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DT,
Your post wasn't really a response to mine, was it ?
If it was then I'll have to remember that answers like grapefruit
are valid responses to questions like what day of the week is it.
Your six hours are up ... Next contestant please.
Fred
> 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:
> The mechanical concept:
> Begin with the new year 2002.
> Buy with the first significant trough [Feb22, 2002], sell with the
> first significant peak [March8, 2002].
> Then buy every X days, Sell every Y days, X<Y
> The trial period needs 5-6 trades in 5-6 months until the buy/sell
> signal occur on the same bar.
> This is the end of the trial period and , if the results are good,
> you may begin the real trades.
> Select the top5 and trade them up to the next buy/sell coincidence
> [12 to 18 months]
> The application:
> X=26, Y=24 filled the above requirements.
> The first buy/sell coincidence [trial cycle] occurred on Aug28,
2002.
> The top5 was ERICY, MNST, NVDA, SANM and VRSN.
> The system will come to an end at the next [13th] Buy signal [25
bars
> later]
> The real trading cycle is 286 bars, if it is to be repeated.
> [In the mean time, the system xIII has began from Jan2, 2003 and so
> on...]
> As for the results, backtest the above database from 29/8/2002 up
to
> now ans see...
> The code is simple
> // System xII
> STARTBUY=DateNum()==1020222;
> STARTSELL=DateNum()==1020308;
> X=26;Y=24;
> Buy=BarsSince(STARTBuy)%X==0;
> Sell=BarsSince(STARTSell)%Y==0;
> Short=Sell;Cover=Buy;
> Settings:buy/sell/short/cover at +1 open, commission 0.25% [of
course
> you may use delay0, since you know in advance the buy/sell dates]
> For the described period the performance exceeded the +500%
> [If I was following without any hesitation from the beginning, I
> would see 4digits, but the trial period was necessary]
> [The next system xIII will use the Inspection Points theory for,
> hopefully, even better results]
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > 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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