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Thanks Ken! But remember it's now 1-5 (I've condensed/taken the most
important to simplify the process and move it along). We can cover
the remaining in the distant future, lol, if folks really, really want
to but at this juncture I feel condensed 1-5 is not only a 95%
solution but also much more doable.
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> Mark: great stuff, good responsiveness to requests. I cannot wait
for
> more "how-to" detail.
>
> Ken
>
> PS: Please Mark (and those who reply) pay attention to keeping
uptodate
> Subject lines so these can be reviewed with more ease once more
> discussion is out on 2-9
>
> -----Original Message-----
> From: quanttrader714 [mailto:quanttrader714@x...]
> Sent: Monday, November 03, 2003 11:19 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: On Robustness, Post #1
>
> 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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