|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Fred,
I do
not trade mechanical systems. I do not trust them for the reasons I have out
lined below. I do on the other hand make my living , full time, trading
REAL money. I trade differently today than I did 5 years ago and will
likely trade differently 5 years from now then I do today. The market is always
changing, it is not a math project that you can ever get "Right" because as soon
as you have it right, it changes...
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx]Sent: Sunday, October 19, 2003 7:18
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Objective
functions (was RE: [amibroker] Re: Optimization --
again)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@xxxx]>
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@xxxx]> >>
> 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.> > >
Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to suggest@xxxx>
-----------------------------------------> Post AmiQuote-related messages
ONLY to: amiquote@xxxxxxxxxxxxxxx> (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)>
--------------------------------------------> Check group FAQ at:>
<A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|