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At the moment I'd settle for having a one line description of #2 - #8.
--- In amibroker@xxxxxxxxxxxxxxx, "leonardot19" <leo.timmermans@xxxx>
wrote:
> 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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> > > >
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