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> As I recall, you started this thread out by hero worshiping Larry
> Williams
> Phsst
I hardly know Larry Williams let alone consider him a hero of mine,
but, I do respect him on his system testing expertise, particularly
on optimization...
Regards,
Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
wrote:
> > 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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