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As I said BEFORE you responded ... We've done this dance before.
Please don't bother responding to my posts if you are going to
continue to answer questions that weren't asked. Better ? Yes of
course. I have better then useless and meaningless which is what 14
months of results are worth. I have no objection if you want to post
stuff like this, just not on the back end of my posts where your
response is totally unrelated to the topic.
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Fred,
> as far as I know, the day of the week is Tuesday [European
> calendar].Nice day...
> Grapefruits are bitter, I donīt like them.
> As for the mechanical trading systems [mechanical in *concept* and
> execution] you have, perhaps a better alternative than a +500% for
14
> months.
> This will make your grapefruits sweeter, at least I hope so.
> Whenever you decide to become serious again [I am sure you are] we
> may talk about it.
> Your concept re: 3 years before, 3 years after etc in not a unique
> criterion to check [and follow, perhaps] a trading system.
> [and never was in the past].
> You may keep this provocative style, if it makes you happy, but,
> there are some people who use mechanical systems and, of course,
> nobody is obliged to expose [with the appropriate respect] to Mr.
> Fred his techniques and methods, just because Fred is provocative.
> We are here to "to help the Amibroker users to share the ideas,
tips
> and other related information" as you may read at
> http://groups.yahoo.com/group/amibroker/
> Well, I think System xII gives some valuable hints about the
rhythms
> of this market in an innovative approach. The results are
interesting
> and it is, perhaps, a good point to start a further research.
> It would help the readers if we were discussing methods, codes,
> techniques instead of spending our time to useless comments.
> I would appreciate your opinion for this System xII, until I find
the
> time to write and post its better version
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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.
> > > > > > > > > >
> > > > > > > > > >
> > > > > > > > > > Yahoo! Groups Sponsor
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> > > > > > > > > >
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