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Geez, Pal, you're wrong again, lol. Could you *please* tell me what
you trade (if you do) and what trades you're taking so I can take the
opposite side? I'm starting to think that such a system may in fact
be the elusive Holy Grail everyone talks about.
What you're wrong about is my "superego" and I'll *prove* that by
publicly stating here that I've learned more from Steve in this forum
than from anyone else. With the possible exception of DT (when I
understand his code, no slam on you DT, it's my shortcoming). And
that's after trading for more than 25 years. What you don't
understand is I'm a New Yorker and when New Yorkers perceive that
*anyone* addresses them disrespectfully (right or wrong) they usually
throw it back in spades. Now if my admission of learning from Steve
was not enough proof, I'll also *apologize* for anything I said that
offended him (sorry, Steve). So there's an airtight proof showing
that you're wrong (yet again). QED
As for being "magnanimous and indomitable" and like your big brother
(*please* don't tell anyone else), thanks for giving my morning such a
tremendous boost with so much laughter. Everytime I think of it I
chuckle, lol. Pal's big brother... OMG!!!! Anyway, I've gotten a lot
from this forum and thought it would be fun to give something back.
There are better tools out there, I'm sure, but I do think that what
I've presented is at least worthy of sharing with the group. And I do
have enough confidence in them to demo as outlined in the robustness
challenge post. If you don't like them, as I said, I'll cheerfully
refund your money, to include postage and handling.
Anyway Pal, thanks again for brightening my morning and have a great
day!
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> Hi Mark,
>
> You are magnanimous and indomitable. You are like my big brother,
so
> is Steve. You both have superegos and it is unfortunate that you
> both could not reconcile your differences yet. I am the loser and
I
> suspect so are others. You must measure what you might gain by
what
> you might lose...
>
> rgds, Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@xxxx> wrote:
> > It's late and I've had too much scotch, so one very quick example
> > which I'll explain the basics of but would like to have someone
else
> > please take a stab at interpreting.
> >
> > To recap the Robustness Criteria, Condensed Version 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).
> >
> > For this example I picked a stock, any stock. I think everyone
gets
> > what I mean by criteria 1 and 2 (whether they agree or not),
correct
> > me if I'm wrong. I've posted the output of criteria 3-5 in the
> > example folder in the photos section. Criterion 3 output is
photos
> 1
> > and 2, criterion 4 output is photos 3 and 4, and criterion 5
output
> is
> > photos 5 and 6. I think the criterion 3 graphs are self
> explanatory.
> > On criterion 4, forget how it's calculated for now. It
estimates
> the
> > probability of profit (and how much) at the end of 10 trades.
Unit
> of
> > measure is % of starting equity. Looking at the histogram, the
> > highest bin (the mode of the distribution) is 19.16 -- 29.63 which
> > means approx 15.5% of the time (y axis) the profit at the end of
10
> > trades fell in this bin, between 19.16% and 29.63% of initial
> equity.
> > The cumulative distribution graph is the histogram in cumulative
> > form and shows the likelihood that a result falls below the value
on
> > the x axis. For example, 20% of the simulations (of the sum of 10
> > trades) lost money so you can *estimate* there's an 80% chance
> you'll
> > be profitable after 10 trades with this. Same unit of measure
for
> max
> > dd and those graphs are read the same way. P.S. Each simulation
was
> > 1000 runs, so the graphs of criterion 3 show one actual pass
through
> > the data by AB, while the others depict the collective results of
> 1000
> > simulated runs (and include my adjustment factor).
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