|
PureBytes Links
Trading Reference Links
|
Thanks
for the post MF2!
<FONT face=Arial color=#0000ff
size=2>
<FONT
size=2>Given Steve's example of the CMO5 which I assume is coded to detect the
cross of the indicator thru a value, how would you determine that value for
your intial testing? This is the case below where you say "<FONT
face="Courier New" color=#000000>Test *unoptimized* system on small, mid &
large cap stocks in bull, bear & sideways market conditions, same parameters
for all"
<FONT face="Courier New"
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>d
<FONT
face=Tahoma size=2>-----Original Message-----From: MarkF2
[mailto:feierstein@xxxxxxxxx] Sent: Saturday, November 01, 2003
2:50 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
On Robustness, Post #1This is in response to DT's and
others' requests to provide moredetails on my 9 robustness
criteria.First some administrative anouncements, lol. I've
decided to provide them one-by-one, first due to my time constraints,
second because I feel that's the best way to discuss them and third
because I want to see how this goes. I welcome all constructive
debate, especially opposing views supported by quantitative
analysis. But if this degenerates into a flame war, I've got better
things to do with my time. Treat me with respect and I'll treat you
with respect. There seems to be a lot of interest in this topic, so
let's please have a collegial and productive discussion. This is
post 1 of 9 (notcounting the dialog inbetween, let's see how far we can
get :-).Why care about robustness? For whatever reasons, markets
change. We could spin our wheels forever discussing time series
theory, serial dependencies, random walk, nonstationarity, etc., like
academiciansdo and get nowhere (as they do), or we can try to cut through
the crapand deal with it (the simple fact that markets constantly change).
My weapon of choice is robustness. You could say I have a robustness
obsession and my criteria are overkill. But that's my choice and
you're free to make your own on how far you want to take this, if at
all.OK, I lied. There will be some, very light discussion of
statistics because some criteria are steeped in statistical theory.
But mostcan be reduced to simple, mechanical procedures that can be
graphed ina spreadsheet and visually and intuitively interpreted.
Othersrequire simulation software and one requires proprietary software
butwe'll cross that bridge when we come to it. Speaking of
proprietary, there are some things I simply won'tdisclose, such as
specific parameters for certain criteria. So pleaserespect my wishes
and don't ask. I have my reasons. So evaluate thison your own
and decide for yourself what place, if any, the criteriahave in your
trading. They work great for me but I make no claim thatthey're the
Holy Grail of robustness and am sure that some of you willcome up with
better ideas if there's enough interest and discussion. With
that long winded intro, here's Criterion #1:Test *unoptimized* system
on small, mid & large cap stocks in bull, bear & sideways market
conditions, same parameters for all. I usethe stocks of the S&P
600, 400, and 500 indices and 2 year bull, bearand sideways periods (for a
total of 6 years per stock). Rationalebehind this: to find systems
that profitably *tested out in the past*on a large number of (somewhat
tradeable) stocks of varying marketcaps in multiple sectors under
different market conditions, under the assumption that this indicates the
system is robust enough toprofitably *trade select issues in the
future*. More on robust issue selection in later criteria. Looking
for net profitability on all mkt cap and mkt condition subtests, and
profitable on the majority (>50%) of issues in each subtest, the more
the better. Sometimes I cuta system some slack if it's close on one
or two subtests, it's a judgement call. My commission setting(s) in
AB: proprietary, basedon my *slippage* research using data from actual
trades. But youcould choose an arbitrary say, 1% to get
started. Date settings formy 2 year intervals: proprietary but you
can easily find your own by eyeballing a chart of a major index.
Just use the same ones eachtime so you compare apples to
apples. My lite version of this is 2year bull and bear periods
on the ND100 and SP100 stocks, which Isometimes run as a quick pre-screen.
Next time someone posts a system,run it through the lite or full
version. Or test the systems in theAFL library. The more
systems you run through, the more intuitive ofa feel for robustness you'll
get. Note that I'm *not* saying you shouldn't or can't successfully
trade something that doesn't meetthis standard, lol. That's
obviously not true! I was asked toexplain my robustness criteria and
that's what I'm doing. Period. This criterion is a post-Amibroker
creation, BTW. Pre-Amibroker I hada small test portfolio of diverse
issues I used instead and it did adecent job. I run this now because I now
(easily) can, *many* thanksto Tomasz. If you're thinking, geez, why
bother with this, askyourself a simple question. *All else being equal*,
would you feelmore confident trading (with your money) a system that
passes thistest or one that fails it?
Regards,MarkSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|