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This
will be a continuing problem. We've already got some wanting to write code to
enhance the CMO. IMHO these are not helpful in a thread like this - they get us
off on tangents that will do nothing to keep this thing orderly enough to be
successful. Since its your thread then you drive it based on what
you think is right.
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This
is gonna be tuff!
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-----Original Message-----From:
quanttrader714 [mailto:quanttrader714@xxxxxxxxx] Sent: Monday,
November 03, 2003 11:29 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: On Robustness, Post
#1
If there's sufficient interest, as
time permits. I'm kinda caughtbetween a rock and a hard place on
this... people want these *now*,but I need to make them suitable for
public consumption. I've runthese tests a zillion times and know
them and their nuances, buttrying to put them into non-technical but
usable sound bites isanother 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@xxxx]> > > > 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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