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Hi,
> If I discover a good system to trade the S&P futures, I will
certainly not
> toss it aside if it performs poorly on Soy Beans. Generalize this
to any
> two markets. It only takes a few good trading system / market
combinations
> to be a winning trader. There is no need to solve the universal
market
> prediction problem for all markets for all time.
Maybe you would not toss it away, but I would. I have solved the
universal market prediction problem for all markets for all time.
> To use the breakout system you mention specifically, breakout
systems used
> to work very well on futures; they now work poorly on futures; they
do not
> work at all on most stocks. Please code up an example breakout
system in
> afl, run it on futures data from 1970 on and on stock data. If you
find
> something good, report it back to us all.
I have used breakout systems (not the specific one in the example)
successfully regardless of the type of market and I don't have time
to do the experiment you suggested...
Regards,
Pal
>
>
> -----Original Message-----
> From: palsanand [mailto:palsanand@x...]
> Sent: Monday, October 20, 2003 8:43 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Objective functions (was RE: [amibroker] Re: Optimization -
- again)
>
>
>
> Hi,
>
> In my mind, curve fitting means either using different systems for
> different markets, or using different parameters of the same system
> for different markets, and this is not valid technical analysis.
>
> Historical testing via computer means feeding a set of numbers
(open,
> ow, close prices), and receiving back an output set of rules that
> hopefully will make money trading. The numbers themselves do not
have
> names, and the computer doesn't recognize the difference
> between 'Beans' or 'Bonds'. For a system to be valid, it must work
on
> all numbers tested, not just those with certain names and not
others
> with different names.
>
> If a system works on Bonds and not on Beans, this system is curve
> fitted over a specific set of data (Bonds) and it loses all
> statistical validity. To believe it will work in the future as it
has
> worked in the past is very dangerous.
>
> Also, different markets do not have different personalities. Again,
> they are reduced to just being a set of numbers or a bunch of
> algorithms. If a channel breakout (or any other) method is
> successful, then the same parameter must be used for all the
markets,
> for the same reasons as above. You cannot use a 20-day channel in
> Silver and a 40-day channel in Corn, this also falls under the
crime
> of curve fitting.
>
> I therefore take exception to any system, that either only trades
one
> specific market or group of markets, or trades different markets
> using different parameters or rules of the same system. All this
> proves is what has worked best in the past, and this will usually
not
> continue to work in the future, as there is no correlation under
this
> scenario.
>
> This is not specifically written to condemn vendors. This is a
> clarification of my definitions of 'optimizing' and 'curve
fitting',
> and a warning as to what types of trading systems may be valid and
> what to stay away from.
>
> Regards,
>
> Pal
>
>
>
> <<<<<<<<< SNIP >>>>>>>>>>>>>
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