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<...the general vibe was that this strategy and settings were and had
been somehow golden for forever. (of course I'm exaggerating; these
are smart, unpretentious people, but the underlying logic still seemed
like that to me.)>
Dave,
Before I start here I'll preface my comments with the disclaimer that
I am relying on memory which is not a particularly reliable thing
where I am concerned...
You're a bright guy. But don't I recall that you posted as recently as
two or three weeks ago that you have not yet developed a profitable
mechanical trading system using AB? Hey, I could be wrong and if I am
then I apologize.
I should probably stop here and wait for a response, but time is not
on any of our sides, so I'll press on <g>...
I would speculate that your original premise was correct in that a few
people here do in fact have strategies and settings that have been
reliable over a *very* long period of time and that there is no
exaggreation in that assumption.
< but I kept hearing things like "CCI(something)", and "MA(this) cross
MA(that)", with some single test and/or optimization period to back it
up.>
You cannot judge anything based upon what you think you have heard
here. If nothing else, you can count on the fact that those who have
good profitable trading systems here are NOT going to part with them
easily.
<I concluded that what you'd recommend depended to a huge degree on
what dates you looked at. that's one of the main reasons why I wrote
this, to automate optimization over a bunch of time periods, and see
if things stayed constant and/or profitable. neither. sowhattheheck.?
My advice is to quit taking the recommendations of others, and quit
assuming that anything depends to a 'huge degree' upon what dates are
looked at.
I'll go even further in a positive direction:
Look at conventional wisdom related to indicators, but NEVER STOP
THERE... be sure to go the extra distance and complicate the issue by
adding EXTRA pattern filters to your backtests.
By combining conventional wisdom with pattern filtering, you might
discover that there are in fact long term strategies that make
predictable profits under known mkt conditions.
As usual, I always take too long to get to my point...
You have abandoned the basic search for 'root' strategies in favor of
developing a complex 'auto optimization' piece of code that seeks to
ferret profits out of improbable strategies.
Here is my advice to you...
Focus upon backtesting basic technical strategies combined with
pattern matching. Then, only after you find promising trading
opportunities should you seek to optimize the various aspects of the
stradegy.
I might be wrong, but I suspect that all of your effort related to
this 'auto optimization' code is not going to yield you any results
until you have done the more basic task of developing 'core'
strategies that show promise.
Again, as usual I've talked too much and worn out my welcome.
Best regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx> wrote:
> Isn't there some aspect of past performance (results) that can
"persist"
> for some time. That is to say, that a stock or mutual fund that is
> profitable for awhile (esp from a backtest or ranking perspective)
does not
> and probably will not remain profitable "forever". However, it can
and does
> remain a good performer for some period.
>
> you'd think so, wouldn't you? what's the point of backtesting
anything ever,
> if the future can't be at least kind of, sort of, approximately,
> semi-fake-estimated from what happened in the past?
>
> but I kept hearing things like "CCI(something)", and "MA(this) cross
> MA(that)", with some single test and/or optimization period to back
it up.
> people didn't usually talk about optimizing over one time period, then
> testing with those optimal settings for a while *after* that, then
> optimizing again later, etc.. the general vibe was that this
strategy and
> settings were and had been somehow golden for forever. (of course I'm
> exaggerating; these are smart, unpretentious people, but the underlying
> logic still seemed like that to me.) when I optimized some of those same
> things myself, over different time periods, I concluded that what you'd
> recommend depended to a huge degree on what dates you looked at.
that's one
> of the main reasons why I wrote this, to automate optimization over
a bunch
> of time periods, and see if things stayed constant and/or profitable.
> neither.
>
> sowhattheheck.
>
> What parameter(s) measure this? It probably changes over time but it
> seems a combination of return along with absence of large volatility
is a
> key measure. The UPI or UI or even CAR/Mdd seems like it captures
more than
> just raw return. While this seems more true for mutual funds (actively
> managed ones at that), it can also be true for certain stocks in certain
> industries.
>
>
>
> Just rambling out loud..I have not had time to try your
system----can it
> optimize against CAR/Mdd? for example?
>
>
>
> Ken
>
> as shipped, the framework comes with two metrics to choose from,
profit per
> bar, and net bars on the right side of the market per bar, meaning
basically
> this:
> ((bars long and rising + bars short and falling) - (bars long and
falling
> + bars short and rising)) / number of bars
>
> both metrics can penalize the score by a selectable percentage of max
> drawdown. for instance, at zero penalty, MDD doesn't effect the
score; at
> 50%, 20% MDD reduces the score by 10%; at 100%, by 20%.
>
> you can also add your own metrics, AND OBVIOUSLY YOU SHOULD, because
neither
> of these are that great, or none of the trading rules tested are, or
> something. another one I've thought of is some kind of measure of the
> smoothness of the equity curve, which is MDD is a crude look at.
many of the
> standard metrics are something of a pain to code on the results of the
> Equity function. hopefully, at some point tomasz will give us AB's full
> suite of report metrics, as functions that work off Equity.if you
haven't
> check the framework out yet, I'd suggest waiting for the
new-and-improved
> v1.1, due out soon.
>
> dave
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