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Hello,
To use QCharts you would need a separate plugin that
you can purchase from
http://www.amibroker.com/order.html
There is 15 money back guarantee on QCharts plugin
(since there is no trial)
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Anthony C. Abry" <abry@xxxxxxxxxxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 09, 2003 11:15 PM
Subject: [amibroker] Qcharts with EOD Amibroker
> Hi,
>
> I have a Qcharts subscription and had wanted to use it with the AB EOD
> edition. The link on AB's website does not work
> http://www.amibroker.com/h_amiquote.html
>
> Could anyone please point me in the right direction.
>
> Thanks,
>
> Anthony Abry
> www.kinnikinnickmorgans.com
> A horse a day keeps the shrink away
> ----- Original Message -----
> From: <amibroker@xxxxxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, October 09, 2003 4:10 AM
> Subject: [amibroker] Digest Number 2585
>
>
> >
> > 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
> > ------------------------------------------------------------------------
> >
> > There are 25 messages in this issue.
> >
> > Topics in this digest:
> >
> > 1. FW: Optimize/OverOptimize
> > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > 2. FW: Optimize/OverOptimize
> > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > 3. OT Forex for the sublimely naive
> > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > 4. sublimely naive? Manual Stock Sorting.
> > From: "Michael.S.G." <OzFalcon@xxxxxxxx>
> > 5. Re: FW: Optimize/OverOptimize
> > From: "jtelang" <jtelang@xxxxxxxxx>
> > 6. New ESignal plugin/Quotes
> > From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
> > 7. Re: OT Forex for the sublimely naive
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > 8. Test = 0
> > From: "Mr Valley" <valleymj@xxxxxxxxxxx>
> > 9. RE: sublimely naive? Manual Stock Sorting.
> > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > 10. Re: Re: OT Forex for the sublimely naive
> > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > 11. Re: Re: OT Forex for the sublimely naive
> > From: "CedarCreekTrading" <kernish@xxxxxxxxxxxx>
> > 12. Re: OT Forex for the sublimely naive
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > 13. Re: Re: FW: Optimize/OverOptimize
> > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > 14. Entry, Exit and Stop loss on the same bar?
> > From: "aghari" <aghari@xxxxxxxxx>
> > 15. Re: Re: OT Forex for the sublimely naive
> > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > 16. Re: OT Forex for the sublimely naive
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > 17. RE: Entry, Exit and Stop loss on the same bar?
> > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > 18. RE: Re: FW: Optimize/OverOptimize
> > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > 19. Re: FW: Optimize/OverOptimize
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > 20. Simplified support resistance levels
> > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > 21. Re: FW: Optimize/OverOptimize
> > From: "Phsst" <phsst@xxxxxxxxx>
> > 22. The Inspection Points and the Hi-pass Filter
> > From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>
> > 23. Re: FW: Optimize/OverOptimize
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
> > 24. Re: New ESignal plugin/Quotes
> > From: "Tomasz Janeczko" <amibroker@xxxxxx>
> > 25. Re: Displaced or Shifted Moving Average
> > From: "don" <donmac63@xxxxxxxxxxxx>
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 1
> > Date: Wed, 8 Oct 2003 21:07:55 -0400
> > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > Subject: FW: Optimize/OverOptimize
> >
> > [folks, a bit ago steve kernish posted a presentation by Dave Chamness on
> > optimization and overoptimization here. I found it interesting, and wrote
> > Dave with some questions, no doubt pretty basic to Dave and probably to
> many
> > people here too. he wrote back, but I forgot to ask him initially if it
> was
> > ok to post his replies. tonight I got a msg that it's ok, so here you go.
> > - dave merrill]
> >
> > -----Original Message-----
> > From: David Chamness
> > Subject: Re: Optimize/OverOptimize
> >
> >
> > Answers are in the text below. Contrary to Steve's statement, I have
> only
> > one degree, BS Mechanical Engineering.
> >
> > Dave Chamness
> >
> > -----Original Message-----
> > From: Dave Merrill
> > Subject: Optimize/OverOptimize
> >
> >
> >
> > Dave, I hope it's ok to contact you on this. steve kernish posted a
> > presentation of yours on optimization that I found very interesting,
> though
> > I'm afraid I don't get all of it. this is a topic I'm thinking about
> pretty
> > much constantly these days, with quite a bit of accompanying frustration.
> > IMVHO, most of the world gives way too much weight to optimizations that
> > seem like curve fitting to me, but I haven't figured out how to move
> beyond
> > that.
> >
> >
> >
> > a couple of questions, if I might:
> >
> >
> >
> > - can you explain the scatter plots on slides 3 and 4? what exactly is
> > plotted on x and y? the punch line, which I'm too ignorant to see, is that
> > the system fails with out of sample data. the one part I understand, I
> > think, is that the correlation coefficient, presumably between in and out
> of
> > sample results, is poor. is that right? how does the plot itself show
> this?
> >
> >
> >
> > They show the In-Sample gain as % of perfect trading on the x axis versus
> > the out of sample gain on the y axis. Each data point is a separate stock
> > with a separate system. In sample gains were 15% of perfect on average.
> > Out of sample were near zero on average. Perfect trading wins all close
> to
> > close changes. There are 2 years in and out of sample.
> >
> >
> >
> > - slide 24 mentions "Trend Following on Commodities", as "100 day
> lookback,
> > trade 34% before breakout". I don't understand what this means. something
> > about MA or EMA(100), maybe, but what's the 34% piece? how does it get
> > around the parameter settings limitations that sink other systems? is this
> > method, or something based on related principles, tradeable in stocks
> and/or
> > mutual funds?
> >
> >
> >
> > Breakout buys a new high, sells a new low. Near Breakout trades sooner.
> > 34% before breakout buys in the top third of the 100 day high-low range,
> > sells in the bottom third. Specifically, the 34% means 34% of the
> high-low
> > range.
> >
> >
> >
> > - how would I compute the daily standard deviation of the S&P500, in
> > AmiBroker for instance, in a way that gives the same .95%/day figure you
> > mention? is that the average std dev of daily close price change over some
> > specific period of time? I ask so I can generate comparable figures for
> > other markets.
> >
> >
> >
> > Compute the standard deviation of all the close to close changes.
> >
> >
> >
> > - the parameters I get optimizing today compensate for transient market
> > behaviors that will eventually end, and eventually it will do very poorly.
> > but if those behaviors persist, at least somewhat, for a little while,
> might
> > the system to do better than average in the short term? if so, is constant
> > re-optimization worth exploring, or even switching whole trading systems
> in
> > a mechanical way based on recent performance?
> >
> >
> >
> > I find little tendency for trading systems to work in the future. Try to
> > identify a simple nonrandomness. Try to find markets that simple systems
> > work on. Don't pick an impossible market like S&P 500 and try to fit a
> > complex bunch of rules to it.
> >
> >
> >
> > Commodities have long term trends. Stocks show short term 2-10 day
> > reversals.
> >
> >
> >
> > thanks again for writing and sharing this. makes me wish I lived somewhere
> > near the meetings you haunt...
> >
> >
> >
> > dave
> >
> > Dave is an Agilent, triple-degreed, engineer. Two weeks ago, he
> presented
> > this work to our Denver Trading Group's weekly meeting (actually, this
> group
> > meets every Thursday and most Saturday's). Once a month, I moderate a SIG
> > on mechanical trading (and I haven't seen less than eighty people in the
> > room since I've been attending).
> >
> >
> >
> > Although, I don't agree with certain aspects of his presentation and I
> > somewhat object to his assigning my name to the "Karnish System" (it has
> > become a bastardized off-shot of my work), I still believe that there is a
> > lot of merit to aspects of his work. The "Karnish System" has become the
> > moniker for systems (along the front range of Colorado) that
> stochastically
> > smoothes a momentum oscillator that initiates buy and sell signals using
> > symmetrical triggers.
> >
> >
> >
> > I neither want to endorse, defend or criticize Dave's work...but, offer
> > this for group members to stimulate thought.
> >
> >
> >
> > Take care,
> >
> >
> >
> > Steve
> >
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 2
> > Date: Wed, 8 Oct 2003 21:12:14 -0400
> > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > Subject: FW: Optimize/OverOptimize
> >
> > [other reply to my questions, from Dave Chamness. - dave merrill]
> >
> > -----Original Message-----
> > From: David Chamness
> > Subject: Re: Optimize/OverOptimize
> >
> >
> > It's OK to post my replies.
> >
> > Equities may trade based on a specialist, or a small group of frequent
> > traders, in effect market makers. Change the group and price behavior may
> > change. Try to find a system for GE. You may have better luck with a
> > smaller stock.
> >
> > Commodities are traded by many people who do not need to make a profit,
> such
> > as hedgers and governments. Currencies and interest rates trend because
> > Alan Greenspan does not want to look like an idiot jacking rates up and
> down
> > in a random walk. So he lowers interest rates repeatedly until he is
> done.
> >
> > Personally, I trade commodities, but I keep searching for stock systems.
> >
> > Dave
> > ----- Original Message -----
> > From: dave merrill
> > Subject: RE: Optimize/OverOptimize
> >
> >
> > thanks for clarifying, much appreciated. is it ok w you if I forward
> your
> > reply(ies)to the AmiBroker group where steve posted your original? let me
> > know.
> >
> > one area intrigues me still:
> >
> > if we do find a market where a simple rule set works well, why would you
> > think that's so? because of some inherent property of the stock itself
> that
> > makes it non-random, different from other issues where that rule fails? or
> > is it another random walk phenomenon, unlikely to persist at all? if
> that's
> > so, it seems completely pointless to trade equities at all, no different
> > from gambling.
> >
> > why do you think commodities act differently? because prices respond
> more
> > to real-world changes (supply/demand and factors that influence it, etc)
> > than to the raw emotionality that seems to drive equities? if so, that
> > implies we should look to fundamentals for more non-random trends in
> > equities, but not much in that dimension except news spikes seems to drive
> > valuation very much. how do we resolve this apparent lack of perceivable
> > order, other than trading commodities instead?
> >
> > thanks again for your thoughts, very interesting.
> >
> > Dave Merrill
> >
> > Answers are in the text below. Contrary to Steve's statement, I have
> > only one degree, BS Mechanical Engineering.
> >
> > Dave Chamness
> >
> > -----Original Message-----
> > From: Dave Merrill [mailto:dmerrill@xxxxxxx]
> > Sent: Monday, September 29, 2003 12:32 PM
> > To: dec@xxxxxxxx
> > Subject: Optimize/OverOptimize
> >
> >
> >
> > Dave, I hope it's ok to contact you on this. steve karnish posted a
> > presentation of yours on optimization that I found very interesting,
> though
> > I'm afraid I don't get all of it. this is a topic I'm thinking about
> pretty
> > much constantly these days, with quite a bit of accompanying frustration.
> > IMVHO, most of the world gives way too much weight to optimizations that
> > seem like curve fitting to me, but I haven't figured out how to move
> beyond
> > that.
> >
> >
> >
> > a couple of questions, if I might:
> >
> >
> >
> > - can you explain the scatter plots on slides 3 and 4? what exactly is
> > plotted on x and y? the punch line, which I'm too ignorant to see, is that
> > the system fails with out of sample data. the one part I understand, I
> > think, is that the correlation coefficient, presumably between in and out
> of
> > sample results, is poor. is that right? how does the plot itself show
> this?
> >
> >
> >
> > They show the In-Sample gain as % of perfect trading on the x axis
> > versus the out of sample gain on the y axis. Each data point is a
> separate
> > stock with a separate system. In sample gains were 15% of perfect on
> > average. Out of sample were near zero on average. Perfect trading wins
> all
> > close to close changes. There are 2 years in and out of sample.
> >
> >
> >
> > - slide 24 mentions "Trend Following on Commodities", as "100 day
> > lookback, trade 34% before breakout". I don't understand what this means.
> > something about MA or EMA(100), maybe, but what's the 34% piece? how does
> it
> > get around the parameter settings limitations that sink other systems? is
> > this method, or something based on related principles, tradeable in stocks
> > and/or mutual funds?
> >
> >
> >
> > Breakout buys a new high, sells a new low. Near Breakout trades
> sooner.
> > 34% before breakout buys in the top third of the 100 day high-low range,
> > sells in the bottom third. Specifically, the 34% means 34% of the
> high-low
> > range.
> >
> >
> >
> > - how would I compute the daily standard deviation of the S&P500, in
> > AmiBroker for instance, in a way that gives the same .95%/day figure you
> > mention? is that the average std dev of daily close price change over some
> > specific period of time? I ask so I can generate comparable figures for
> > other markets.
> >
> >
> >
> > Compute the standard deviation of all the close to close changes.
> >
> >
> >
> >
> > - the parameters I get optimizing today compensate for transient
> market
> > behaviors that will eventually end, and eventually it will do very poorly.
> > but if those behaviors persist, at least somewhat, for a little while,
> might
> > the system to do better than average in the short term? if so, is constant
> > re-optimization worth exploring, or even switching whole trading systems
> in
> > a mechanical way based on recent performance?
> >
> >
> >
> > I find little tendency for trading systems to work in the future. Try
> > to identify a simple nonrandomness. Try to find markets that simple
> systems
> > work on. Don't pick an impossible market like S&P 500 and try to fit a
> > complex bunch of rules to it.
> >
> >
> >
> > Commodities have long term trends. Stocks show short term 2-10 day
> > reversals.
> >
> >
> >
> > thanks again for writing and sharing this. makes me wish I lived
> > somewhere near the meetings you haunt...
> >
> >
> >
> > dave
> >
> > Dave is an Agilent, triple-degreed, engineer. Two weeks ago, he
> > presented this work to our Denver Trading Group's weekly meeting
> (actually,
> > this group meets every Thursday and most Saturday's). Once a month, I
> > moderate a SIG on mechanical trading (and I haven't seen less than eighty
> > people in the room since I've been attending).
> >
> >
> >
> > Although, I don't agree with certain aspects of his presentation and
> I
> > somewhat object to his assigning my name to the "Karnish System" (it has
> > become a bastardized off-shot of my work), I still believe that there is a
> > lot of merit to aspects of his work. The "Karnish System" has become the
> > moniker for systems (along the front range of Colorado) that
> stochastically
> > smoothes a momentum oscillator that initiates buy and sell signals using
> > symmetrical triggers.
> >
> >
> >
> > I neither want to endorse, defend or criticize Dave's work...but,
> > offer this for group members to stimulate thought.
> >
> >
> >
> > Take care,
> >
> >
> >
> > Steve
> >
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 3
> > Date: Thu, 9 Oct 2003 10:39:48 +0900
> > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > Subject: OT Forex for the sublimely naive
> >
> > A recent thread here has seemed to suggest that Forex trading is
> > somehow easier or less risky or more profitable than other forms of
> > trading. Most of you on this list know that to be largely poppycock,
> > and can probably hit the 'delete' button right about now. This
> > message is only for those tempted to buy into such claims, or for
> > those with memories that don't go back very far.
> >
> > First of all, to address the claim that you cannot lose more than
> > your investment in Forex trading: Pure, unadulterated horse hockey.
> >
> > I'm sorry to be the bearer of bad news, but I am positive that you
> > can lose more than your initial investment on ANY leveraged play. I
> > am 100 percent positive that if you look at the fine print on your
> > brokerage contract, you will see something along the order of: "will
> > **attempt** to liquidate your position should your equity value
> > suddenly break certain levels", zero being the last ditch, they will
> > first have a level for a "margin call" and another level for a
> > liquidation below that. Note however, that it will NOT always be
> > possible to get you out at a price that ensures you do not experience
> > negative equity, and further note that your brokerage does NOT for
> > one hot second intend to take a hit on a position you created if it
> > goes against you so suddenly that your equity becomes negative.
> > Believe me, they intend to come after you for the balance; I'm *sure*
> > it's in the fine-print of your contract (if not the bold-print); and
> > yes you CAN lose your house. Will you lose it? Probably not. But
> > you can, or at least you can take a hit far in excess of what you
> > planned to risk, and you should not be deceived about that. Enough
> > said on that.
> >
> > Next, the joys and perils of leverage:
> >
> > It is, as most of you know, a very sharp double-edged sword. When
> > you are right, it is a gains multiplier. When you are wrong however,
> > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is no
> > way I know of to have the potential for huge gains, without also
> > having the potential for huge losses. Anyone who suggests otherwise
> > is either sublimely naive or has an agenda, IMNSHO.
> >
> > Finally, a bit of a historical note:
> >
> > I have been around for some unreal yen/dollar moves. I have seen the
> > trends reverse on a dime, with explosions in the other direction that
> > will rattle your teeth and turn your position to ashes, especially a
> > leveraged position. Take a look for example (and this is a rather
> > mild one) at the "trending move" in late 2001 that took the yen from
> > about 120 up to about 135 very suddenly. Then look at the yen at 120
> > 6 months later going the other way. These things are just as tricky
> > to time as stocks or futures or you name it. They are not one bit
> > "easier", and if they were, so many sharp people would immediately
> > come into the market that any "easiness" would soon vanish as the
> > sharpies started dueling with each other. Do not be deceived about
> > this for one second.
> >
> > None of this is a plea to avoid the currency markets. They can be
> > traded, and they can be traded successfully. They are not casinos
> > where the odds have been turned in favor of the players, however.
> > They are dangerous places where very sharp people hang out, people
> > (not to mention central banks that can print fiat currency at will)
> > with REAL CASH in quantities that can OVERWHELM your puny little
> > high-leverage position. They are just waiting for you to make a tiny
> > little mistake, believe me. Keep that in mind, and you can probably
> > play (somewhat) safely.
> >
> > Okay, I said my piece. Back to work everyone. ^_^
> >
> > Yuki
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 4
> > Date: Thu, 09 Oct 2003 12:04:43 +1000
> > From: "Michael.S.G." <OzFalcon@xxxxxxxx>
> > Subject: sublimely naive? Manual Stock Sorting.
> >
> > Im looking to do a double tiered manual sort from my AA report.
> >
> > Quite simply, I wisthto sort by ticker, Then have each ticker entry sorted
> > bydate.
> >
> > I'd rather not export into excel and multi sort that way.
> > Has anyone got a workaround or some info I have possibly missed on doing
> this?
> >
> > Here is a snapshot of what I'd like to sort. Highlighted lines - as you
> can
> > see, are not sorted by date.
> >
> > All The Best
> > Michael.
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 5
> > Date: Thu, 09 Oct 2003 02:03:37 -0000
> > From: "jtelang" <jtelang@xxxxxxxxx>
> > Subject: Re: FW: Optimize/OverOptimize
> >
> > Dave, if this thread goes on for ever, YOU will be the one to
> > blame. :-) Here! I'll help you completely open the can of worms that
> > you're attempting to open. :-P
> >
> > IMO, most, but not all, attempts to optimize are based on flawed
> > logic. I'll present myself as an example, which should rhyme with
> > most novice traders. A typical wanna-be trader reads Dr. Elder's
> > book. Then he/she tries to implement it. Of course, Dr. Elder, like
> > many other "experts", never offers a completely working system,
> > although the book offers, like many other books, good concepts well
> > understood by practically reading any other trading related book if
> > you have even half the brains of what it'd take for you to survive in
> > this jungle. Instead, just concepts. Now here, substitute YOUR
> > favorite book for Dr. Elder's book. Same thing applies.
> >
> > So its upto me, an average person, to derive a profitable system from
> > his concepts. Hmmm... What are the odds of that happening? After all,
> > HE had to resort to selling stuff to other traders to make a living
> > himself. Call me fanatically skeptical, but I find it funny how that
> > works.
> >
> > Now, you are thinking... What does this have to do with optimization?
> > It does, a lot. Because optimization, IMHO, is an attempt to make an
> > unproven logic work with the past data you have. Read that definition
> > again. That's all it is. At least, its a good thing that the base
> > concept is not "completely" random, if you read a book or two. But
> > nonetheless, its true. You start with a concept that you "think" will
> > work, then it doesn't, then you tweak it a little bit, it still
> > doesn't work, and then you finally turn to the software to tweak it
> > to death to make it work with the past data, a la optimization.
> >
> > Think about it this way, if someone could become the greatest stock
> > trader just by optimizing a concept on the past data, wouldn't we
> > have heard about him/her by this time? That itself should answer your
> > original question.
> >
> > IMHO, one should have a "sound" strategy in the first place. A sound
> > strategy should take into account ALL factors that the great traders
> > of the past have known to take into consideration. Bounce it around a
> > few people, if you're not sure that its sound. And THEN you can
> > optimize it a LITTLE BIT, and THAT is ok.
> >
> > All of this of course, is IMHO, a novice trader. I'm all for getting
> > flamed by someone who is actually making tons of money just by
> > optimizing an original strategy that didn't work prior to the
> > optimization. May be I'll learn something.
> >
> > And if not ualready nderstood, no offense meant to ANYONE. Neither
> > people who optimize, nor people who are fans of Dr. Elder. Direct all
> > flames at Dave. :-)
> >
> > Jitu
> >
> > PS: A family emergency will prevent me from replying to this for
> > couple of days, but I will follow it up as soon as I get a chance.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > > [other reply to my questions, from Dave Chamness. - dave merrill]
> > >
> > > -----Original Message-----
> > > From: David Chamness
> > > Subject: Re: Optimize/OverOptimize
> > >
> > >
> > > It's OK to post my replies.
> > >
> > > Equities may trade based on a specialist, or a small group of
> > frequent
> > > traders, in effect market makers. Change the group and price
> > behavior may
> > > change. Try to find a system for GE. You may have better luck
> > with a
> > > smaller stock.
> > >
> > > Commodities are traded by many people who do not need to make a
> > profit, such
> > > as hedgers and governments. Currencies and interest rates trend
> > because
> > > Alan Greenspan does not want to look like an idiot jacking rates up
> > and down
> > > in a random walk. So he lowers interest rates repeatedly until he
> > is done.
> > >
> > > Personally, I trade commodities, but I keep searching for stock
> > systems.
> > >
> > > Dave
> > > ----- Original Message -----
> > > From: dave merrill
> > > Subject: RE: Optimize/OverOptimize
> > >
> > >
> > > thanks for clarifying, much appreciated. is it ok w you if I
> > forward your
> > > reply(ies)to the AmiBroker group where steve posted your original?
> > let me
> > > know.
> > >
> > > one area intrigues me still:
> > >
> > > if we do find a market where a simple rule set works well, why
> > would you
> > > think that's so? because of some inherent property of the stock
> > itself that
> > > makes it non-random, different from other issues where that rule
> > fails? or
> > > is it another random walk phenomenon, unlikely to persist at all?
> > if that's
> > > so, it seems completely pointless to trade equities at all, no
> > different
> > > from gambling.
> > >
> > > why do you think commodities act differently? because prices
> > respond more
> > > to real-world changes (supply/demand and factors that influence it,
> > etc)
> > > than to the raw emotionality that seems to drive equities? if so,
> > that
> > > implies we should look to fundamentals for more non-random trends in
> > > equities, but not much in that dimension except news spikes seems
> > to drive
> > > valuation very much. how do we resolve this apparent lack of
> > perceivable
> > > order, other than trading commodities instead?
> > >
> > > thanks again for your thoughts, very interesting.
> > >
> > > Dave Merrill
> > >
> > > Answers are in the text below. Contrary to Steve's statement,
> > I have
> > > only one degree, BS Mechanical Engineering.
> > >
> > > Dave Chamness
> > >
> > > -----Original Message-----
> > > From: Dave Merrill [mailto:dmerrill@x...]
> > > Sent: Monday, September 29, 2003 12:32 PM
> > > To: dec@xxxx
> > > Subject: Optimize/OverOptimize
> > >
> > >
> > >
> > > Dave, I hope it's ok to contact you on this. steve karnish
> > posted a
> > > presentation of yours on optimization that I found very
> > interesting, though
> > > I'm afraid I don't get all of it. this is a topic I'm thinking
> > about pretty
> > > much constantly these days, with quite a bit of accompanying
> > frustration.
> > > IMVHO, most of the world gives way too much weight to optimizations
> > that
> > > seem like curve fitting to me, but I haven't figured out how to
> > move beyond
> > > that.
> > >
> > >
> > >
> > > a couple of questions, if I might:
> > >
> > >
> > >
> > > - can you explain the scatter plots on slides 3 and 4? what
> > exactly is
> > > plotted on x and y? the punch line, which I'm too ignorant to see,
> > is that
> > > the system fails with out of sample data. the one part I
> > understand, I
> > > think, is that the correlation coefficient, presumably between in
> > and out of
> > > sample results, is poor. is that right? how does the plot itself
> > show this?
> > >
> > >
> > >
> > > They show the In-Sample gain as % of perfect trading on the x
> > axis
> > > versus the out of sample gain on the y axis. Each data point is a
> > separate
> > > stock with a separate system. In sample gains were 15% of perfect
> > on
> > > average. Out of sample were near zero on average. Perfect trading
> > wins all
> > > close to close changes. There are 2 years in and out of sample.
> > >
> > >
> > >
> > > - slide 24 mentions "Trend Following on Commodities", as "100
> > day
> > > lookback, trade 34% before breakout". I don't understand what this
> > means.
> > > something about MA or EMA(100), maybe, but what's the 34% piece?
> > how does it
> > > get around the parameter settings limitations that sink other
> > systems? is
> > > this method, or something based on related principles, tradeable in
> > stocks
> > > and/or mutual funds?
> > >
> > >
> > >
> > > Breakout buys a new high, sells a new low. Near Breakout
> > trades sooner.
> > > 34% before breakout buys in the top third of the 100 day high-low
> > range,
> > > sells in the bottom third. Specifically, the 34% means 34% of the
> > high-low
> > > range.
> > >
> > >
> > >
> > > - how would I compute the daily standard deviation of the
> > S&P500, in
> > > AmiBroker for instance, in a way that gives the same .95%/day
> > figure you
> > > mention? is that the average std dev of daily close price change
> > over some
> > > specific period of time? I ask so I can generate comparable figures
> > for
> > > other markets.
> > >
> > >
> > >
> > > Compute the standard deviation of all the close to close
> > changes.
> > >
> > >
> > >
> > >
> > > - the parameters I get optimizing today compensate for
> > transient market
> > > behaviors that will eventually end, and eventually it will do very
> > poorly.
> > > but if those behaviors persist, at least somewhat, for a little
> > while, might
> > > the system to do better than average in the short term? if so, is
> > constant
> > > re-optimization worth exploring, or even switching whole trading
> > systems in
> > > a mechanical way based on recent performance?
> > >
> > >
> > >
> > > I find little tendency for trading systems to work in the
> > future. Try
> > > to identify a simple nonrandomness. Try to find markets that
> > simple systems
> > > work on. Don't pick an impossible market like S&P 500 and try to
> > fit a
> > > complex bunch of rules to it.
> > >
> > >
> > >
> > > Commodities have long term trends. Stocks show short term 2-10
> > day
> > > reversals.
> > >
> > >
> > >
> > > thanks again for writing and sharing this. makes me wish I lived
> > > somewhere near the meetings you haunt...
> > >
> > >
> > >
> > > dave
> > >
> > > Dave is an Agilent, triple-degreed, engineer. Two weeks ago,
> > he
> > > presented this work to our Denver Trading Group's weekly meeting
> > (actually,
> > > this group meets every Thursday and most Saturday's). Once a
> > month, I
> > > moderate a SIG on mechanical trading (and I haven't seen less than
> > eighty
> > > people in the room since I've been attending).
> > >
> > >
> > >
> > > Although, I don't agree with certain aspects of his
> > presentation and I
> > > somewhat object to his assigning my name to the "Karnish System"
> > (it has
> > > become a bastardized off-shot of my work), I still believe that
> > there is a
> > > lot of merit to aspects of his work. The "Karnish System" has
> > become the
> > > moniker for systems (along the front range of Colorado) that
> > stochastically
> > > smoothes a momentum oscillator that initiates buy and sell signals
> > using
> > > symmetrical triggers.
> > >
> > >
> > >
> > > I neither want to endorse, defend or criticize Dave's
> > work...but,
> > > offer this for group members to stimulate thought.
> > >
> > >
> > >
> > > Take care,
> > >
> > >
> > >
> > > Steve
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 6
> > Date: Thu, 09 Oct 2003 02:04:27 -0000
> > From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
> > Subject: New ESignal plugin/Quotes
> >
> > Hi,
> >
> > I've installed the new ESignal plugin. It is indeed very fast.
> >
> > I have a couple of questions -- when I do a scan in RT, is there a
> > way to limit the amount of data the plugin backfills when you have
> > the box checked to wait for backfill? I reduced the number of quotes
> > in the database settings, but the first pass through my list still
> > seems to be very slow due to the number of quotes it is retrieving.
> >
> > Also, does the new plugin change the status of getting a quote for a
> > loaded stock -- i.e. the ability to get the current vs. most recently
> > accessed quote?
> >
> > Thanks,
> >
> > Gordon
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 7
> > Date: Thu, 09 Oct 2003 02:07:40 -0000
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > Subject: Re: OT Forex for the sublimely naive
> >
> > Hi,
> >
> > >
> > > First of all, to address the claim that you cannot lose more than
> > > your investment in Forex trading: Pure, unadulterated horse hockey.
> > >
> > > I'm sorry to be the bearer of bad news, but I am positive that you
> > > can lose more than your initial investment on ANY leveraged play. I
> > > am 100 percent positive that if you look at the fine print on your
> > > brokerage contract, you will see something along the order of: "will
> > > **attempt** to liquidate your position should your equity value
> > > suddenly break certain levels", zero being the last ditch, they will
> > > first have a level for a "margin call" and another level for a
> > > liquidation below that. Note however, that it will NOT always be
> > > possible to get you out at a price that ensures you do not
> > experience
> > > negative equity, and further note that your brokerage does NOT for
> > > one hot second intend to take a hit on a position you created if it
> > > goes against you so suddenly that your equity becomes negative.
> > > Believe me, they intend to come after you for the balance; I'm
> > *sure*
> > > it's in the fine-print of your contract (if not the bold-print); and
> > > yes you CAN lose your house. Will you lose it? Probably not. But
> > > you can, or at least you can take a hit far in excess of what you
> > > planned to risk, and you should not be deceived about that. Enough
> > > said on that.
> >
> > Your broker does not take you out of the market, but the trading
> > platform software does. It takes you out (closes all positions) when
> > you do not have sufficient margin (Guaranteed, rest assured).
> >
> > >
> > > Next, the joys and perils of leverage:
> > >
> > > It is, as most of you know, a very sharp double-edged sword. When
> > > you are right, it is a gains multiplier. When you are wrong
> > however,
> > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is no
> > > way I know of to have the potential for huge gains, without also
> > > having the potential for huge losses. Anyone who suggests otherwise
> > > is either sublimely naive or has an agenda, IMNSHO.
> >
> > Sometimes, you have to have narrow stops, sometimes wide stops and
> > sometimes no stops (combine options with the straight underlying
> > instrument) to Cut losses short and Let profits run.
> >
> > >
> > > Finally, a bit of a historical note:
> > >
> > > I have been around for some unreal yen/dollar moves. I have seen
> > the
> > > trends reverse on a dime, with explosions in the other direction
> > that
> > > will rattle your teeth and turn your position to ashes, especially a
> > > leveraged position. Take a look for example (and this is a rather
> > > mild one) at the "trending move" in late 2001 that took the yen from
> > > about 120 up to about 135 very suddenly. Then look at the yen at
> > 120
> > > 6 months later going the other way. These things are just as tricky
> > > to time as stocks or futures or you name it. They are not one bit
> > > "easier", and if they were, so many sharp people would immediately
> > > come into the market that any "easiness" would soon vanish as the
> > > sharpies started dueling with each other. Do not be deceived about
> > > this for one second.
> > >
> > > None of this is a plea to avoid the currency markets. They can be
> > > traded, and they can be traded successfully. They are not casinos
> > > where the odds have been turned in favor of the players, however.
> > > They are dangerous places where very sharp people hang out, people
> > > (not to mention central banks that can print fiat currency at will)
> > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > high-leverage position. They are just waiting for you to make a
> > tiny
> > > little mistake, believe me. Keep that in mind, and you can probably
> > > play (somewhat) safely.
> > >
> > > Okay, I said my piece. Back to work everyone. ^_^
> > >
> > > Yuki
> >
> > Well, I don't just trade because I'm smart, but because I'm the
> > smartest man in the world... That is exactly what you say every time
> > you buy and sell; You are calling the whole world a fool, every time
> > you buy and sell... That you bought or sold the underlying
> > instrument (whether stocks, bonds or futures or FOREX) before
> > everybody else did... Trading is the most ARROGANT thing a human
> > being can do... If you want to make money trading, don't be just
> > arrogant, be smart too...
> >
> > Regards,
> >
> > Pal
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 8
> > Date: Wed, 8 Oct 2003 22:21:41 -0600
> > From: "Mr Valley" <valleymj@xxxxxxxxxxx>
> > Subject: Test = 0
> >
> > Has anyone code 1st and 2nd Derivative tests of Close in AFL?
> >
> > i.e. where second derivative = 0
> >
> > Thanks for any help in advance...
> >
> > Mr. Valley
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 9
> > Date: Thu, 9 Oct 2003 10:32:21 +0800
> > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > Subject: RE: sublimely naive? Manual Stock Sorting.
> >
> > You could try a double entry for a column, example
> > AddTextColumn(Name()+" "+Date(),"");
> >
> > Cheers,
> > Graham
> > http://groups.msn.com/ASXShareTrading
> > http://groups.msn.com/FMSAustralia
> >
> >
> > -----Original Message-----
> > From: Michael.S.G. [mailto:OzFalcon@xxxxxxxx]
> > Sent: Thursday, 9 October 2003 10:05 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] sublimely naive? Manual Stock Sorting.
> >
> >
> > Im looking to do a double tiered manual sort from my AA report.
> >
> > Quite simply, I wisthto sort by ticker, Then have each ticker entry sorted
> > bydate.
> >
> > I'd rather not export into excel and multi sort that way.
> > Has anyone got a workaround or some info I have possibly missed on doing
> > this?
> >
> > Here is a snapshot of what I'd like to sort. Highlighted lines - as you
> can
> > see, are not sorted by date.
> >
> > All The Best
> > Michael.
> >
> > 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/
> >
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 10
> > Date: Thu, 9 Oct 2003 11:47:34 +0900
> > From: Yuki Taga <yukitaga@xxxxxxxxxxxxx>
> > Subject: Re: Re: OT Forex for the sublimely naive
> >
> > Hi palsanand,
> >
> > Thursday, October 9, 2003, 11:07:40 AM, you wrote:
> >
> > p> Well, I don't just trade because I'm smart, but because I'm the
> > p> smartest man in the world... That is exactly what you say every time
> > p> you buy and sell; You are calling the whole world a fool, every time
> > p> you buy and sell... That you bought or sold the underlying
> > p> instrument (whether stocks, bonds or futures or FOREX) before
> > p> everybody else did... Trading is the most ARROGANT thing a human
> > p> being can do... If you want to make money trading, don't be just
> > p> arrogant, be smart too...
> >
> > p> Regards,
> >
> > Wow, do we ever approach this from completely opposite attitudes. ^_^
> >
> > I assume every position I take is the stupidest thing I've ever done
> > in my life. I am positive that there is some critical piece of the
> > puzzle that everyone else sees, which I alone have failed to notice.
> > I am very sure that every player in the market knows more than I do,
> > and in fact may be a blood relative of the CEO of the company I'm
> > buying or selling, and is right now casually reading over surprise
> > financial data due to be released tomorrow that are not yet public.
> > If I traded Forex in any size or frequency, I'd be sure the Treasury
> > Department, the Ministry of Finance, and the BoJ would check the size
> > and vulnerability of my account before making startling policy
> > pronouncements. ^^_^^
> >
> > Good luck with that feeling you have. I've known some people who
> > *used* to be in this business, who felt like that. Some of them even
> > did real well . . . for a while. ^_-
> >
> > Yuki
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 11
> > Date: Wed, 8 Oct 2003 21:03:03 -0600
> > From: "CedarCreekTrading" <kernish@xxxxxxxxxxxx>
> > Subject: Re: Re: OT Forex for the sublimely naive
> >
> > You are calling the whole world a fool, every time
> > you buy and sell...
> >
> > Pal,
> >
> > I have a different opinion:
> >
> > The symbol of all relationships among such men, the moral symbol of
> respect for human beings, is the trader. We, who live by values, not by
> loot, are traders, both in manner and spirit. A trader is a man who earns
> what he gets and does not give or take the undeserved. A trader does not
> ask to be paid for his failure, he does not ask to be loved for his flaws.
> A trader does not squander his body as fodder, or his soul as alms. Just as
> he does not give his work except in trade for material values, so he does
> not give the values of his spirit -- his love, his friendship, his esteem -
> except in payment and in trade for human virtue, in payment for his own
> selfish pleasure, which he receives from men he can respect. The mystic
> parasites who have, throughout the ages, reviled the trader and held him in
> contempt, while honoring beggars and looters, have known the secret motive
> of their sneers: a trader is an entity they dread - a man of justice.
> >
> > Ayn Rand
> > ----- Original Message -----
> > From: palsanand
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, October 08, 2003 8:07 PM
> > Subject: [amibroker] Re: OT Forex for the sublimely naive
> >
> >
> > Hi,
> >
> > >
> > > First of all, to address the claim that you cannot lose more than
> > > your investment in Forex trading: Pure, unadulterated horse hockey.
> > >
> > > I'm sorry to be the bearer of bad news, but I am positive that you
> > > can lose more than your initial investment on ANY leveraged play. I
> > > am 100 percent positive that if you look at the fine print on your
> > > brokerage contract, you will see something along the order of: "will
> > > **attempt** to liquidate your position should your equity value
> > > suddenly break certain levels", zero being the last ditch, they will
> > > first have a level for a "margin call" and another level for a
> > > liquidation below that. Note however, that it will NOT always be
> > > possible to get you out at a price that ensures you do not
> > experience
> > > negative equity, and further note that your brokerage does NOT for
> > > one hot second intend to take a hit on a position you created if it
> > > goes against you so suddenly that your equity becomes negative.
> > > Believe me, they intend to come after you for the balance; I'm
> > *sure*
> > > it's in the fine-print of your contract (if not the bold-print); and
> > > yes you CAN lose your house. Will you lose it? Probably not. But
> > > you can, or at least you can take a hit far in excess of what you
> > > planned to risk, and you should not be deceived about that. Enough
> > > said on that.
> >
> > Your broker does not take you out of the market, but the trading
> > platform software does. It takes you out (closes all positions) when
> > you do not have sufficient margin (Guaranteed, rest assured).
> >
> > >
> > > Next, the joys and perils of leverage:
> > >
> > > It is, as most of you know, a very sharp double-edged sword. When
> > > you are right, it is a gains multiplier. When you are wrong
> > however,
> > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is no
> > > way I know of to have the potential for huge gains, without also
> > > having the potential for huge losses. Anyone who suggests otherwise
> > > is either sublimely naive or has an agenda, IMNSHO.
> >
> > Sometimes, you have to have narrow stops, sometimes wide stops and
> > sometimes no stops (combine options with the straight underlying
> > instrument) to Cut losses short and Let profits run.
> >
> > >
> > > Finally, a bit of a historical note:
> > >
> > > I have been around for some unreal yen/dollar moves. I have seen
> > the
> > > trends reverse on a dime, with explosions in the other direction
> > that
> > > will rattle your teeth and turn your position to ashes, especially a
> > > leveraged position. Take a look for example (and this is a rather
> > > mild one) at the "trending move" in late 2001 that took the yen from
> > > about 120 up to about 135 very suddenly. Then look at the yen at
> > 120
> > > 6 months later going the other way. These things are just as tricky
> > > to time as stocks or futures or you name it. They are not one bit
> > > "easier", and if they were, so many sharp people would immediately
> > > come into the market that any "easiness" would soon vanish as the
> > > sharpies started dueling with each other. Do not be deceived about
> > > this for one second.
> > >
> > > None of this is a plea to avoid the currency markets. They can be
> > > traded, and they can be traded successfully. They are not casinos
> > > where the odds have been turned in favor of the players, however.
> > > They are dangerous places where very sharp people hang out, people
> > > (not to mention central banks that can print fiat currency at will)
> > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > high-leverage position. They are just waiting for you to make a
> > tiny
> > > little mistake, believe me. Keep that in mind, and you can probably
> > > play (somewhat) safely.
> > >
> > > Okay, I said my piece. Back to work everyone. ^_^
> > >
> > > Yuki
> >
> > Well, I don't just trade because I'm smart, but because I'm the
> > smartest man in the world... That is exactly what you say every time
> > you buy and sell; You are calling the whole world a fool, every time
> > you buy and sell... That you bought or sold the underlying
> > instrument (whether stocks, bonds or futures or FOREX) before
> > everybody else did... Trading is the most ARROGANT thing a human
> > being can do... If you want to make money trading, don't be just
> > arrogant, be smart too...
> >
> > Regards,
> >
> > Pal
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> > 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 the Yahoo! Terms of Service.
> >
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 12
> > Date: Thu, 09 Oct 2003 03:03:30 -0000
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > Subject: Re: OT Forex for the sublimely naive
> >
> > Hi,
> >
> > Talking about attitudes, I came upon this today:
> >
> > Market Wizards by Jack Schwager
> > A runaway best-seller and one of the most fascinating books ever
> > written about Wall Street. It contains interviews with 17 legendary
> > traders who reveal that they too once struggled like the rest of us
> > mortals to Keep their heads above water. (458 pgs).
> > What sets these traders apart? Most people think that winning in the
> > markets has something to do with finding the secret formula. The
> > truth is that any common denominator among the traders I interviewed
> > had more to do with attitude than approach. Some of the traders use
> > fundamental analysis exclusively, others employee only technical
> > analysis, and still others combine the two. Some traders operate on a
> > time horizon measured in hours or even minutes, while others
> > typically implement positions that they intend to hold for months or
> > even years. Although the trading methodologies varied widely, the
> > forthcoming interviews reveal certain important commonalties in
> > trading attitudes and principles.
> > Trading provides one of the last great frontiers of opportunities in
> > our economy. It is one of the very few ways in which an individual
> > can start with a relatively small bankroll and actually become a
> > multimillionaire. Of course only a handful of individuals (such as
> > those interviewed here) succeed in turning this feat, but at least
> > the opportunity exists.
> >
> > Regards,
> >
> > Pal
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> > > Hi palsanand,
> > >
> > > Thursday, October 9, 2003, 11:07:40 AM, you wrote:
> > >
> > > p> Well, I don't just trade because I'm smart, but because I'm the
> > > p> smartest man in the world... That is exactly what you say every
> > time
> > > p> you buy and sell; You are calling the whole world a fool, every
> > time
> > > p> you buy and sell... That you bought or sold the underlying
> > > p> instrument (whether stocks, bonds or futures or FOREX) before
> > > p> everybody else did... Trading is the most ARROGANT thing a
> > human
> > > p> being can do... If you want to make money trading, don't be
> > just
> > > p> arrogant, be smart too...
> > >
> > > p> Regards,
> > >
> > > Wow, do we ever approach this from completely opposite attitudes.
> > ^_^
> > >
> > > I assume every position I take is the stupidest thing I've ever done
> > > in my life. I am positive that there is some critical piece of the
> > > puzzle that everyone else sees, which I alone have failed to notice.
> > > I am very sure that every player in the market knows more than I do,
> > > and in fact may be a blood relative of the CEO of the company I'm
> > > buying or selling, and is right now casually reading over surprise
> > > financial data due to be released tomorrow that are not yet public.
> > > If I traded Forex in any size or frequency, I'd be sure the Treasury
> > > Department, the Ministry of Finance, and the BoJ would check the
> > size
> > > and vulnerability of my account before making startling policy
> > > pronouncements. ^^_^^
> > >
> > > Good luck with that feeling you have. I've known some people who
> > > *used* to be in this business, who felt like that. Some of them
> > even
> > > did real well . . . for a while. ^_-
> > >
> > > Yuki
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 13
> > Date: Wed, 8 Oct 2003 20:43:53 -0600
> > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > Subject: Re: Re: FW: Optimize/OverOptimize
> >
> > May be I'll learn something.
> >
> > jtelang,
> >
> > I doubt it...but, pay attention. I don't believe you even have a grasp of
> how the credible people approach their research (of which back and forward
> testing is an important part).
> >
> > Take care,
> >
> > Steve
> > ----- Original Message -----
> > From: jtelang
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, October 08, 2003 8:03 PM
> > Subject: [amibroker] Re: FW: Optimize/OverOptimize
> >
> >
> > Dave, if this thread goes on for ever, YOU will be the one to
> > blame. :-) Here! I'll help you completely open the can of worms that
> > you're attempting to open. :-P
> >
> > IMO, most, but not all, attempts to optimize are based on flawed
> > logic. I'll present myself as an example, which should rhyme with
> > most novice traders. A typical wanna-be trader reads Dr. Elder's
> > book. Then he/she tries to implement it. Of course, Dr. Elder, like
> > many other "experts", never offers a completely working system,
> > although the book offers, like many other books, good concepts well
> > understood by practically reading any other trading related book if
> > you have even half the brains of what it'd take for you to survive in
> > this jungle. Instead, just concepts. Now here, substitute YOUR
> > favorite book for Dr. Elder's book. Same thing applies.
> >
> > So its upto me, an average person, to derive a profitable system from
> > his concepts. Hmmm... What are the odds of that happening? After all,
> > HE had to resort to selling stuff to other traders to make a living
> > himself. Call me fanatically skeptical, but I find it funny how that
> > works.
> >
> > Now, you are thinking... What does this have to do with optimization?
> > It does, a lot. Because optimization, IMHO, is an attempt to make an
> > unproven logic work with the past data you have. Read that definition
> > again. That's all it is. At least, its a good thing that the base
> > concept is not "completely" random, if you read a book or two. But
> > nonetheless, its true. You start with a concept that you "think" will
> > work, then it doesn't, then you tweak it a little bit, it still
> > doesn't work, and then you finally turn to the software to tweak it
> > to death to make it work with the past data, a la optimization.
> >
> > Think about it this way, if someone could become the greatest stock
> > trader just by optimizing a concept on the past data, wouldn't we
> > have heard about him/her by this time? That itself should answer your
> > original question.
> >
> > IMHO, one should have a "sound" strategy in the first place. A sound
> > strategy should take into account ALL factors that the great traders
> > of the past have known to take into consideration. Bounce it around a
> > few people, if you're not sure that its sound. And THEN you can
> > optimize it a LITTLE BIT, and THAT is ok.
> >
> > All of this of course, is IMHO, a novice trader. I'm all for getting
> > flamed by someone who is actually making tons of money just by
> > optimizing an original strategy that didn't work prior to the
> > optimization. May be I'll learn something.
> >
> > And if not ualready nderstood, no offense meant to ANYONE. Neither
> > people who optimize, nor people who are fans of Dr. Elder. Direct all
> > flames at Dave. :-)
> >
> > Jitu
> >
> > PS: A family emergency will prevent me from replying to this for
> > couple of days, but I will follow it up as soon as I get a chance.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > > [other reply to my questions, from Dave Chamness. - dave merrill]
> > >
> > > -----Original Message-----
> > > From: David Chamness
> > > Subject: Re: Optimize/OverOptimize
> > >
> > >
> > > It's OK to post my replies.
> > >
> > > Equities may trade based on a specialist, or a small group of
> > frequent
> > > traders, in effect market makers. Change the group and price
> > behavior may
> > > change. Try to find a system for GE. You may have better luck
> > with a
> > > smaller stock.
> > >
> > > Commodities are traded by many people who do not need to make a
> > profit, such
> > > as hedgers and governments. Currencies and interest rates trend
> > because
> > > Alan Greenspan does not want to look like an idiot jacking rates up
> > and down
> > > in a random walk. So he lowers interest rates repeatedly until he
> > is done.
> > >
> > > Personally, I trade commodities, but I keep searching for stock
> > systems.
> > >
> > > Dave
> > > ----- Original Message -----
> > > From: dave merrill
> > > Subject: RE: Optimize/OverOptimize
> > >
> > >
> > > thanks for clarifying, much appreciated. is it ok w you if I
> > forward your
> > > reply(ies)to the AmiBroker group where steve posted your original?
> > let me
> > > know.
> > >
> > > one area intrigues me still:
> > >
> > > if we do find a market where a simple rule set works well, why
> > would you
> > > think that's so? because of some inherent property of the stock
> > itself that
> > > makes it non-random, different from other issues where that rule
> > fails? or
> > > is it another random walk phenomenon, unlikely to persist at all?
> > if that's
> > > so, it seems completely pointless to trade equities at all, no
> > different
> > > from gambling.
> > >
> > > why do you think commodities act differently? because prices
> > respond more
> > > to real-world changes (supply/demand and factors that influence it,
> > etc)
> > > than to the raw emotionality that seems to drive equities? if so,
> > that
> > > implies we should look to fundamentals for more non-random trends in
> > > equities, but not much in that dimension except news spikes seems
> > to drive
> > > valuation very much. how do we resolve this apparent lack of
> > perceivable
> > > order, other than trading commodities instead?
> > >
> > > thanks again for your thoughts, very interesting.
> > >
> > > Dave Merrill
> > >
> > > Answers are in the text below. Contrary to Steve's statement,
> > I have
> > > only one degree, BS Mechanical Engineering.
> > >
> > > Dave Chamness
> > >
> > > -----Original Message-----
> > > From: Dave Merrill [mailto:dmerrill@x...]
> > > Sent: Monday, September 29, 2003 12:32 PM
> > > To: dec@xxxx
> > > Subject: Optimize/OverOptimize
> > >
> > >
> > >
> > > Dave, I hope it's ok to contact you on this. steve karnish
> > posted a
> > > presentation of yours on optimization that I found very
> > interesting, though
> > > I'm afraid I don't get all of it. this is a topic I'm thinking
> > about pretty
> > > much constantly these days, with quite a bit of accompanying
> > frustration.
> > > IMVHO, most of the world gives way too much weight to optimizations
> > that
> > > seem like curve fitting to me, but I haven't figured out how to
> > move beyond
> > > that.
> > >
> > >
> > >
> > > a couple of questions, if I might:
> > >
> > >
> > >
> > > - can you explain the scatter plots on slides 3 and 4? what
> > exactly is
> > > plotted on x and y? the punch line, which I'm too ignorant to see,
> > is that
> > > the system fails with out of sample data. the one part I
> > understand, I
> > > think, is that the correlation coefficient, presumably between in
> > and out of
> > > sample results, is poor. is that right? how does the plot itself
> > show this?
> > >
> > >
> > >
> > > They show the In-Sample gain as % of perfect trading on the x
> > axis
> > > versus the out of sample gain on the y axis. Each data point is a
> > separate
> > > stock with a separate system. In sample gains were 15% of perfect
> > on
> > > average. Out of sample were near zero on average. Perfect trading
> > wins all
> > > close to close changes. There are 2 years in and out of sample.
> > >
> > >
> > >
> > > - slide 24 mentions "Trend Following on Commodities", as "100
> > day
> > > lookback, trade 34% before breakout". I don't understand what this
> > means.
> > > something about MA or EMA(100), maybe, but what's the 34% piece?
> > how does it
> > > get around the parameter settings limitations that sink other
> > systems? is
> > > this method, or something based on related principles, tradeable in
> > stocks
> > > and/or mutual funds?
> > >
> > >
> > >
> > > Breakout buys a new high, sells a new low. Near Breakout
> > trades sooner.
> > > 34% before breakout buys in the top third of the 100 day high-low
> > range,
> > > sells in the bottom third. Specifically, the 34% means 34% of the
> > high-low
> > > range.
> > >
> > >
> > >
> > > - how would I compute the daily standard deviation of the
> > S&P500, in
> > > AmiBroker for instance, in a way that gives the same .95%/day
> > figure you
> > > mention? is that the average std dev of daily close price change
> > over some
> > > specific period of time? I ask so I can generate comparable figures
> > for
> > > other markets.
> > >
> > >
> > >
> > > Compute the standard deviation of all the close to close
> > changes.
> > >
> > >
> > >
> > >
> > > - the parameters I get optimizing today compensate for
> > transient market
> > > behaviors that will eventually end, and eventually it will do very
> > poorly.
> > > but if those behaviors persist, at least somewhat, for a little
> > while, might
> > > the system to do better than average in the short term? if so, is
> > constant
> > > re-optimization worth exploring, or even switching whole trading
> > systems in
> > > a mechanical way based on recent performance?
> > >
> > >
> > >
> > > I find little tendency for trading systems to work in the
> > future. Try
> > > to identify a simple nonrandomness. Try to find markets that
> > simple systems
> > > work on. Don't pick an impossible market like S&P 500 and try to
> > fit a
> > > complex bunch of rules to it.
> > >
> > >
> > >
> > > Commodities have long term trends. Stocks show short term 2-10
> > day
> > > reversals.
> > >
> > >
> > >
> > > thanks again for writing and sharing this. makes me wish I lived
> > > somewhere near the meetings you haunt...
> > >
> > >
> > >
> > > dave
> > >
> > > Dave is an Agilent, triple-degreed, engineer. Two weeks ago,
> > he
> > > presented this work to our Denver Trading Group's weekly meeting
> > (actually,
> > > this group meets every Thursday and most Saturday's). Once a
> > month, I
> > > moderate a SIG on mechanical trading (and I haven't seen less than
> > eighty
> > > people in the room since I've been attending).
> > >
> > >
> > >
> > > Although, I don't agree with certain aspects of his
> > presentation and I
> > > somewhat object to his assigning my name to the "Karnish System"
> > (it has
> > > become a bastardized off-shot of my work), I still believe that
> > there is a
> > > lot of merit to aspects of his work. The "Karnish System" has
> > become the
> > > moniker for systems (along the front range of Colorado) that
> > stochastically
> > > smoothes a momentum oscillator that initiates buy and sell signals
> > using
> > > symmetrical triggers.
> > >
> > >
> > >
> > > I neither want to endorse, defend or criticize Dave's
> > work...but,
> > > offer this for group members to stimulate thought.
> > >
> > >
> > >
> > > Take care,
> > >
> > >
> > >
> > > Steve
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> > 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 the Yahoo! Terms of Service.
> >
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 14
> > Date: Thu, 09 Oct 2003 03:05:43 -0000
> > From: "aghari" <aghari@xxxxxxxxx>
> > Subject: Entry, Exit and Stop loss on the same bar?
> >
> > Hello
> >
> > I'm backtesting some data I've and wasn't sure about how to setup/use
> > formula to Enter, Exit and also have a stop loss on the same bar
> > (backtesting is done in EOD data). I tried using ApplyStop() with not
> > much success.
> >
> > Is this something that's doable? Any help will be much appreciated.
> >
> > H-
> >
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 15
> > Date: Wed, 8 Oct 2003 20:47:22 -0600
> > From: "CedarCreekTrading" <kernish@xxxxxxxxxxx>
> > Subject: Re: Re: OT Forex for the sublimely naive
> >
> > You are calling the whole world a fool, every time
> > you buy and sell...
> >
> > Pal,
> >
> > I have a different opinion:
> >
> > The symbol of all relationships among such men, the moral symbol of
> respect for human beings, is the trader. We, who live by values, not by
> loot, are traders, both in manner and spirit. A trader is a man who earns
> what he gets and does not give or take the undeserved. A trader does not
> ask to be paid for his failure, he does not ask to be loved for his flaws.
> A trader does not squander his body as fodder, or his soul as alms. Just as
> he does not give his work except in trade for material values, so he does
> not give the values of his spirit -- his love, his friendship, his esteem -
> except in payment and in trade for human virtue, in payment for his own
> selfish pleasure, which he receives from men he can respect. The mystic
> parasites who have, throughout the ages, reviled the trader and held him in
> contempt, while honoring beggars and looters, have known the secret motive
> of their sneers: a trader is an entity they dread - a man of justice.
> >
> > Ayn Rand
> >
> >
> > ----- Original Message -----
> > From: palsanand
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, October 08, 2003 8:07 PM
> > Subject: [amibroker] Re: OT Forex for the sublimely naive
> >
> >
> > Hi,
> >
> > >
> > > First of all, to address the claim that you cannot lose more than
> > > your investment in Forex trading: Pure, unadulterated horse hockey.
> > >
> > > I'm sorry to be the bearer of bad news, but I am positive that you
> > > can lose more than your initial investment on ANY leveraged play. I
> > > am 100 percent positive that if you look at the fine print on your
> > > brokerage contract, you will see something along the order of: "will
> > > **attempt** to liquidate your position should your equity value
> > > suddenly break certain levels", zero being the last ditch, they will
> > > first have a level for a "margin call" and another level for a
> > > liquidation below that. Note however, that it will NOT always be
> > > possible to get you out at a price that ensures you do not
> > experience
> > > negative equity, and further note that your brokerage does NOT for
> > > one hot second intend to take a hit on a position you created if it
> > > goes against you so suddenly that your equity becomes negative.
> > > Believe me, they intend to come after you for the balance; I'm
> > *sure*
> > > it's in the fine-print of your contract (if not the bold-print); and
> > > yes you CAN lose your house. Will you lose it? Probably not. But
> > > you can, or at least you can take a hit far in excess of what you
> > > planned to risk, and you should not be deceived about that. Enough
> > > said on that.
> >
> > Your broker does not take you out of the market, but the trading
> > platform software does. It takes you out (closes all positions) when
> > you do not have sufficient margin (Guaranteed, rest assured).
> >
> > >
> > > Next, the joys and perils of leverage:
> > >
> > > It is, as most of you know, a very sharp double-edged sword. When
> > > you are right, it is a gains multiplier. When you are wrong
> > however,
> > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There is no
> > > way I know of to have the potential for huge gains, without also
> > > having the potential for huge losses. Anyone who suggests otherwise
> > > is either sublimely naive or has an agenda, IMNSHO.
> >
> > Sometimes, you have to have narrow stops, sometimes wide stops and
> > sometimes no stops (combine options with the straight underlying
> > instrument) to Cut losses short and Let profits run.
> >
> > >
> > > Finally, a bit of a historical note:
> > >
> > > I have been around for some unreal yen/dollar moves. I have seen
> > the
> > > trends reverse on a dime, with explosions in the other direction
> > that
> > > will rattle your teeth and turn your position to ashes, especially a
> > > leveraged position. Take a look for example (and this is a rather
> > > mild one) at the "trending move" in late 2001 that took the yen from
> > > about 120 up to about 135 very suddenly. Then look at the yen at
> > 120
> > > 6 months later going the other way. These things are just as tricky
> > > to time as stocks or futures or you name it. They are not one bit
> > > "easier", and if they were, so many sharp people would immediately
> > > come into the market that any "easiness" would soon vanish as the
> > > sharpies started dueling with each other. Do not be deceived about
> > > this for one second.
> > >
> > > None of this is a plea to avoid the currency markets. They can be
> > > traded, and they can be traded successfully. They are not casinos
> > > where the odds have been turned in favor of the players, however.
> > > They are dangerous places where very sharp people hang out, people
> > > (not to mention central banks that can print fiat currency at will)
> > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > high-leverage position. They are just waiting for you to make a
> > tiny
> > > little mistake, believe me. Keep that in mind, and you can probably
> > > play (somewhat) safely.
> > >
> > > Okay, I said my piece. Back to work everyone. ^_^
> > >
> > > Yuki
> >
> > Well, I don't just trade because I'm smart, but because I'm the
> > smartest man in the world... That is exactly what you say every time
> > you buy and sell; You are calling the whole world a fool, every time
> > you buy and sell... That you bought or sold the underlying
> > instrument (whether stocks, bonds or futures or FOREX) before
> > everybody else did... Trading is the most ARROGANT thing a human
> > being can do... If you want to make money trading, don't be just
> > arrogant, be smart too...
> >
> > Regards,
> >
> > Pal
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
> > 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 the Yahoo! Terms of Service.
> >
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 16
> > Date: Thu, 09 Oct 2003 03:19:20 -0000
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > Subject: Re: OT Forex for the sublimely naive
> >
> > Steve,
> >
> > Thanks for reminding me. I'm a great fan of Ayn Rand. I have
> > read "Atlas Shrugged" many times... I have read all of her books...
> > Glad to hear that you have read her books too...
> >
> > I use some of CCT indicators, CCT StochRSI (great indicator). I
> > have recently added the formula some call the Karnish system
> > described in the Optimization seminar... It is useful to me in some
> > circumstances...
> >
> > Regards,
> >
> > Pal
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
> > wrote:
> > > You are calling the whole world a fool, every time
> > > you buy and sell...
> > >
> > > Pal,
> > >
> > > I have a different opinion:
> > >
> > > The symbol of all relationships among such men, the moral symbol of
> > respect for human beings, is the trader. We, who live by values, not
> > by loot, are traders, both in manner and spirit. A trader is a man
> > who earns what he gets and does not give or take the undeserved. A
> > trader does not ask to be paid for his failure, he does not ask to be
> > loved for his flaws. A trader does not squander his body as fodder,
> > or his soul as alms. Just as he does not give his work except in
> > trade for material values, so he does not give the values of his
> > spirit -- his love, his friendship, his esteem - except in payment
> > and in trade for human virtue, in payment for his own selfish
> > pleasure, which he receives from men he can respect. The mystic
> > parasites who have, throughout the ages, reviled the trader and held
> > him in contempt, while honoring beggars and looters, have known the
> > secret motive of their sneers: a trader is an entity they dread - a
> > man of justice.
> > >
> > > Ayn Rand
> > > ----- Original Message -----
> > > From: palsanand
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Wednesday, October 08, 2003 8:07 PM
> > > Subject: [amibroker] Re: OT Forex for the sublimely naive
> > >
> > >
> > > Hi,
> > >
> > > >
> > > > First of all, to address the claim that you cannot lose more
> > than
> > > > your investment in Forex trading: Pure, unadulterated horse
> > hockey.
> > > >
> > > > I'm sorry to be the bearer of bad news, but I am positive that
> > you
> > > > can lose more than your initial investment on ANY leveraged
> > play. I
> > > > am 100 percent positive that if you look at the fine print on
> > your
> > > > brokerage contract, you will see something along the order
> > of: "will
> > > > **attempt** to liquidate your position should your equity value
> > > > suddenly break certain levels", zero being the last ditch, they
> > will
> > > > first have a level for a "margin call" and another level for a
> > > > liquidation below that. Note however, that it will NOT always be
> > > > possible to get you out at a price that ensures you do not
> > > experience
> > > > negative equity, and further note that your brokerage does NOT
> > for
> > > > one hot second intend to take a hit on a position you created
> > if it
> > > > goes against you so suddenly that your equity becomes negative.
> > > > Believe me, they intend to come after you for the balance; I'm
> > > *sure*
> > > > it's in the fine-print of your contract (if not the bold-
> > print); and
> > > > yes you CAN lose your house. Will you lose it? Probably not.
> > But
> > > > you can, or at least you can take a hit far in excess of what
> > you
> > > > planned to risk, and you should not be deceived about that.
> > Enough
> > > > said on that.
> > >
> > > Your broker does not take you out of the market, but the trading
> > > platform software does. It takes you out (closes all positions)
> > when
> > > you do not have sufficient margin (Guaranteed, rest assured).
> > >
> > > >
> > > > Next, the joys and perils of leverage:
> > > >
> > > > It is, as most of you know, a very sharp double-edged sword.
> > When
> > > > you are right, it is a gains multiplier. When you are wrong
> > > however,
> > > > it is a loss multiplier IN EXACTLY THE SAME PROPORTION. There
> > is no
> > > > way I know of to have the potential for huge gains, without also
> > > > having the potential for huge losses. Anyone who suggests
> > otherwise
> > > > is either sublimely naive or has an agenda, IMNSHO.
> > >
> > > Sometimes, you have to have narrow stops, sometimes wide stops
> > and
> > > sometimes no stops (combine options with the straight underlying
> > > instrument) to Cut losses short and Let profits run.
> > >
> > > >
> > > > Finally, a bit of a historical note:
> > > >
> > > > I have been around for some unreal yen/dollar moves. I have
> > seen
> > > the
> > > > trends reverse on a dime, with explosions in the other
> > direction
> > > that
> > > > will rattle your teeth and turn your position to ashes,
> > especially a
> > > > leveraged position. Take a look for example (and this is a
> > rather
> > > > mild one) at the "trending move" in late 2001 that took the yen
> > from
> > > > about 120 up to about 135 very suddenly. Then look at the yen
> > at
> > > 120
> > > > 6 months later going the other way. These things are just as
> > tricky
> > > > to time as stocks or futures or you name it. They are not one
> > bit
> > > > "easier", and if they were, so many sharp people would
> > immediately
> > > > come into the market that any "easiness" would soon vanish as
> > the
> > > > sharpies started dueling with each other. Do not be deceived
> > about
> > > > this for one second.
> > > >
> > > > None of this is a plea to avoid the currency markets. They can
> > be
> > > > traded, and they can be traded successfully. They are not
> > casinos
> > > > where the odds have been turned in favor of the players,
> > however.
> > > > They are dangerous places where very sharp people hang out,
> > people
> > > > (not to mention central banks that can print fiat currency at
> > will)
> > > > with REAL CASH in quantities that can OVERWHELM your puny little
> > > > high-leverage position. They are just waiting for you to make
> > a
> > > tiny
> > > > little mistake, believe me. Keep that in mind, and you can
> > probably
> > > > play (somewhat) safely.
> > > >
> > > > Okay, I said my piece. Back to work everyone. ^_^
> > > >
> > > > Yuki
> > >
> > > Well, I don't just trade because I'm smart, but because I'm the
> > > smartest man in the world... That is exactly what you say every
> > time
> > > you buy and sell; You are calling the whole world a fool, every
> > time
> > > you buy and sell... That you bought or sold the underlying
> > > instrument (whether stocks, bonds or futures or FOREX) before
> > > everybody else did... Trading is the most ARROGANT thing a human
> > > being can do... If you want to make money trading, don't be just
> > > arrogant, be smart too...
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > >
> > > Yahoo! Groups Sponsor
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > 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 the Yahoo! Terms of
> > Service.
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 17
> > Date: Thu, 9 Oct 2003 11:23:10 +0800
> > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > Subject: RE: Entry, Exit and Stop loss on the same bar?
> >
> > In the AA settings, tick the box "allow same bar exit"
> >
> > Cheers,
> > Graham
> > http://groups.msn.com/ASXShareTrading
> > http://groups.msn.com/FMSAustralia
> >
> >
> > -----Original Message-----
> > From: aghari [mailto:aghari@xxxxxxxxx]
> > Sent: Thursday, 9 October 2003 11:06 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Entry, Exit and Stop loss on the same bar?
> >
> >
> > Hello
> >
> > I'm backtesting some data I've and wasn't sure about how to setup/use
> > formula to Enter, Exit and also have a stop loss on the same bar
> > (backtesting is done in EOD data). I tried using ApplyStop() with not much
> > success.
> >
> > Is this something that's doable? Any help will be much appreciated.
> >
> > H-
> >
> >
> >
> >
> > 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/
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 18
> > Date: Wed, 8 Oct 2003 23:57:51 -0400
> > From: "Dave Merrill" <dmerrill@xxxxxxx>
> > Subject: RE: Re: FW: Optimize/OverOptimize
> >
> > 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
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 19
> > Date: Thu, 09 Oct 2003 05:04:51 -0000
> > From: "palsanand" <palsanand@xxxxxxxxx>
> > Subject: Re: FW: Optimize/OverOptimize
> >
> > 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
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 20
> > Date: Thu, 9 Oct 2003 13:37:37 +0800
> > From: "Graham" <gkavanagh@xxxxxxxxxxxxx>
> > Subject: Simplified support resistance levels
> >
> > I have been looking at various ways to chart the support resistance
> elevels,
> > ultimately to incorporate into various trading systems. Having attempted
> > loops and other methods of differing complexity I pulled back to the
> > simplest of forms, price.
> > Now this is probably already shown somewhere, but will share it anyway.
> > Any comments appreciated
> >
> > //SUPPORT & RESISTANCE LEVELS
> > //Graham Kavanagh 9 Oct 2003
> >
> > //Find turning points
> > top = H==HHV(H,3) AND H>=Ref(H,1) AND H>=Ref(H,2);
> > bot = L==LLV(L,3) AND L<=Ref(L,1) AND L<=Ref(L,2);
> >
> > topH = ValueWhen(top,H);
> > botL = ValueWhen(bot,L);
> >
> > //Indicator section
> > GraphXSpace=5;
> > Plot( C, "C", colorLightGrey, styleBar+styleNoLabel );
> > Plot( topH, "res", colorRed, styleDots+styleNoLine );
> > Plot( botL, "sup", colorGreen, styleDots+styleNoLine );
> >
> > Title = Name() + ", " + Date() + ", Support & Resistance Levels Support =
> "
> > + topH + ", Resistance = " + botL ;
> >
> >
> > Cheers,
> > Graham
> > http://groups.msn.com/ASXShareTrading
> > http://groups.msn.com/FMSAustralia
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 21
> > Date: Thu, 09 Oct 2003 05:48:49 -0000
> > From: "Phsst" <phsst@xxxxxxxxx>
> > Subject: Re: FW: Optimize/OverOptimize
> >
> > 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
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 22
> > Date: Thu, 9 Oct 2003 12:36:22 +0300
> > From: "Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>
> > Subject: The Inspection Points and the Hi-pass Filter
> >
> > The
> >
> > Counter=0;
> > for(K=30;K<100;K=K+20)
> > {
> > E1=MA(C,k);
> > CountER=CountER+1;
> > Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);
> > }
> >
> > will plot in IB the group of simple moving averages MA(C,30),
> MA(C,50),MA(C,70) and MA(C,90).
> > My data begins on Jan3, 2000.
> > After some reasonable period the usual indicators are defined and may be
> compared.
> > Let us select as a starting date the end of May2000.
> > START=DateNum()==1000530 ;
> > In T/A studies we use various parameters, not always the same. An MA(C,k)
> may give good results for k=30, but,
> > as the market character changes, k=50 may be more expressive, one year
> later. For this reason we re-optimize
> > parameters from time to time, hoping to see better performance in the
> [unknown] next days/weeks/months/years
> > according to the used timeframe.
> > How about doing this job automatically ?
> > One method is to establish the Inspection Points.
> > For example, the
> >
> > x=101;
> > START=DateNum()==1000530 ;
> > EVENT=BarsSince(START)%x==0;
> > PlotShapes(shapeCircle*EVENT,colorRed);
> >
> > will establish an Inspection [RED] Point every 101 bars after the START
> of May30, 2000.
> > The AFL inspector will check the parameters under his criteria at the
> inspection points, will take a decision and will ask to apply this decision
> until the next inspection.
> > Suppose the criterion is to ride on the highest MA and use this MA for the
> next 101 bars.
> > The procedure should be repeated at all Inspection Points.
> > The reslut will be a variable parameter k with a market feedback every 101
> bars.
> > The Hi-pass filter gives a solution to this request.
> >
> > // A Hi-pass filter at the Inspection Points
> > x=101;// the inspection frequency
> > START=DateNum()==1000530 ;
> > EVENT=BarsSince(START)%x==0;// the inspection event
> > PlotShapes(shapeCircle*EVENT,colorRed);// puts a red dot at the inspection
> points
> > G=0;
> > CountER=0;
> > for(K=30;K<100;K=K+20)
> > {
> > E1=MA(C,k);// the moving average value for the various k
> > E11=ValueWhen(EVENT,E1);// the MA value at the inspection point
> > T11=ValueWhen(EVENT,Cum(1));// the inspection time
> > G=IIf(G>E11,G,E11);
> > CountER=CountER+1;
> > Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);
> > }
> > Plot(G,"\nG",colorBlue,8);// this line remembers the highest MA until the
> next inspection
> > CountER=0;Kpass=0;HIPASS=0;
> > for(K=30;K<100;K=K+20)
> > {
> > E1=MA(C,k);
> > E11=ValueWhen(EVENT,E1);CountER=CountER+1;
> > PASS=IIf(E11==G,E1,0);
> > HIPASS=HIPASS+PASS;
> > K1=IIf(E11==G,K,0);Kpass=Kpass+K1;
> > }
> > Plot(HIPASS,"\nHI-PASS [k="+WriteVal(kpass,1.0)+"]",colorBlack,8);// the
> final Hi-pass line
> > // Plot(Kpass,"Kpass",colorYellow,styleOwnScale);
> > GraphZOrder=0;
> >
> > The code lets the highest MA [at the inspection point] to pass the
> inspection and be in use until the next red dot.
> > In the att. gif, at point P1 the green [90-bar] MA was the highest. The
> Hi-pass [dotted black] line keeps this MA until point
> > P2, no matter if the green line was lower a few days after the inspection
> P1.
> > At P2 the market character has changed to bullish.
> > The 30-bar [white] MA is now the highest and the the new Hi-pass line will
> follow it for the next 101 bars.
> > The blue G line gives the ground level, ie the value of the last
> inspection.
> > You may see easier the final Hi-pass line by changing GraphZOrder=0; to
> GraphZOrder=1;
> > Uncomment the // Plot(Kpass,"Kpass",colorYellow,styleOwnScale); line to
> see the K values in the past history of the stock.
> > The inspection method is objective, free from psychological constraints
> and helps to hold a decision for the next x trading days.
> > [this is more difficult than the code itself !!]
> > The inspection frequency may be fixed or variable .
> > [Since we usually Buy at +1 Open, we may re-inspect before every "Buy"...]
> > One interesting application is the parametric Equity .
> > If we ride on the highest equity line and we have the inspection feedback,
> we may avoid the known dangers of overptimization
> > and make some more low-risk money.
> > Dimitris Tsokakis
> >
> >
> >
> > [This message contained attachments]
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 23
> > Date: Thu, 09 Oct 2003 09:47:29 -0000
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
> > Subject: 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.
> > 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
> >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 24
> > Date: Thu, 9 Oct 2003 12:13:54 +0200
> > From: "Tomasz Janeczko" <amibroker@xxxxxx>
> > Subject: Re: New ESignal plugin/Quotes
> >
> > Hello,
> >
> > 1. When 'wait for backfill' flag is set then plugin always
> > backfills the bars that are missing. Depending on how
> > many bars are missing this will take different amount of time.
> > You have no control over it.
> > You can decrease the time needed by running scan everyday
> > limiting that way the amount of data that need to be retrieved
> > in one run.
> >
> > 2. I don't understand your second question. Please re-phrase.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: "Gordon" <amibroker@xxxxxxxxxxxxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, October 09, 2003 4:04 AM
> > Subject: [amibroker] New ESignal plugin/Quotes
> >
> >
> > > Hi,
> > >
> > > I've installed the new ESignal plugin. It is indeed very fast.
> > >
> > > I have a couple of questions -- when I do a scan in RT, is there a
> > > way to limit the amount of data the plugin backfills when you have
> > > the box checked to wait for backfill? I reduced the number of quotes
> > > in the database settings, but the first pass through my list still
> > > seems to be very slow due to the number of quotes it is retrieving.
> > >
> > > Also, does the new plugin change the status of getting a quote for a
> > > loaded stock -- i.e. the ability to get the current vs. most recently
> > > accessed quote?
> > >
> > > Thanks,
> > >
> > > Gordon
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
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> > >
> > >
> > >
> >
> >
> > ________________________________________________________________________
> > ________________________________________________________________________
> >
> > Message: 25
> > Date: Thu, 9 Oct 2003 19:01:38 +0800
> > From: "don" <donmac63@xxxxxxxxxxxx>
> > Subject: Re: Displaced or Shifted Moving Average
> >
> > Thanks Jayson,
> >
> > Works well.
> > Your guidance is greatly appreciated.
> >
> > Regards
> >
> > Don McKay
> >
> > ----- Original Message -----
> > From: Jayson
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Wednesday, October 08, 2003 10:17 PM
> > Subject: RE: [amibroker] Displaced or Shifted Moving Average
> >
> >
> > Don,
> > have you tried shifting using the ref() function? Something like this
> moves the ma by 5 periods...
> >
> >
> > Plot(C,"",4,64);
> > Plot(MA(C,10),"",4,1);
> > Plot(Ref(MA(C,10),-5),"new",5,1);
> >
> >
> > Regards,
> > Jayson
> > -----Original Message-----
> > From: don [mailto:donmac63@xxxxxxxxxxxx]
> > Sent: Wednesday, October 08, 2003 8:13 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Displaced or Shifted Moving Average
> >
> >
> > Greetings to all,
> >
> > I was wondering if anyone has coded Displaced or Shifted Moving
> Averages?
> >
> >
> > Regards
> >
> > Don McKay
> >
> >
> > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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