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LOL ... Okay, if you say so ... Let me know when any of you guys who
believe this START trading mechanical systems with REAL money, I'll
be very interested in your real time results.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Fred,
> I think market behavior does change because the market itself has
changed.
> 10 years ago your broker told you "Buy GE, put it under the
mattress, you
> will make money". If you took his advice and bought it on Monday
only to
> watch it fall all week then called him up he would tell you "We are
in this
> for the long haul, relax" ...... and you probably did, especially
since your
> trade probably cost you over $100 round trip. 10 years ago a one
year or 6
> month hold was considered "Short Term" today that is no longer the
case.
> With online brokerage accounts you can now buy and sell that same
chunk of
> stock for $10 per side. Your broker isn't selling the stock de
jour, instead
> you are picking it your self. You have access to hundreds of
websites,
> dozens of data providers and have computer power on your desk that
could
> have launched a rocket a half a generation ago. And more
importantly so do
> millions of other "Small investors". Day traders didn't even exist.
This
> isn't your fathers market, IMO to back test data from 10 or 20
years ago
> and think that optimizing on that data to trade today holds little
value.
> The markets turn on a dime and there is a whole new breed of more
nimble
> traders taking part in the action. The dynamics and psychology of
the market
> is completely different. It is no longer ruled by the few. Watch the
> buy/sells go through and you see trade after trade of 100-200 or
500 shares.
> This is not Dean Whiter placing trades but Joe and Jill six pack. 5
years
> ago I used to always wait until the first have hour of trading had
passed
> before placing a trade to avoid the built up demand already in the
pipe. Now
> if I wait more than 10 minutes the train is out of the station.
Perhaps it
> is just a forest/trees scenario but I think there are fundamental
> differences in the way the markets react today versus the recent
past......
>
>
> Regards,
> Jayson
> -----Original Message-----
> From: Fred [mailto:fctonetti@x...]
> Sent: Sunday, October 19, 2003 5:38 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Objective functions (was RE: [amibroker] Re: Optimization -
- again)
>
>
> There are a lot of questions and provacative statements in your
post,
> only one of which from my perspective needs an answer/response.
>
> Market behavior will continually change after that ...
>
> Change ? from what ? into what ? I guess this is the part I don't
> follow. To me there is nothing new in market behavior now that
> didn't exist last month, last year, last decade, last century, but
> clearly those that take a short sighted view of history and the
> market action that made up that history will clearly never see it.
> It's a forest and trees thing ...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > I'm not trying to be argumentative, honest (:-)... I'm more than a
> little
> > sick of saying the same thing over and over, but I j u s t d o
> n ' t g
> > e t i t .
> >
> > ------------------------------
> >
> > I fail to see the huge difference in principle between equity
> feedback and
> > backtesting.
> >
> > let's start by assuming that backtesting performance of a system
> and its
> > parameters over some period of past data tells you something about
> its
> > future performance. it's not a perfect predictor, but it's the
best
> evidence
> > we have. does this seem like a reasonable starting point? what
> alternative
> > is there?
> >
> > if that's true, why is it better to do it only once? what
> justification is
> > there for picking one examination period over another? clearly
> market
> > behavior will change continually after that. don't we need a way
of
> working
> > that looks at what's been happening and evolves our response?
> >
> > sounds like we examine performance up to some point and adjust,
> trade with
> > the best-choice system and parameters for a while, then examine
and
> adjust
> > again later. make sense? what alternative is there?
> >
> > so then, how often do we re-examine performance history? to put it
> > differently, how long do we ignore any changes in market dynamics
> that may
> > or may not have occurred? why would intermittently refusing to
look
> and
> > respond improve system performance or reliability?
> >
> > if that needs to be done, why not have the system itself do it, as
> part of
> > its inherent operation? why is it better for us as an outside
agent
> to
> > periodically run some separate tests, reach into the internals of
> the
> > system, and change stuff?
> >
> > or should we just continue with the system and parameters we
choose
> at the
> > beginning? are they somehow more valid than what we'd choose
later,
> using
> > the same backtesting methods, but on a different date range of
data?
> >
> > ------------------------------
> >
> > I realize that even if it seems to make sense logically, this all
a
> complete
> > crock if no systems put together like this even backtest well,
> never mind
> > forward testing.
> >
> > but every time I think about abandoning this line of research, it
> seems like
> > the first thing I'd want to do with a new system would be (let me
> guess),
> > test and possibly adjust it using data up to some date, then run
> with it for
> > a while after that and see if equity growth is good. if it is, I'd
> want to
> > lather, rinse and repeat with other in and out of sample data, to
> make sure
> > that wasn't coincidence.
> >
> > sounds way too familiar to be a completely different animal.
> >
> > dave
> > From: Fred [mailto:fctonetti@x...]
> >
> > That IS what I was trying to say. I suspect because equity feed
> back
> > is like looking in a rear view mirror, great for letting us know
> > where we were and how we could have adjusted the past to make it
> > better, but that's about it.
>
>
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