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IMHO market behavior does NOT change over time ...
There's data available for some things that goes back 200+ years and
systems that can be written to invest/trade on a longer term basis
that succeed over that period of time as the saying goes come hell or
high water.
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> > > - I know we're aiming for robustness, meaning wide
applicability to
> > future
> > > results. even given that goal, how similar do we think 1990 or
> > 1995's market
> > > dynamics really are to today's, especially when you get to the
level
> > of time
> > > constants or volume levels? how applicable to today's market is
> > what we
> > > learn from these older tests? how would be figure that out? and
> > again, the
> > > more we restrict our testing to recent years, the less out-of-
sample
> > time
> > > there is.
> >
> > I like to go back to at least the 80s for criteria 3, 4 and 5.
>
> various people here have suggested that systems based on correct
principles
> transcend the aspects of market behavior that change over time, but
details
> have been scarce. I'm very interested in what kinds of systems turn
out to
> have good performance and stable parameters over 30 years.
>
> what's your source for data that goes back that far, if I might ask?
>
>
> > > - if one system does better in bull years and another in bear,
the
> > one that
> > > does better in reality will depend on the proportion of bull and
> > bear years
> > > that actually occur. when we weight bull, bear and sideways
markets
> > equally,
> > > are we matching their proportions in real life? what time frame
> > would we
> > > want to base that judgment on?
> >
> > The problem is you never know when *future* conditions will be
bull,
> > bear or sideways and in what proportion. Remember, blunt tools,
and
> > equal weighting is a robust way in the absence of overwhelming
> > evidence to the not do so. Especially with robust systems that do
> > well under varying conditions (you'll like criterion 3).
>
> clearly, all other things being equal, a system that does well
under all
> three conditions is most immune to changes in climate. but if we
find
> performance that balanced to be an elusive goal, we maybe then we'd
tilt a
> bit more toward good behavior in rising markets, since that does
seem to be
> where we are a significant majority of the time.
>
> dave
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