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Graham,
Nothing wrong with that. Recall that I'm just explaining *my
robustness criteria*. But instead of changing parameters, one
variation you may want to consider is a system that meets criterion 1
coupled with issue selection (will be discussed in subsequent posts).
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> I believe that you need different parameters, if not different
conditions
> for the various type fo shares. The charts behave differently for
large, mid
> and small cap stocks, or maybe should say those that are driven by the
> instos and those that are speculative by nature. The speculative
stocks tend
> to be faster moving, often with large gaps or dominant candle moves,
larger
> caps tend to be slower moving. So even a simple system can be too
late for
> the specs, but on time for the larger stocks.
>
>
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: Al Venosa [mailto:advenosa@x...]
> Sent: Sunday, 2 November 2003 11:28 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] On Robustness, Post #1
>
>
> Test *unoptimized* system on small, mid & large cap stocks in bull,
bear &
> sideways market conditions, same parameters for all.
>
> Mark: I agree up to a point. However, I'm not convinced that a
system must
> perform equally well across all markets using the same parameter
values, as
> you suggest. For example, if your system performs admirably on the
large cap
> stocks but not on the small cap stocks, and within the large cap
group the
> parameter values are robust in and of themselves (i.e., no local
maxima on
> the response surface diagram), why not trade the system on large cap
stocks?
> Also, if you optimize the same system on small cap stocks and find the
> parameter values are different from the large cap parameters but are
robust,
> why not use those different parameters for the small cap issues? Why
do the
> parameter values HAVE to be the same for all market types?
>
> I use the stocks of the S&P 600, 400, and 500 indices and 2 year
bull, bear
> and sideways periods (for a total of 6 years per stock). Rationale
behind
> this: to find systems that profitably *tested out in the past* on a
large
> number of (somewhat tradeable) stocks of varying market caps in multiple
> sectors under different market conditions, under the assumption that
this
> indicates the system is robust enough to profitably *trade select
issues in
> the future*.
>
> What I like to do is optimize over a period that encompasses BOTH
bullish
> AND bearish periods at the same time, like 1/2/99 to 12/31/01 or 02 as
> opposed to selecting separate 2-year bullish and 2-year bearish periods.
> Usually, systems have a short component and a long component to them
(unless
> you only like to trade either long or short per se). So, optimizing the
> parameters in a trading period that includes both bull and bear market
> action lends a certain degree of robustness in and of itself if you
find a
> reasonably flat response surface. Then, when you test in the
succeeding OOS
> period and get a reasonable performance similar to the IS period,
with no
> local maxima in the 3-D space of the trading diagram, then you have
a fairly
> robust system in my mind.
>
> ...My commission setting(s) in AB: proprietary, based on my *slippage*
> research using data from actual trades. But you could choose an
arbitrary
> say, 1% to get started.
>
> What about setting 0 commissions just for starters when developing your
> system. After you have done sufficient optimizing and forward
testing, then
> set your commissions/slippage to your 1% or 0.5% or whatever and
then see if
> the system crashes. If it does, trash it.
>
> Looking forward to your remaining 8 posts.
>
> Al Venosa
>
>
>
>
> ---
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