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Hi Ken –
Thanks for the kind words. You$B!G(Bll
see my response to Dingo within a message or two of this one.
My opinion is that there is enough
inefficiency in the markets for all of us to live well from our trading
systems. There would be a serious difficulty, and loss of inefficiency,
if we all agreed to trade a small set of markets with similar techniques.
Technical analysis is based on the belief
that several conditions are true.
<span
>The markets we model are sufficiently
inefficient for us to make profit trading them.
<span
>There are patterns in the
record of trades that precede profitable opportunities.
<span
>We can discover those patterns.
<span
>Those patterns will exist long
enough for us to trade them profitably.
You might have seen my posts to this group
and HolyGrailSM related to my thoughts on technical analysis versus fundamental
analysis. One of my observations is that some market segments exhibit
more easily identified and more persistent patterns. I believe that rotational
trading systems, based on rankings as they are in AmiBroker, are very good at
taking advantage of these opportunities.
Will they remain profitable for a longer
period of time? I hope so. I believe so. And I am continuing
to think about what else might work if these techniques fail.
Thanks,
Howard
-----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Thursday,
October 16, 2003 <span
>12:47 PM<font
size=2 face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker]
Optimization -- again
Howard: What an excellent message; almost better than buying and
reading<span
>
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.
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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