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--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> let me throw the discussion of optimization in another direction
for a sec,
> into equity feedback,
I´m gonna try this via the inspection points. How does it looks like?
Any specific idea for the inspection frequency [if steady...] or the
inspection frequency function ?
Dimitris Tsokakis
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
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