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It sure does if you take shorter time frames.
UM
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 03, 2003 7:45 PM
Subject: [amibroker] Re: OFF TOPIC from On Robustness, Post #1
> 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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