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RE: Objective functions (was RE: [amibroker] Re: Optimization -- again)



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Hi Gary –

 

You’ll get no criticism from me
about whatever works well for you.  Are there specific techniques you use,
or is it the accumulation of years of experience?

 

Howard

 



-----Original Message-----
From: Gary A. Serkhoshian [mailto:serkhoshian777@xxxxxxxxx]

Sent: Sunday, October
 19, 2003 <span
 >9:39 PM<font size=2
face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: Objective functions
(was RE: [amibroker] Re: Optimization -- again)

 



Hate to open this can of worms, but this has been an educational thread.





 





On the PT board a couple of months ago, I asked about blending of
discretionary analysis withsystems trading, and if it should be done at all.





 





The conclusion, which I now espouse, is discretionary analysis has a
place, but there needs to be some reliable, global risk measurements that can
objectively tell you if it's a better idea to exit earlier than a system
normally would or perhaps opt out of a system entry altogether.  Anther
idea is take all the entries, but use discretion on exits.





 





Will you miss moves?  Absolutely.  Rather than cry over the
spilled-milk, I re-evaluate my risk measures until I find things that prevent
fewer missed moves.  I may even decide that the missed move is a non-issue
as the market soon-after rolls over.  What I've been working on is
something like green risk = system exits, yellow risk = apply some type of
trail stop, red risk level = slap a trendline on the last move as a
trailer.  Just food for thought.





 





Unfortunately, I know a lot of people that would have a coronary
if their system test didn't squeeze out that last bit of profit.  As such,
I imagine many could not apply discretion consistently.  Fortunately, I
can.





 





I know this post will infuriate the hard-core system traders, and
stands in stark contrast to all the high-brow optimization discussion. 
However, I found this realization helpful, and wanted to share it with ya'll.





 





Regards,





Gary





 





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><<<<<<<  SNIP 
>>>>>>>>>>>>

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> 

 














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