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the bootstrap
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Mark,
>
> In particular what you have in mind by "simulation" ...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > Mark,
> >
> > Can you add a few more words behind #4 & 5 ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> > <quanttrader714@xxxx> wrote:
> > > 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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