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<BLOCKQUOTE
>
The market changed ? Really ? From what ? Into what
?
<BLOCKQUOTE
><FONT
color=#ff0000>From going up to going down
Was it really doing something it had never done before ? Or
only something that those with a myopic view were saying could never
happen again becuase it was a "NEW ECONOMY" ...
I don't recall saying it had
never happened before. Many of us were just starting out on our investing
career.I found it laughable and tragic at the time that no
matter how much one warned people that the late nineties wouldn't last
forever that they continued over the waterfall in the same barrell
together like so many lemmings rushing off to the sea following a pied
piper.
I sure wish I'd had you to guide
me at that time. It's amazing how many people could see the problems at the
time.--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond"
<steve2@xxxx> wrote:> I'm not sure this idea of profitable
systems 'failing' is actually true. I (along with millions of others) hit
on a superb system in 1998. It was called invest in MSFT, CSCO, DELL and
AOL. (let's call it a momentum system). It worked superbly until about
March 2000. It didn't work after that, but I don't believe it was due to
inefficiencies of the market disappearing. It no longer worked because
the market changed (and the system didn't have the ability to change with
that market). > NOW I can develop systems that work (with
hindsight/data mining/curve fitting) all the way from 1998 to today. Will
they continue to work into the future? Maybe (although judging just by
today, the answer is no....), but I'm fairly sure they have a much
better chance that the MSFT etc. system.> > Steve>
> seems like one corollary of this is that as soon as we
figure out something that appears profitable, we should move quickly,
before its advantage disappears. > > it also
seems like the notions of backtesting and optimization are unlikely to
succeed, even more so the further back you go, since whatever advantages
they indicate have probably already evaporated. unless they just happen to
be recurring again now...> > frankly, it's hard to
see how rational trading system design is possible in a world like this.
or am I just depressed?> >
daveSend
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