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Dale,
I favor trading a robust system on the "best behaved" issues, you'll
see that in the next couple of criteria. I've got some decent
techniques but, dare I say lol, am hoping we'll get a boost from Steve
on this because issue selection is huge and he's the "go to guy" in
that department, IMO.
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> Good post, Dave.
>
> 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..
>
> 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.
>
> d
>
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Sunday, November 02, 2003 12:38 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] On Robustness, Post #1
>
>
> 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
>
>
>
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