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Mark,
No slam taken : ) It's not that I shun work or learning for that matter, but for folks not as experienced as you (i.e. me) you've really got to put the bottom line up front in practical terms of what we get at the end of this process.
Can I aggresively trade the strategy (e.g. leverage), and not worry about the wheels falling off since we've proven robustness? Do I need to even worry about circuit breakers since the system is proven robust? How much more robust are systems using this method compared to simple sensitivity analysis and basic MCS? Too often I've found the 80% solution is good enough, and it crossed my mind that though what you've presented may be the 100% solution can we get a better feel for the value-added for all the extra work?
You don't need to answer any of these questions as you've already been too kind with your time, but I thought to elaborate.
Kind Regards,
Gary
quanttrader714 <quanttrader714@xxxxxxxxx> wrote:
Gary, 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> > > > Send BUG REPORTS to bugs@xxxx> Send SUGGESTIONS to suggest@xxxx> -----------------------------------------> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > (Web page: http://groups.yahoo.com/group/amiquote/messages/)> --------------------------------------------> Check group FAQ at:http://groups.yahoo.com/group/amibroker/files/groupfaq.html > > Your use of Yahoo!
Groups is subject to the Yahoo! Terms ofService. > > > ---------------------------------> Do you Yahoo!?> Protect your identity with Yahoo! Mail AddressGuard > Yahoo! Groups Sponsor> Send BUG REPORTS to bugs@xxxx> Send SUGGESTIONS to suggest@xxxx> -----------------------------------------> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > (Web page: http://groups.yahoo.com/group/amiquote/messages/)> --------------------------------------------> Check group FAQ at:http://groups.yahoo.com/group/amibroker/files/groupfaq.html > > Your use of Yahoo! Groups is subject to the Yahoo! Terms ofService. > > > > ---------------------------------> Do you Yahoo!?> Protect your identity
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