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Gary<font size=2
color=navy face=Arial>, Very well said. FT-Talk has some of the best
portfolio and market timing systems, freely put forth by people not afraid to
share their work. It is the Stanford of internet groups. Many
of the folks from Ft-Talk have been very active and helpful here, Ken really
helped open up AB to the FT group and IMO is one reason so many FT user’s
are here.
<span
>Larry M. Powell<font
color=navy>
<span
>
<span
>-----Original Message-----
From: Gary A. Serkhoshian
[mailto:serkhoshian777@xxxxxxxxx]
Sent: Wednesday, November 19, 2003
12:35 PM
To: <font size=2
face=Tahoma>amibroker@xxxxxxxxxxxxxxx<font
size=2 face=Tahoma>
Subject: Re: [amibroker] Re: RUVOL
and BB system posted to AmiBroker library
<span
>
<span
>Mark,
<span
>
<span
>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.
<span
>
<span
>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.
<span
>
<span
>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.
<span
>
<span
>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.
<span
>
<span
>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.
<span
>
<span
>Again, it's not about making $1 million
overnight. It's about steady returns.
<span
>
<span
>Regards,
<span
>Gary
<span
>
<span
>
quanttrader714
<quanttrader714@xxxxxxxxx> wrote:
<span
>Sometimes we're not academic enough and step into
traps that are<span
>
avoidable. Or is it better to skip the
details, LOL? Degrees of
freedom are lost for each parameter in a system
that is used to
determine a signal. So it depends not only
on the number of
parameters in the system, but also on the number
of signals. Imagine
a perfectly curve fit system consisting of 10 buy
dates and 10 sell
dates for 20 parameters producing 20 signals with
no degrees of
freedom. This is a simple example and
reality is much tougher. It
can be *very difficult* to correctly account for
all system parameters
and not only that, some may have significantly
greater impacts than
others. I personally choose to avoid this
whole mess with very simple
systems 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 FT
folks on the board who could tell you the exact
dates when the signal
was developed. Even better, go to Werner
Gansz' (signal creator)
website, and ask him directly. He's a good
guy, and was very
responsive 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 your
analysis method on RUTVOL. Sometimes we get
too academic on this
board. 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 it
would add a great deal of value to a lot of us not
so experienced not
to 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 be
robust. Does anyone know when the system
development stops (the last
in 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:
>
>
>
>
>
> <a
href="">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 user
and
> trying to use AB along with FT.
> Thanks
> Scott Gearhart
>
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