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Count me in, Mark. Looking forward to seeing your other 8 criteria. I agree
with Fred: we should see and consider the background before we develop the
materials and methods, so to speak.
AV
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----- Original Message -----
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>From:
<A title=quanttrader714@xxxxxxxxx
href="">quanttrader714
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, November 02, 2003 4:46
PM
Subject: [amibroker] Re: On Robustness,
Post #1
Dave, My comments are below.--- In <A
href="">amibroker@xxxxxxxxxxxxxxx, "Dave
Merrill" <dmerrill@x...> wrote:>
Mark, thanks a ton for doing thisYou're welcome.> >
> 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 athing as>
"neutral" settings. the traditional settings must have come fromtests
on> some particular type of equity in some specific time frame. but
Iunderstand> you're saying not to tweak for this portfolio and time
frame.I start with the settings someone provides or default settings
andexpand from there if I think there's potential (as outlined in my
postto Dale). But don't limit yourself to traditional
indicators. Forexample, look at patterns consisting of relationships
between pricearrays for different numbers of bars.>
questions:> > - I'm not coming up with a plausable 2 year
sidewise period. I seeperiods> that long that net flat, but they
have significant rises and fallswithin> 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"?> Think
in terms of blunt tools. Nothing magic about 2 year intervalsor any
definition of flat that I can think of. Looking at a chart,there are
recent 2 year bull and bear periods that are pretty obvious.If you don't
see a 2 year flat period you're comfortable with, choosea smaller
window. Bottom line is pretty much no matter what youchoose, if you
find systems that are profitable across the stocks andtime periods as I've
outlined, they're probably robust.> - do you use the current
components of each index for all yourtests? 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?Current.Regards,Mark> >
-----------> > not directly related to this specifc post, but
relevant, I've beenthinking> about trading systems as dividing into
two basic camps, trackingsystems and> opportunistic systems.
tracking systems try to call the profitablemarket> 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 equityat
any> particular time.> > these two methods are
fundamentally different. one needs tounderstand the> dynamics
behind each stock well enough to try to sense itsforthcoming price>
moves all the time. opportunistic systems may not understandanything at
all> about 98% of the price action on each stock, profiting instead
fromthe 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?
anopportunistic> system knows when it works and when it doesn't,
and sticks to whatit knows.> tracking systems need to function in
all kinds of weather to besuccessful.> >
dave
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