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No, It works for any and all parameters. It just needs only one
parameter. It is just a matter of preference, actually the size of
my pocket book...
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> Hi Pal "
>
>
>
> I agree with Katz and McCormick that the likelihood of a system
being profitable is inversely proportional to the number of
parameters.
>
>
>
> But I don’t understand how the system you describe in your first
paragraph could have only one parameter. Do you mean one variable
that you change, but lots of others that have been determined some
time in the past and do not change? If so, then they all count. So
do the ones that were tried and discarded.
>
>
>
> Howard
>
>
>
> -----Original Message-----
> From: palsanand [mailto:palsanand@x...]
> Sent: Sunday, November 16, 2003 10:56 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Backtest using equity curve
>
>
>
> My primary trading system is very simple in the sense that it has
> only one parameter (the lookback MA period), and it generally leads
> to a robust system. It is objective (non-optimized and parameters
> are never subject to change) and unique in the sense it is both
trend-
> following (continuation of a previous trend or breakout) and
counter-
> trend following (start of a new trend) at the same-time. The trend
> and counter-trend following features of the MA based systems are
> highly desirable because it resists becoming outdated as markets
> change character (personality). Independent of the fundamentals
> driving the market, these features are designed to capture extended
> runs in both bullish and bearish directions. The Verification and
> Interpretation of the signals Detected by this system was a great
> challenge, but I was able to use good filters (OB/OS) and use
> Volatility (non-trend component of a signal) to optimize my entry
> points. A robust system can be categorized as one that stands a
good
> chance (probability) of working in the future as it has worked in
the
> past, i.e, it is tough (able to handle all markets and conditions
> regardless of size and nature) and long-lasting (durable).
>
> As discussed in a recent STOCKS & COMMODITIES article by Jeffrey
Owen
> Katz and Donna McCormick, a rule of thumb in evaluating trading
> systems is that the more parameters a system has, the less robust
the
> system is. Taken to the extreme, many fitting parameters can be
used
> to curve-fit past data to eliminate all whipsaws while maintaining
> good performance. The potential of such a system working in the
real
> world is nil...
>
> rgds, Pal
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > agreed. if the fact that a trading system did well in the past
has
> no
> > bearing whatsoever on whether it does well in the future, how can
> we know
> > anything at all about the future performance of a proposed
trading
> system?
> >
> > dave
> >
> > The gambler¡Çs fallacy is a fallacy because the gambler
ignores
> the
> > independence of the outcomes and looks for patterns that do not
> exist. If
> > we have designed trading systems based on recognition of patterns
> that
> > precede profitable trading opportunities, and if those patterns
are
> > persistent, then we no longer have random, independent outcomes.
> Our
> > trading systems do have serial dependencies and upward sloping
> equity
> > curves. So analysis of the equity curve provides an indication
of
> the
> > health of the trading system.
> >
> >
> >
> > Howard
>
>
>
>
>
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