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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
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Sent: Thursday, October 09, 2003 8:28
AM
Subject: [amibroker] Re: FW:
Optimize/OverOptimize
snip
> Thank you for the interesting comment.
Unforunately we do not have > any AFL algorithm for the moment, but...we
shall see.
If one is so inclined, a *.dll could be
written.
<FONT
size=2>> Dimitris Tsokakis> > > Dimitris Tsokakis> >
> --- In <A
href=""><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
<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 <A
href=""><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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