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Mark,
Thanks for the thread....How about exploring each of your 9 points of
Robustness with a sample simple System....then (you / we ) can apply each
point to this sample system....with your direction....and discuss why this
system would be accepted or not as pertains to the specific point...
Anthony
----- Original Message -----
From: "quanttrader714" <quanttrader714@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Sunday, November 02, 2003 11:13 AM
Subject: [amibroker] Re: On Robustness, Post #1
> Hi Dale,
>
> Good question. When someone posts something and I want to check it
> out (I actually run at least the lite version on almost everything
> posted here), I initially use their numbers. If I want to explore
> further I optimize (lol) the system on a different database, plot the
> optimized parameters against performance measures and choose a set
> of values that seems robust by eyeballing the graphs. When I
> wrote: "Test *unoptimized* system on small, mid & large cap stocks in
> bull, bear & sideways market conditions, same parameters for all" I
> was really trying to say, don't make a special case for each mkt cap
> and mkt condition subtest by optimizing, use the same parameters for
> all subtests.
>
> Regards,
>
> Mark
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > Thanks for the post MF2!
> >
> > Given Steve's example of the CMO5 which I assume is coded to detect
> the
> > cross of the indicator thru a value, how would you determine that
> value
> > for your intial testing? This is the case below where you say "Test
> > *unoptimized* system on small, mid & large cap stocks in bull, bear
> &
> > sideways market conditions, same parameters for all"
> >
> > Thanks!
> >
> > d
> >
> > -----Original Message-----
> > From: MarkF2 [mailto:feierstein@x...]
> > Sent: Saturday, November 01, 2003 2:50 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] On Robustness, Post #1
> >
> >
> > This is in response to DT's and others' requests to provide more
> > details on my 9 robustness criteria.
> >
> > First some administrative anouncements, lol. I've decided to
> provide
> > them one-by-one, first due to my time constraints, second because I
> > feel that's the best way to discuss them and third because I want
> to
> > see how this goes. I welcome all constructive debate, especially
> > opposing views supported by quantitative analysis. But if this
> > degenerates into a flame war, I've got better things to do with my
> > time. Treat me with respect and I'll treat you with respect.
> There
> > seems to be a lot of interest in this topic, so let's please have a
> > collegial and productive discussion. This is post 1 of 9 (not
> > counting the dialog inbetween, let's see how far we can get :-).
> >
> > Why care about robustness? For whatever reasons, markets change.
> We
> > could spin our wheels forever discussing time series theory, serial
> > dependencies, random walk, nonstationarity, etc., like academicians
> > do and get nowhere (as they do), or we can try to cut through the
> crap
> > and deal with it (the simple fact that markets constantly change).
> > My weapon of choice is robustness. You could say I have a
> robustness
> > obsession and my criteria are overkill. But that's my choice and
> > you're free to make your own on how far you want to take this, if
> at
> > all.
> >
> > OK, I lied. There will be some, very light discussion of
> statistics
> > because some criteria are steeped in statistical theory. But most
> > can be reduced to simple, mechanical procedures that can be graphed
> in
> > a spreadsheet and visually and intuitively interpreted. Others
> > require simulation software and one requires proprietary software
> but
> > we'll cross that bridge when we come to it.
> >
> > Speaking of proprietary, there are some things I simply won't
> > disclose, such as specific parameters for certain criteria. So
> please
> > respect my wishes and don't ask. I have my reasons. So evaluate
> this
> > on your own and decide for yourself what place, if any, the criteria
> > have in your trading. They work great for me but I make no claim
> that
> > they're the Holy Grail of robustness and am sure that some of you
> will
> > come up with better ideas if there's enough interest and
> discussion.
> >
> > With that long winded intro, here's Criterion #1:
> >
> > Test *unoptimized* system 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). Rationale
> > behind this: to find systems that profitably *tested out in the
> past*
> > on a large number of (somewhat tradeable) stocks of varying market
> > caps in multiple sectors under different market conditions, under
> the
> > assumption that this indicates the system is robust enough to
> > profitably *trade select issues in the future*. More on robust
> issue
> > selection in later criteria. Looking for net profitability on all
> mkt
> > cap and mkt condition subtests, and profitable on the majority (>
> > 50%) of issues in each subtest, the more the better. Sometimes I
> cut
> > a system some slack if it's close on one or two subtests, it's a
> > judgement call. My commission setting(s) in AB: proprietary, based
> > on my *slippage* research using data from actual trades. But you
> > could choose an arbitrary say, 1% to get started. 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. My lite version of this is 2
> > year bull and bear periods on the ND100 and SP100 stocks, which I
> > sometimes run as a quick pre-screen. Next time someone posts a
> system,
> > run it through the lite or full version. Or test the systems in the
> > AFL library. The more systems you run through, the more intuitive
> of
> > a feel for robustness you'll get. Note that I'm *not* saying you
> > shouldn't or can't successfully trade something that doesn't meet
> > this standard, lol. That's obviously not true! I was asked to
> > explain my robustness criteria and that's what I'm doing. Period.
> > This criterion is a post-Amibroker creation, BTW. Pre-Amibroker I
> had
> > a small test portfolio of diverse issues I used instead and it did a
> > decent job. I run this now because I now (easily) can, *many* thanks
> > to Tomasz. If you're thinking, geez, why bother with this, ask
> > yourself a simple question. *All else being equal*, would you feel
> > more confident trading (with your money) a system that passes this
> > test or one that fails it?
> >
> > Regards,
> >
> > Mark
> >
> >
> >
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