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Mark,
What you say is true about the effect of adding more parameters, and I assume you are pulling that idea from the concept of information theory where the information content goes up the square root of the number of sources (2 independent sources = 1.4x info content, 3 sources 1.7x info content, etc.). Being as quantitative as you are, I'm sure you are not basing your conclusions on anecdotal observations.
How are degrees of freedom impacted when you are pulling from unrelated data sources like RUTVOL (i.e. russell price action and nasdaq volume). Also, why is degrees of freedom such a deal-breaker for you assuming you have a large sample size. For example, if you have a 200 day ma, and you are trying to test data in which only have 1 year of data, then you have a problem as really you can only test over 52 days that aren't required to make the 200 day ma. However, if we are testing over thousands of bars the impact of that 200 ma is lessened, isn't it? Thanks for the clarification here.
BTW, when I mention that the discussion gets too academic on this board, what I'm really speaking to is the fact that there is less of a focus to share and generate trading systems on this board compared to the FT-Talk board.
There are quite a few folks on the FT-Talk board who don't have your pedigree, but churn out system ideas on a regular basis. Some good, some not so good. However, they are ideas, and the synergies achieved by sharing those ideas result in tradeable systems.
I'm certain you'd laugh at what you'd describe as a lack of due dilligence on their part. The point is, the systems are straightforward, the analysis is basic (yet effective), and the folks who trade the resulting systems laugh all the way to the bank.
Again, it's not about making $1 million overnight. It's about steady returns.
Regards,
Gary
quanttrader714 <quanttrader714@xxxxxxxxx> wrote:
Sometimes we're not academic enough and step into traps that areavoidable. Or is it better to skip the details, LOL? Degrees offreedom are lost for each parameter in a system that is used todetermine a signal. So it depends not only on the number ofparameters in the system, but also on the number of signals. Imaginea perfectly curve fit system consisting of 10 buy dates and 10 selldates for 20 parameters producing 20 signals with no degrees offreedom. This is a simple example and reality is much tougher. Itcan be *very difficult* to correctly account for all system parametersand not only that, some may have significantly greater impacts thanothers. I personally choose to avoid this whole mess with very simplesystems that produce a lot of signals.--- In amibroker@xxxxxxxxxxxxxxx, "Gary A.
Serkhoshian"<serkhoshian777@xxxx> wrote:> Howard,> > As always, you ask very relevant questions. There are several FTfolks on the board who could tell you the exact dates when the signalwas developed. Even better, go to Werner Gansz' (signal creator)website, and ask him directly. He's a good guy, and was veryresponsive and informative in the few e-mails we've exchanged.> > http://www.madriver.com/~wwgansz/> > Taking this a step further Howard, how about walking us through youranalysis method on RUTVOL. Sometimes we get too academic on thisboard. So, here you have a complete signal that many call robust. Let's see how your method would be applied here, and my sense is itwould add a great deal of value to a lot of us not so experienced notto mention all the good karma you'll build :
)> > Thanks,> Gary> > Howard Bandy <howardbandy@xxxx> wrote:> > Wow!! RUTVOL has a Lot of parameters. > > > > It is very unusual for a system with so many parameters to berobust. Does anyone know when the system development stops (the lastin sample date) and when the out of sample period begins? > > > > Howard> > > > -----Original Message-----> From: Gary A. Serkhoshian [mailto:serkhoshian777@xxxx] > Sent: Tuesday, November 18, 2003 1:07 PM> To: sgearhart12000; amibroker@xxxxxxxxxxxxxxx> Subject: [amibroker] RUVOL and BB system posted to AmiBroker library> > > > Hi all,> > > > > > For easier access it's at this link in the AmiBroker library:> > > >
> > http://www.amibroker.com/library/detail.php?id=307> > > > > > Kind Regards,> > > Gary> > sgearhart12000 <sgearhart1@xxxx> wrote:> > > Gary> Could you send me the 1 RUTVOL with BB Scoring.afl. I'm a FT userand > trying to use AB along with FT.> Thanks> Scott Gearhart> > ---------------------------------> > > Do you Yahoo!?> Protect your identity with Yahoo! Mail AddressGuard > > > Send BUG REPORTS to bugs@xxxx> Send SUGGESTIONS to suggest@xxxx> -----------------------------------------> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx > (Web page: <A
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