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<P class=MsoNormal
><SPAN
>>What you're
describing is essentially that buys and shorts can not be symmetrical. Is
that right?
<P class=MsoNormal
><SPAN
>>What are the
primary things that differentiate up moves from down moves that require the need
for asymmetry of signals.
<P class=MsoNormal
><SPAN
>
<P class=MsoNormal
><SPAN
><FONT
face="Times New Roman" color=#000000 size=3>Generally (exceptions possible)
never use the same system for
<P class=MsoNormal
><SPAN
><FONT
face="Times New Roman" color=#000000 size=3>both long and short;
<SPAN
><FONT
face="Times New Roman" color=#000000 size=3>use <SPAN
><FONT
face="Times New Roman" color=#000000 size=3>seperate systems specifically
developed
<P class=MsoNormal
><SPAN
><FONT
face="Times New Roman" color=#000000 size=3>for each
direction.
<P class=MsoNormal
><SPAN
><FONT
face="Times New Roman" size=3>UM
<P class=MsoNormal
><SPAN
><FONT
face="Times New Roman" size=3><SPAN
>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, November 06, 2003 5:14
AM
Subject: RE: [amibroker] On Robustness,
Post #1 : TO HOWARD
<B
><SPAN
>Howard,
<B
><SPAN
>
<B
><SPAN
>A few questions
regarding your post to Dave
<SPAN
>
<P class=MsoNormal
><SPAN
>< 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 <SPAN
>US<SPAN
> four year
presidential cycle. >
<P class=MsoNormal
>
<P class=MsoNormal
><SPAN
>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?<SPAN
>
<P class=MsoNormal
>
<P class=MsoNormal
><SPAN
>< 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. >
<P class=MsoNormal
>
<P class=MsoNormal
><SPAN
>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.<SPAN
>
<P class=MsoNormal
>
<P class=MsoNormal
><SPAN
>< 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
>
<P class=MsoNormal
>
<P class=MsoNormal
><SPAN
>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.<SPAN
>
<P class=MsoNormal
><SPAN
>
<P class=MsoNormal
><SPAN
>Thanks for the post,
as this subject is scratching where I itch in my eduction of system
development and optmization.<SPAN
>
<P class=MsoNormal
><SPAN
>
<P class=MsoNormal
><SPAN
>Kind
Regards,
<P class=MsoNormal
><SPAN
>Gary<SPAN
>
<P class=MsoNormal
><FONT
face=Arial>Howard Bandy
<howardbandy@xxxxxxxxx> wrote:
<SPAN
>Hi Dave
–
<SPAN
>Good posting.
I’d like to comment on your last paragraph.
<SPAN
>- if one system does better in bull years and another
in bear, the one that<SPAN
>does 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?
<SPAN
>It seems there are
three approaches to take.
<SPAN
>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 <SPAN
>US<SPAN
> four year
presidential cycle.
<SPAN
>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.
<SPAN
>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.
<SPAN
>Howard
<SPAN
>-----Original
Message-----From: Dave Merrill [mailto:dmerrill@xxxxxxx]
Sent: <SPAN
>Monday, November 03,
2003
<SPAN
>7:06 AM<SPAN
>To:
amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] On Robustness,
Post #1
<SPAN
>some robustness issues that have been rattling around
in my head over the<SPAN
>weekend...<SPAN
><<<SNIP>>>
<SPAN
>
<SPAN
><BR
><BR
><SPAN
>Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<SPAN
>Send SUGGESTIONS
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AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
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href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
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href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html<SPAN
> <SPAN
>Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service.
Howard Bandy
<howardbandy@xxxxxxxxx> wrote:
<BLOCKQUOTE class=replbq
>
<SPAN
>Hi Dave
–
<SPAN
>
<SPAN
>Good posting.
I’d like to comment on your last paragraph.
<SPAN
>
<FONT face="Courier New"
size=2>- if one system does better in bull
years and another in bear, the one that<FONT
face="Courier New" size=2><SPAN
><FONT
face="Courier New">does 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 we<FONT
face="Courier New">want to base that judgment
on?
<SPAN
>It seems there are
three approaches to take.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>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.
<SPAN
>
<SPAN
>Howard
<SPAN
>
<DIV
>
<SPAN
>-----Original
Message-----From: Dave
Merrill [mailto:dmerrill@xxxxxxx] <SPAN
>Sent: Monday, November 03, 2003 7:06
AMTo:
amibroker@xxxxxxxxxxxxxxx<SPAN
>Subject: RE: [amibroker] On Robustness,
Post #1
<SPAN
>
<SPAN
>some robustness issues that have been rattling
around in my head over the<FONT
face="Courier New" size=2><SPAN
>weekend...<FONT
color=navy><SPAN
><<<SNIP>>>
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