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DT,
Nonsense ...
We've been here before. Let's not do the same dance again, okay ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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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