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--- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
<quanttrader714@xxxx> wrote:
> 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).
Mark,
You may simply ask, it is the best way to understand.
I have not always the time to give full description, but it is easier
to answer a question [if of course I know the answer...]
I tried this at
http://groups.yahoo.com/group/amibroker/message/51214
http://groups.yahoo.com/group/amibroker/message/51215
http://groups.yahoo.com/group/amibroker/message/51216
since it is closely related to your 9 rules [it is a walk-forward
check at a glance, with all the possible timeframe combinations and
includes also the profit/bar, since the basic IP distance is 100 bars.
Take a look, it may add some criteria to your interesting thread.
On the other side, I always try to present amibroker solutions, short
or long, simpe or complicated but inside the AFL spirit.
Dimitris Tsokakis
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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