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The implication here then is that the best behaved issues of yester-
year will continue to be so ad inifitum. Given that any stocks chart
of the past could virtually look and trade like any other stock in
the future one would think that some more robust ongoing methodology
of issue selection would be more likely to succeed going forward. I
know there are some pretty large generalizations here but this it how
it "feels".
--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxxx> wrote:
> 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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