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I hate to be silly about this but of course markets do go up and they
do go down, not necessarily in that order and clearly this is one of
those places where the saying, "those that don't learn from history
are doomed to repeat it" is very appropriate and in my view history
contains more then what happened in the last year or three. This is
one of the main reasons I am not a great believer in walk forward
optimization as the system that uses this technique has by definition
decided to ignore a good part of the history that's available. Not a
particularly good idea in my book. Maybe in some very specialized
situations this is okay, but I still believe that the system that can
make sense out of a whole bunch of history at once has a much better
chance of producing the desired results going forward then one that
wants to look at it a piece at a time as if the pieces were in some
way totally unrelated and could be some how described by some fixed
lookback or in sample period of time.
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
>
>
>
> The market changed ? Really ? From what ? Into what ?
> 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?
> >
> > dave
>
>
>
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