of
the
> > signals will be less than that achieved by optimizing....
> >
> > No matter which systems you use, they will fail at some time or
> > another. However, you will find that Forward Test results of a
> > fixed, non-optimized system are dramatically less than an
optimized
> > system if you use a collection of optimized systems and form a
> > consensus....
> >
> > Prediction is difficult, especially of the future...
> >
> > Niels Bohr
> >
> > Regards,
> >
> > Pal
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > > let me throw the discussion of optimization in another
direction
> > for a sec,
> > > into equity feedback, something I've been looking at a lot
lately.
> > >
> > > just to be clear what I mean, the idea is to pick your trades
from
> > among the
> > > stocks (or whatever) that have historically done the best at
that
> > same
> > > method, or something as similar to it as possible. for example
> > (don't put
> > > money on this!), say you went long or short when MACD(13, 21)
> > crossed zero,
> > > but picked stocks with the most strongly positive returns to
date
> > by that
> > > method.
> > >
> > > in a sense, this amounts to automatic optimization, by the most
> > seemingly
> > > relevant means possible: grading performance under the same
system.
> > another
> > > way to look at it is that it automatically selects a universe
of
> > stocks to
> > > run on, including only the ones that perform best with the
strategy
> > used.
> > >
> > > given those general mechanics, you'd think this would produce
good
> > results
> > > frequently, with a variety of common indicators, over many time
> > frames and
> > > universes of equities. my experience is that this isn't the
case.
> > on the
> > > contrary, for example, it's hard to find system that are
juicily
> > profitable
> > > from '92 to present on the NASDAQ 100. works better on the
whole
> > NASDAQ, I
> > > think because a larger total universe has a better chance of
> > containing some
> > > stellar choices, but it's still hard to do outstandingly well.
> > >
> > > what does it mean if a strategy doesn't perform well when
managed
> > like this?
> > > seems like one of two things: either not very many tradable
stocks
> > > (sufficient liquidity and price etc) perform well with the
> > strategy, or,
> > > past performance with the strategy doesn't correlate well with
> > future
> > > performance.
> > >
> > > if not many stocks do well with the strategy, it's just not
that
> > generally
> > > applicable. perhaps it has parameters that need to be tailored
more
> > to each
> > > individual stock or time frame, more than the algorithm itself
> > does. if so,
> > > the next direction to pursue might be more auto-compensating
> > metrics within
> > > the strategy. OTOH, the more complex and rube goldberg things
get,
> > the more
> > > they seem like fragilely over-optimized special cases, unlikely
on
> > principle
> > > to be robust beyond the specific conditions under which they
were
> > tested.
> > >
> > > on the other hand, what if past performance doesn't predict
future
> > > performance? maybe some other metrics would, but how would you
> > know? any
> > > backtests you did to find that out couldn't be relied on to
predict
> > the
> > > future themselves.
> > >
> > > is there a third hand? or have I screwed up my equity feedback
> > code, and
> > > everyone else here has tons of highly profitable systems like
this
> > that
> > > they're not talking about?
> > >
> > > thoughts?
> > >
> > > dave
------------------------ 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/mOAaAA/3exGAA/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/
|