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I can't resist,
there are new "dumb" players always entering the market and old "smart" players leaving the market, just from demographics. I think there is always continual opportunity in the markets as a result, we just all strive to be the smart money. But I think the same mistakes get made over and over again in the process. That's why some patterns have worked pretty good over time, such as break out patterns, reversals, etc.
Then there is the Elliot Wave that tries to model this. This isn't some secret order of the universe, this is just the observation that the same human mistakes are being made over and over and being captalized on by smart money.
Same mistakes, different players.....
Kevin Campbell
n a message dated 10/16/03 2:56:48 PM Central Daylight Time, closeks@xxxxxxxx writes:
Howard: What an excellent message; almost better than buying and reading
a textbook on the subject. Thanks for taking the time to compose it and
share.
As far as your last paragraph goes, I do not conclude (as does Dale
(dingo)) that looking at OOS results invalidates the system. It seems
you are saying to not trap yourself by over testing different variables
associated with the IS/OOS test procedure, like period lengths. Perhaps
do a "little" and not effect things a lot; do more and the probability
of success of your system goes down.
What is your opinion on the approach of "ranking" as compared to
"optimization" (of a static system)? Is it likely that ranking systems
have a better chance of staying "inefficient" and thus provide a better
opportunity for profitable trading over a longer period of time?
Would appreciate your thoughts on that.
Tbanks again,
Ken
-----Original Message-----
From: Howard Bandy [mailto:howardbandy@xxxxxxxxx]
Sent: Thursday, October 16, 2003 2:20 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Optimization -- again
Greetings --
In my opinion, anything we do in development of trading systems involves
a
search for a pattern than precedes a profitable trading opportunity.
Any
time we examine the results of alternative systems, we are involved in
searching; and when we select the most promising of those alternatives,
we
are optimizing. Only a system based on truly random entries and exits
would
not be the result some optimization. So the question of "should we
optimize?" is moot -- we have no choice but to optimize. Consequently,
we
should be aware of our optimization techniques.
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