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Robustness Criteria, Condensed 1-5.
1. Test on small, mid & large cap stocks in bull, bear & sideways
markets.
2. Evaluate performance on top 20% most actively traded small, mid &
large cap stocks.
3. Graph and evaluate system performance consistency (%profit/trade
and % profit/bar) on select stocks.
4. Perform simulation to estimate probability of profit in 10 trades
(for select stocks).
5. Perform simulation to estimate future drawdown (for select stocks).
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> 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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