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Shorter time frames yield that many more occurances of the same
thing, not less.
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> It sure does if you take shorter time frames.
> UM
>
> ----- Original Message -----
> From: "Fred" <fctonetti@xxxx>
> 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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