|
PureBytes Links
Trading Reference Links
|
Gary
I am certainly not one of
the more experienced amongst us, but as far as I am concerned they are still
determining the optimal solution based on historical data, which in their first
statement they say is no good. It matters little to me if they are looking
forward or backward, they are still relying on certain historical price
setups to happen again as they did in the past.
Unless of course they are
really building a model based on future prices, in which case their crystal ball
is better then mine :)
Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Gary A.
Serkhoshian [mailto:serkhoshian777@xxxxxxxxx] Sent: Thursday, 23
October 2003 9:08 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] System optimization
process idea & feedback request
Hello all,
Since we have been throwing around methods of optimizing and selecting
objective measures, I was wondering if some of the more skilled in our group
could translate the following passage, as my Sergeant would say back in
my Army days " in terms a 10-year old could understand". The
passage is from from Bob Pelletier in the latest CSI Technical
Journal.
Some pre-emptive questions belfore the passage:
1. Fred, is Pelletier's comments the same as what you are referring
to in terms of making system adjustments on the fly? Optimizing on only
OS data on a go-forward basis? If you are willing to break it down into
a process it would be much appreciated by myself and probably a lot of
others.
2. If he is going only one pass through the data how is he
coming up with paramaters?
I'm typing out his comments so please forgive typos.
PELLETIER'S COMMENTS
OCT 03 CSI TECHNICAL JOURNAL
"... This is a novel approach that depends upon
large amounts of data to arrive at a solution. Theoretically, the more
data supplied the better should be the result. It views all markets and
variables forward in time. There is no hindsight optimization
testing. Analysts correctly believe that basing future decisions on
results optimized in the past tends to produce unrepeatable performance in
real-time trading. Such complaints boil down to the derogatory label of
"curve fitting". None of that is done here. This model learns by
studying only future (or forward) facts in time. Only one pass through
all of the supplied data defines the trading model that will be forecasting
tomorrow's prices.
The model-building stage of the process includes a
feedback mechanism that measures the daily causal effects of each independent
variable upon the movement of the dependent variable. The feedback logic
tends to emphasize the positive and negative effects of each variable
upon the dependent variable. The decision-making process process
therefore becomes increasingly heuristic over time as more and more price
history is reviewed. The model is encouraged by predictive success and
discouraged by the apparent failures of all independent time series
supplied. The basic intent of the process is to teach the computer to
profitably trade a dependent variable basded upon the predictive
characteristics of all independent variables...."
COMMENTS???
Do you Yahoo!?<A
href="">The
New Yahoo! Shopping - with improved product search Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|