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Fred,
Although it is hard to understand your request, yes, I did it [and I
will do it again...]
And when I say mechanical, I mean it.
Mechanical in logic, execution, starting date and ending date
[cycles].
I have already posted some hint, I may post more, if you find it
interesting...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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