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Hi Anthony, Mark,
This is a good idea. This will allow for the less gifted, like myself
(lol) to follow more closely.
Thanks
Leo
--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx>
wrote:
> 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@xxxx>
> 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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