|
PureBytes Links
Trading Reference Links
|
Howard,
A few questions regarding your post to Dave
< One – we design two systems, one for bullish periods, the other for bearish periods. Then we look into our crystal ball and use the system with the upward bias if we have some idea that the near future will be bullish, and use the system with the downward bias if we have some idea that the near future will be bearish. This is not wholly a dream. For example, there are strong seasonalities in the US four year presidential cycle. >
Regarding the 4-year cycle, are you specifically referring to year 3 (the year that is coming to an end) ? I've read year 3 since WWII has been profitable to the tune of 15% on avg. Any other cycles you'd suggest to follow?
< Two – we design two systems, one for bullish periods, the other for bearish periods, and include failsafe mechanisms in both. Then we trade both systems and let the system that works make money while the system that doesn’t work recognizes that it doesn’t work and stays flat. >
Which failsafe mechanisms do you prefer? I've been looking at a DD "floor" or perhaps a factor of MaxDD to turn off the system. I believe Dimitris has suggested a downslope in the 100MA of equity curve which makes sense, too.
< Three – we design a system that is profitable in both bull and bear periods. I think this is the hardest to do, since the markets act so differently that it requires additional parameters to be able to recognize the additional patterns. In my experience, systems designed to do well in both bullish and bearish periods do not do exceptionally well in either period >
What you're describing is essentially that buys and shorts can not be symmetrical. Is that right? What are the primary things that differentiate up moves from down moves that require the need for asymmetry of signals.
Thanks for the post, as this subject is scratching where I itch in my eduction of system development and optmization.
Kind Regards,
Gary
Howard Bandy <howardbandy@xxxxxxxxx> wrote:
Hi Dave –
Good posting. I’d like to comment on your last paragraph.
- if one system does better in bull years and another in bear, the one thatdoes better in reality will depend on the proportion of bull and bear yearsthat actually occur. when we weight bull, bear and sideways markets equally,are we matching their proportions in real life? what time frame would wewant to base that judgment on?
It seems there are three approaches to take.
One – we design two systems, one for bullish periods, the other for bearish periods. Then we look into our crystal ball and use the system with the upward bias if we have some idea that the near future will be bullish, and use the system with the downward bias if we have some idea that the near future will be bearish. This is not wholly a dream. For example, there are strong seasonalities in the US four year presidential cycle.
Two – we design two systems, one for bullish periods, the other for bearish periods, and include failsafe mechanisms in both. Then we trade both systems and let the system that works make money while the system that doesn’t work recognizes that it doesn’t work and stays flat.
Three – we design a system that is profitable in both bull and bear periods. I think this is the hardest to do, since the markets act so differently that it requires additional parameters to be able to recognize the additional patterns. In my experience, systems designed to do well in both bullish and bearish periods do not do exceptionally well in either period.
Howard
-----Original Message-----From: Dave Merrill [mailto:dmerrill@xxxxxxx] Sent: Monday, November 03, 2003 7:06 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] On Robustness, Post #1
some robustness issues that have been rattling around in my head over theweekend...<<<SNIP>>>
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------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 <A
href="">Yahoo! Terms of Service.
Howard Bandy <howardbandy@xxxxxxxxx> wrote:
Hi Dave –
Good posting. I’d like to comment on your last paragraph.
- if one system does better in bull years and another in bear, the one thatdoes better in reality will depend on the proportion of bull and bear yearsthat actually occur. when we weight bull, bear and sideways markets equally,are we matching their proportions in real life? what time frame would wewant to base that judgment on?
It seems there are three approaches to take.
One – we design two systems, one for bullish periods, the other for bearish periods. Then we look into our crystal ball and use the system with the upward bias if we have some idea that the near future will be bullish, and use the system with the downward bias if we have some idea that the near future will be bearish. This is not wholly a dream. For example, there are strong seasonalities in the US four year presidential cycle.
Two – we design two systems, one for bullish periods, the other for bearish periods, and include failsafe mechanisms in both. Then we trade both systems and let the system that works make money while the system that doesn’t work recognizes that it doesn’t work and stays flat.
Three – we design a system that is profitable in both bull and bear periods. I think this is the hardest to do, since the markets act so differently that it requires additional parameters to be able to recognize the additional patterns. In my experience, systems designed to do well in both bullish and bearish periods do not do exceptionally well in either period.
Howard
-----Original Message-----From: Dave Merrill [mailto:dmerrill@xxxxxxx] Sent: Monday, November 03, 2003 7:06 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] On Robustness, Post #1
some robustness issues that have been rattling around in my head over theweekend...<<<SNIP>>> Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to suggest@xxxxxxxxxxxxx-----------------------------------------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 of Service.
Do you Yahoo!?
Protect your identity with Yahoo! Mail AddressGuard
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
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 of Service.
|