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--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> The implication here then is that the best behaved issues of yester-
> year will continue to be so ad inifitum.
More precisely, it's the consistency of the *interaction* of the
robust system with the best behaved issues that we're counting on to
continue into the future.
>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".
This is an area of great interest to me, one that I've looked into on
and off in the past but have recently dusted off again. Not an easy
nut to crack because if you buy the interaction premise, the
methodology could conceivably be different for each system (let's
optimize robustness, lol).
>
> --- 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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