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Good
post, Dave.
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I was
just thinking about the same stuff as in the bottom part of your post. I've
thought of them as indicator based and pattern recognition based but your terms
will do for me. IMHO the majority of folks pursuing automated approaches
look at the tracking type system and the chart readers seem to favor the
opportunistic type system..
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Mark,
what do you favor in your trading? And at some point (prolly after you post #9)
we'll have to decide what fork in the road to take.
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<FONT
face=Tahoma size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx] Sent: Sunday, November 02, 2003 12:38
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
On Robustness, Post #1Mark, thanks a ton for doing
this, really appreciated, looking forward tothe continuation of this
discussion. we all benefit from talking out coreprinciples. yackback
below, not to be taken as hassle (:-)> Test *unoptimized*
systemhmmm. what does unoptimized mean? "traditional" parameter
settings, if theyexist, 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 onsome particular type of equity in some specific time
frame. but I understandyou'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 bearperiods. I do see the value in separating them out,
rather than just lookingfor dents in the longer equity curve. it certainly
quantifies whether oneperiod carrys another.questions:-
I'm not coming up with a plausable 2 year sidewise period. I see
periodsthat long that net flat, but they have significant rises and falls
withinthem, which isn't really the idea. I know you don't want to discuss
yourproprietary time periods in too much detail, but I'm looking at the
nazcomposite; is that the problem? got a quantified definition of
"flat"?- do you use the current components of each index for all your
tests? or doyou have historical versions of each of them, corresponding to
the timeperiods you test with? if so, where do you get
them?-----------not directly related to this specifc post, but
relevant, I've been thinkingabout trading systems as dividing into two
basic camps, tracking systems andopportunistic systems. tracking systems
try to call the profitable marketdirection at any given time for each
equity you point them at. opportunisticsystems look for profitable setups
somewhere in the universe of equitiesthey're watching, and may have no
opinion on any particular equity at anyparticular time.these two
methods are fundamentally different. one needs to understand thedynamics
behind each stock well enough to try to sense its forthcoming pricemoves
all the time. opportunistic systems may not understand anything at
allabout 98% of the price action on each stock, profiting instead from the
2%of the time when they recognize a pattern whose implications about
thefuture they can predict.do we need to test these two types of
systems differently? an opportunisticsystem 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.daveSend
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