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No, I don't. The idea is first to run all 5 criteria to see if a
system is robust(by this definition anyway). Once "deemed" robust you
then try to trade it on the best behaved issues. Seems to me that
this makes sense no matter how robust the system is, because *nothing*
short of what God could create will trade everything well IMO. You
don't even have to use the S&P stocks to find the best behaved issues
if you're overly concerned about curve fitting, although I think this
would unnecessarily eliminate tons of great candidates.
As for the process of finding the best issues, even if you use an
algorithm I personally would still want to manually run them through
criteria 3-5 as a double check. So 3-5 have utility beyond simply
being part of a robustness standard, at least the way I use them.
I think everyone knows this but I like to keep repeating it: this is
only one way to skin the cat, certainly not the only way. I'd add
that it's also a very labor intensive and boring way too because
there's a lot of manual checking and it looks mostly to hit singles.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> Ergo my question about dd's. I didn't think it needed much in the
> way of interpretation except to understand what context the DD's
were
> in.
>
> As a followup here I have a question. If the next step(s) are
issue
> nomination/selection and we chose to do that manually as opposed to
> having some algorithm for objective selection do you feel that then
> has the potential for calling into question the robustness of the
> system which now incorporates issue nomination/selection ? and if
not
> why not ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@xxxx> wrote:
> > Nobody's taken a stab at interpreting the pics I posted in the
> example
> > folder of the photo section, so here goes... This is a good
system
> > paired with a bad issue... it's my benchmark system (w/commission
> > setting of 1%) which is robust but it certainly doesn't trade
> > everything well, lol. Proof positive from this stock! Looking at
> pic
> > 1 (% profit/trade), winners look fairly consistent but losers are
> not
> > and are nasty on top of it. Pic 2 gives the opposite view (losers
> > look more consistent than winners) which is why criterion 3
requires
> > that both be consistent. In this case, the likely culprit of the
> > disagreement (you'd have to actually dig into the trades to be
sure)
> > is the system couldn't get out of the losing trades this stock
threw
> > at it quickly enough. Even so, the probability of profit after 10
> > trades is not bad (pics 3 & 4) although I'd feel much more
> comfortable
> > with 90%-95% as opposed to 80% (any questions on reading these?).
> The
> > potential drawdowns are *awful* (pics 5 & 6). For example, 80%
> > likelihood of drawdowns 30% or greater, 50% likelihood of
drawdowns
> > 40+% or greater, and 10% likelihood of drawdowns 70% or greater.
> > Egad!!!!!!
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