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--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> 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)?
Bill,
1. Tomasz wrote sometime ago that he will include Fourier tools in
AFL.
I have many hesitations on this stuff, Tomasz said he will do
something very good.
2. I do not appreciate Ehlers analysis for one basic reason : He is
quite deterministic.
I may call some function sinusoidal, but if it is not sinusoidal, it
is a mistake to speak about phase, shift etc. The attempt to
introduce in T/A complex variables and analysis through some quasi-
polar coordinate system is not sucessful, especially at the critical
points.
3. There are some rhythmes in the N100 market. As an evidence, take a
look at the secrets of Mr X.
http://groups.yahoo.com/group/amibroker/message/49234
It is not easy to answer why the 16/40 [or the 7/13] combinations in
Mr X. logic are long time profitable methods for the whole market.
Thank you for the interesting comment. Unforunately we do not have
any AFL algorithm for the moment, but...we shall see.
Dimitris Tsokakis
> > 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
> >
> >
> >
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