|
PureBytes Links
Trading Reference Links
|
Mark, thanks a ton for doing this, really appreciated, looking forward to
the continuation of this discussion. we all benefit from talking out core
principles. yackback below, not to be taken as hassle (:-)
> Test *unoptimized* system
hmmm. what does unoptimized mean? "traditional" parameter settings, if they
exist, like MACD(12, 26, 9)? it's hard to see how there is such a thing as
"neutral" settings. the traditional settings must have come from tests on
some particular type of equity in some specific time frame. but I understand
you're saying not to tweak for this portfolio and time frame.
> on small, mid & large cap stocks in bull,
> bear & sideways market conditions, same parameters for all. 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).
> Date settings for
> my 2 year intervals: proprietary but you can easily find your own by
> eyeballing a chart of a major index. Just use the same ones each
> time so you compare apples to apples.
like Al, I'd been using one larger range that includes bull, and bear
periods. I do see the value in separating them out, rather than just looking
for dents in the longer equity curve. it certainly quantifies whether one
period carrys another.
questions:
- I'm not coming up with a plausable 2 year sidewise period. I see periods
that long that net flat, but they have significant rises and falls within
them, which isn't really the idea. I know you don't want to discuss your
proprietary time periods in too much detail, but I'm looking at the naz
composite; is that the problem? got a quantified definition of "flat"?
- do you use the current components of each index for all your tests? or do
you have historical versions of each of them, corresponding to the time
periods you test with? if so, where do you get them?
-----------
not directly related to this specifc post, but relevant, I've been thinking
about trading systems as dividing into two basic camps, tracking systems and
opportunistic systems. tracking systems try to call the profitable market
direction at any given time for each equity you point them at. opportunistic
systems look for profitable setups somewhere in the universe of equities
they're watching, and may have no opinion on any particular equity at any
particular time.
these two methods are fundamentally different. one needs to understand the
dynamics behind each stock well enough to try to sense its forthcoming price
moves all the time. opportunistic systems may not understand anything at all
about 98% of the price action on each stock, profiting instead from the 2%
of the time when they recognize a pattern whose implications about the
future they can predict.
do we need to test these two types of systems differently? an opportunistic
system knows when it works and when it doesn't, and sticks to what it knows.
tracking systems need to function in all kinds of weather to be successful.
dave
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|