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Let me ask another question then ... Assuming for a minute that the
system trades both long and short would you allow some candidate to
qualify to be traded long OR short only based on the fact that it had
done well across the different market environments ( bull/bear/flat )
on the long side but not on the short side or vice versa.
With regards to the area that you find of interest, I don't think I'd
qualify this as optimization of robustness. However for example if
in the initial steps we had picked some relatively recent time
periods to use as bull/bear/flat market segments to test over and
then select issues based on their performance during those periods
using whatever yardstick one happened to like, then might it not make
sense as time rolled forward to replace an older bull, bear or flat
segment of market that had been used to test system robustness and
perform issue selection with a newer segment of the same type to go
through at least the issue selection process again ?
--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxxx> wrote:
> --- 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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