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<SPAN
class=523274613-30102003>thanks for jumping in Phsst, and no, you haven't
overstayed your welcome, not by a long shot (:-). if I poke and prod in my
return, it's exploration, not disagreement.
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>it's not exactly that I haven't developed any
strategies that show a profit. that I've done, repeatedly. it's that nothing
I've done has given me the confidence that it was arrived at by a process that
consistently identifies profitable systems. <FONT
face="Courier New" color=#0000ff size=2>that's
really what auto-optimization is about, defining an objective process for
evaluating systems that predicts profitability reasonably well.
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>to put it differently, if I test a system over one
range of time and it does well, do I know what I have and haven't proved? what
does it mean if someone says (not just here, btw) that they've backtested
CCI(25) crossing zero on some index since 1988 and it works well enough that
it's possibly a good general market timing signal? suppose I wanted to
trade a stock universe better represented by a different index, and wanted to
investigate a good period to use. I can optimize over all data to date, look for
ranges of profitable settings, and pick one in the middle, as b and herman have
suggested. but would I have gotten the same result if I'd done that in 2000, or
'95? if not, why should I buy any one of those results, or what that other
person said, or the conventional wisdom? most importantly, why should I have
confidence in my process should I want to evaluate another system?
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>*that's* why I built the auto-optimizer originally, not
to trade constantly re-optimized systems, though of course I wondered how well
that would work too. but the failure of auto-optimization in its current form
confirmed my feeling that I didn't really know how to predict the profit a
system would make going forward. that means I shouldn't be taking my results in
the system selection biz very seriously until I get my act together. make
sense?
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>I don't think of myself as believing much of the
"recommendations" I hear without investigation. if I was easier about that, I'd
be trading this stuff sooner, instead of still testing and thinking (:-). also,
I didn't "assume" that the test date range mattered a lot, I found that it did
experimentally, at least the way I was testing. can you give me an example of a
trading system or way of testing that's more stable over time? privately if you
want, discretion assured.
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>it's interesting that you propose "complicating the
issue by adding further pattern filters". most talk I've heard about systems
that are truly robust in the long-term says the opposite, go simple.
<SPAN
class=523274613-30102003>more than once, I've tried taking only trades
recommended simultaneously by several moderately profitable indicators, and
haven't been that impressed.
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>anyway, how can you confirm that the 8500% return you
backtest on a double-mojo-bear-star-winky-thing coincident with DEMA(29.5)
of the VIX crossing 73.1 on alternate tuesdays when the moon is full isn't a
curve fit?
<SPAN
class=523274613-30102003>
<SPAN
class=523274613-30102003>dave
<BLOCKQUOTE
>
<...the general vibe
was that this strategy and settings were and hadbeen somehow golden for
forever. (of course I'm exaggerating; theseare smart, unpretentious
people, but the underlying logic still seemedlike that to
me.)>Dave,Before I start here I'll preface my comments with
the disclaimer thatI am relying on memory which is not a particularly
reliable thingwhere I am concerned...You're a bright guy. But
don't I recall that you posted as recently astwo or three weeks ago that
you have not yet developed a profitablemechanical trading system using AB?
Hey, I could be wrong and if I amthen I apologize.I should
probably stop here and wait for a response, but time is noton any of our
sides, so I'll press on <g>...I would speculate that your
original premise was correct in that a fewpeople here do in fact have
strategies and settings that have beenreliable over a *very* long period
of time and that there is noexaggreation in that assumption.<
but I kept hearing things like "CCI(something)", and "MA(this)
crossMA(that)", with some single test and/or optimization period to back
itup.>You cannot judge anything based upon what you think you
have heardhere. If nothing else, you can count on the fact that those who
havegood profitable trading systems here are NOT going to part with
themeasily.<I concluded that what you'd recommend
depended to a huge degree onwhat dates you looked at. that's one of the
main reasons why I wrotethis, to automate optimization over a bunch of
time periods, and seeif things stayed constant and/or profitable.
neither. sowhattheheck.?My advice is to quit taking the
recommendations of others, and quitassuming that anything depends to a
'huge degree' upon what dates arelooked at.I'll go even further in
a positive direction:Look at conventional wisdom related to
indicators, but NEVER STOPTHERE... be sure to go the extra distance and
complicate the issue byadding EXTRA pattern filters to your
backtests.By combining conventional wisdom with pattern filtering, you
mightdiscover that there are in fact long term strategies that
makepredictable 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 ofdeveloping a complex 'auto
optimization' piece of code that seeks toferret profits out of improbable
strategies.Here is my advice to you...Focus upon backtesting
basic technical strategies combined withpattern matching. Then, only after
you find promising tradingopportunities should you seek to optimize the
various aspects of thestradegy.I might be wrong, but I suspect
that all of your effort related tothis 'auto optimization' code is not
going to yield you any resultsuntil 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 canand does> remain a good performer for some period.>
> you'd think so, wouldn't you? what's the point of
backtestinganything 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 backit 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 thisstrategy 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 overa
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 volatilityis a> key measure. The UPI or UI or even
CAR/Mdd seems like it capturesmore 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 yoursystem----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, meaningbasically> this:> ((bars
long and rising + bars short and falling) - (bars long andfalling>
+ 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 thescore; at> 50%,
20% MDD reduces the score by 10%; at 100%, by 20%.> > you can
also add your own metrics, AND OBVIOUSLY YOU SHOULD,
becauseneither> 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 youhaven't> check the framework
out yet, I'd suggest waiting for thenew-and-improved> v1.1, due out
soon.> > dave
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