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----- Original Message -----
From: "DIMITRIS TSOKAKIS" <<A
href=""><FONT
size=2>TSOKAKIS@xxxxxxxxx<FONT
size=2>>
To: <<A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx<FONT
size=2>>
Sent: Thursday, October 09, 2003 5:47
AM
Subject: [amibroker] Re: FW:
Optimize/OverOptimize
> 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.
How about using a cycle finding
algorithim (e.g., harmonic or spectral analysis using a Fourier series or
Ehlers' MESA)?
> Dimitris Tsokakis> --- In
<FONT
size=2>amibroker@xxxxxxxxxxxxxxx,
"Phsst" <<FONT
size=2>phsst@x...> 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 <A
href=""><FONT
size=2>amibroker@xxxxxxxxxxxxxxx,
"palsanand" <<FONT
size=2>palsanand@x...> >
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
<FONT
size=2>amibroker@xxxxxxxxxxxxxxx, "Dave
Merrill" <<FONT
size=2>dmerrill@x...> > >
> 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>
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