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Gary, Fred, anyone else,
First let me correct you (Gary), there's *no such thing* as too much
coffee! As the folks at Caribou say, "Life is short. Stay awake for
it."
Fair comments by both of you. *If* we did this, I'd need to *at
least* post a user-friendly version of the robustness criteria, along
with a step-by-step analysis of one or more systems, with code so
people can follow along. I may post a marginally robust system if
that was needed to get the ball rolling but I'd much prefer that it
was something the group came up with... not only because I don't want
the systems to be clones of my ideas, someone may come up with
something better, but also for a sense of group ownership. Or maybe
we could simply have a "most robust system" contest. I normally don't
share systems but would strongly consider it as part of a
collaborative group effort. BTW Fred, if you're talking about
ProSizer for MCS, it looks like it would be sufficient but I'd have no
problem getting a copy to verify.
Gary, as for your point about "having difficulty seeing the
value-added of going through such a rigorous process" my response is
-- and this is not slam -- "Opportunity is missed by most people
because it is dressed in overalls and looks like work." -- Thomas A.
Edison. If you think this is bad, check out how I forecast option
volatility sometime! I'm definitely not saying that what I presented
is the only way but I am saying it's a fairly systematic and
mechanical way to evaluate system robustness. Even if labor
intensive. What first attracted me to trading was I thought it would
be an easy way to make big bucks. What I found was that it's not
rocket science but it is *hard work* (for me anyway, but work that I
love) and that even if you're willing to put in the time there are
still innumerable ways to fail.
Regards,
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
> That should read halving CAR and doubling MaxDD. Too much coffee
today.
>
> "Gary A. Serkhoshian" <serkhoshian777@xxxx> wrote:Mark,
>
> I think the main problem I am having is that you are light years
ahead of my systems analysis, and with my rather inexperienced eyes I
am having difficulty seeing the value-added of going through such a
rigorous process.
>
> I'm getting my arms around sensitivity analysis (by the way, I have
the 3D excel sheet working if any have questions), and have played
with some MCS spreadsheets to give me some worst case scenarios. I
walk away from this process with a sense of how sensitive my params
will be to change in the markets (hopefully not much == smooth curve),
and a worst case scenario via MCS. FWIW, my MCS analysis ends up in
the ballpark of Fred's suggestion of halving CAR and doubling MAR.
>
> It's kind of like asking the security guard at the art gallery to
critique a Monet painting. He'll appreciate it on a superficial
level, but his lack of experience prevents much more.
>
> This is probably A LOT more than you care to do, but to carry Fred's
point a step further would be a screen cam movie where you walk
through the whole process from start to finish. You can download
Camtasia and use the 30day free trial. That way, we security guards
can learn how to better interpret the artwork, but doing it in a
manner that isn't piece-meal and allows learning for future new users.
Again, probably a lot more work than you care to put in, and I don't
blame you for the wages we are paying you : )
>
> Kind Regards,
> Gary
>
> Fred <fctonetti@xxxx> wrote:
> Mark,
>
> I seem to be participating more than most which I at least find to
be
> a little strange. One of the probs for some will be the need to
find
> and install a decent MCS product. Some won't want to spend the $,
> some won't want to spend the time etc. By the way Alex Matulich
has
> a product in this area for I think about $37 that midgt fill the
bill
> for those who are interested but don't want to go for a more in
depth
> product.
>
> Beyond that though as I stated at the beginning, I have no
particular
> interest in the last couple of steps you outlined i.e. publication
> and real account trading.
>
> In my case I can't even say that I have a great data vendor for
> stocks because as I've stated previously I don't really trade
stocks.
>
> That aside for a minute, I have suggestion which may be a little
off
> the wall but I'll put it out there any way. Since you've obviously
> been doing this for some time, how 'bout starting the group off
with
> a little system that although you might consider to be robust even
if
> only marginally is also something that you don't actually use for
> trading any more. This would at least allow some to go through the
> process with something that at least sort of works so they can
> proceed from there.
>
> Just an idea ...
>
> Fred
>
> --- In amibroker@xxxxxxxxxxxxxxx, "quanttrader714"
> <quanttrader714@xxxx> wrote:
> > Now that I've posted the criteria, I feel we've had some good
> > discussions but frankly don't see enough interest out there to
> provide
> > the effort it would take to refine the criteria or even use as is,
> > develop some robust systems, write a trading plan, iron the bugs
out
> > in simulated trading and then trade in real time with real money.
> I'm
> > actually surprised there's not more interest in participating in
the
> > trading process from soup to nuts as I've outlined, especially
> since I
> > offered to put up the $. Would be quite an education for anyone,
no
> > matter how much experience they have, but particularly for
newbies.
> > Not to mention fun. Which is why I offered to lead such an
effort
> in
> > the first place. No hidden agendas here.
> >
> > Anyway, if I've misread things and you are interested, *please
email
> > me privately* and let me know the extent to which you personally
> would
> > like to participate. If I get enough emails indicating there is
> > critical mass, I'll either start this in Amibroker-ts or in a new
> > group that everyone here would be welcome to join. If not then
I'll
> > still be around, in drips and drabs, as I have in the past.
Thanks
> > for the interesting and civil discussions.
> >
> > Regards,
> >
> > Mark
>
>
>
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