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I
wanted to chime here and let you know that I'm interested in what you've
presented but alas I spent more time in a band during my college days than I did
studying. Hence, I found it hard to follow you in the latter steps of your
methodology.
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If you
could lead us thru an example it would sure help me out.
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Thanks
for all of your time on this!
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<FONT
face=Tahoma size=2>-----Original Message-----From: quanttrader714
[mailto:quanttrader714@xxxxxxxxx] Sent: Wednesday, November 05,
2003 6:43 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] Re: Robustness Challenge UpdateGary,
Fred, anyone else,First let me correct you (Gary), there's *no such
thing* as too muchcoffee! As the folks at Caribou say, "Life is
short. Stay awake forit."Fair comments by both of you. *If*
we did this, I'd need to *atleast* post a user-friendly version of the
robustness criteria, alongwith a step-by-step analysis of one or more
systems, with code sopeople can follow along. I may post a
marginally robust system ifthat was needed to get the ball rolling but I'd
much prefer that itwas something the group came up with... not only
because I don't wantthe systems to be clones of my ideas, someone may come
up withsomething better, but also for a sense of group ownership. Or
maybewe could simply have a "most robust system" contest. I normally
don'tshare systems but would strongly consider it as part of
acollaborative group effort. BTW Fred, if you're talking
aboutProSizer for MCS, it looks like it would be sufficient but I'd have
noproblem getting a copy to verify.Gary, as for your point about
"having difficulty seeing thevalue-added of going through such a rigorous
process" my response is-- and this is not slam -- "Opportunity is missed
by most peoplebecause it is dressed in overalls and looks like work." --
Thomas A.Edison. If you think this is bad, check out how I forecast
optionvolatility sometime! I'm definitely not saying that what I
presentedis the only way but I am saying it's a fairly systematic
andmechanical way to evaluate system robustness. Even if
laborintensive. What first attracted me to trading was I thought it
wouldbe an easy way to make big bucks. What I found was that it's
notrocket science but it is *hard work* (for me anyway, but work that
Ilove) and that even if you're willing to put in the time there
arestill 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 coffeetoday.>
> "Gary A. Serkhoshian" <serkhoshian777@xxxx>
wrote:Mark,> > I think the main problem I am having is
that you are light yearsahead of my systems analysis, and with my rather
inexperienced eyes Iam having difficulty seeing the value-added of going
through such arigorous process.> > I'm getting my arms
around sensitivity analysis (by the way, I havethe 3D excel sheet working
if any have questions), and have playedwith some MCS spreadsheets to give
me some worst case scenarios. Iwalk away from this process with a
sense of how sensitive my paramswill be to change in the markets
(hopefully not much == smooth curve),and a worst case scenario via
MCS. FWIW, my MCS analysis ends up inthe ballpark of Fred's
suggestion of halving CAR and doubling MAR. > > It's
kind of like asking the security guard at the art gallery tocritique a
Monet painting. He'll appreciate it on a superficiallevel, but his
lack of experience prevents much more.> > This is probably
A LOT more than you care to do, but to carry Fred'spoint a step further
would be a screen cam movie where you walkthrough the whole process from
start to finish. You can downloadCamtasia and use the 30day free
trial. That way, we security guardscan learn how to better interpret
the artwork, but doing it in amanner 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'tblame 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 tobe > a little
strange. One of the probs for some will be the need tofind >
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
Matulichhas > a product in this area for I think about $37 that
midgt fill thebill > for those who are interested but don't want to
go for a more indepth > product.> > Beyond that
though as I stated at the beginning, I have noparticular > 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 tradestocks.> > That aside for a minute, I have
suggestion which may be a littleoff > 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 offwith > a little system that
although you might consider to be robust evenif > 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
bugsout> > in simulated trading and then trade in real time with
real money.> I'm> > actually surprised there's not more
interest in participating inthe> > 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 fornewbies.
> > Not to mention fun. Which is why I offered to lead such
aneffort > in> > the first place. No hidden agendas
here. > > > > Anyway, if I've misread things and you
are interested, *pleaseemail> > 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 thenI'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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