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Phsst
You mention "pattern Filters" & "Pattern Matching". Could you
elaborate, perhaps with some AFL examples. I've seen the Double Top
& Head and shoulders in the AB Library, is this the type of thing
your suggesting.
Thanks
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> <...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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