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Dimitris,
I have always wanted the answer ... I've yet to see one
The question has ALWAYS been the same ...
Let's see the equity curve of some system you like with the
appropriate stats from 2-3 years before to 2-3 years after the
relatively recent top. I've posted mine, several times. I'm still
trading the same system(s).
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Fred,
> It is the hard way to avoid any other opinion except yours !!
> Full examples are already available at request.
> Except if you want to keep this sterile and unproductive thought.
> You may avoid to change your position, [I will agree it is
> convenient] but I really wonder why do you provocatively ask the
same
> question if you donīt want any answer...
> As for the dance, I think it takes 2 to tango...
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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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