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[amibroker] Re: On Robustness, Post #1



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If there's sufficient interest, as time permits.  I'm kinda caught
between a rock and a hard place on this... people want these *now*,
but I need to make them suitable for public consumption.  I've run
these tests a zillion times and know them and their nuances, but
trying to put them into non-technical but usable sound bites is
another story.  I'm also looking for illustrative examples, so stay tuned.

--- 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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