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Mark,
I'll be a lurker all the way and I suspect that you'll have many others.
If I think I have something worth contributing, I will.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Al Venosa" <advenosa@xxxx> wrote:
> 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
> ----- Original Message -----
> From: quanttrader714
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, November 02, 2003 4:46 PM
> Subject: [amibroker] Re: On Robustness, Post #1
>
>
> Dave,
>
> My comments are below.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> > Mark, thanks a ton for doing this
>
> You'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 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.
>
> I start with the settings someone provides or default settings and
> expand from there if I think there's potential (as outlined in my post
> to Dale). But don't limit yourself to traditional indicators. For
> example, look at patterns consisting of relationships between price
> arrays for different numbers of bars.
>
>
> > 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"?
> >
>
> Think in terms of blunt tools. Nothing magic about 2 year intervals
> or 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, choose
> a smaller window. Bottom line is pretty much no matter what you
> choose, if you find systems that are profitable across the stocks and
> time periods as I've outlined, they're probably robust.
>
> > - 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?
>
> Current.
>
> Regards,
>
> Mark
>
> >
> > -----------
> >
> > 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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