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What is this ?
Except the mechanical character of the system, will you tell us now
the appropriate statistics before and after and whatever comes in
your mind to fit your narrow point of view ?
You may apply these rules to your systems but it doesnīt mean you
express a universal must for mechanical systems.
Anyway, you will have my examples in 6h...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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