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I read that OT2003 has a problem with signals generated.
Read the folling message on the Yahoo Group board.
----- Original Message -----
From: Rui Hua
To: omnitrader@xxxxxxxxxxxxxxx
Sent: Thursday, December 04, 2003 5:59 PM
Subject: [omnitrader] Help please
I am using 2003 real time version. Today I used the default RTSTOCK
focus list and found AIG and entered a trade @58.05 according to the
entering signal. And @58.52 it was showed the exit signal, so I
exited. After 5 minutes, the stock went up another $0.10 and I
looked
back and the exiting signal disappeared. These disappeared exit
signal were happened several times all the way up until the sotck
hit
$59.00. Also BHI had same problem. Does anybody have this problem
before? How do you solve this problem? Please advice.
Thanks
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> Today's software for trading systems can take you down some
dangerous
> paths and it is a literal siren call for optimized systems. With
the
> advent of today's high-performance desktop computers and software
as
> well as the availability and cheapness of historical data, trading
> systems are more prevalent than ever. These systems usually hold
out
> the promise, either implicitly or explicitly, of assured trading
> rewards. The majority of the trading systems being offered to the
> trader today are presented with hypothetical track records showing
> the excellent profitability and performance that could have been
> obtained by using that system.
>
> With the anecdotal method, it's easy to portray a system as
holding
> the promise of future profitability, because this method only
shows
> those examples carefully chosen from the past that produce
positive
> results! Many of the buy and sell signals are picture perfect,
> selling very near exact tops and buying very near exact bottoms.
>
> One of the problem with OmniTrader (OT) is that the founder Ed
Downs
> thinks that Mechanical Systems can't exist because the moment
users
> discover it, it will become obsolete and hence have to re-discover
it
> because they will destroy it and so Optimization is the way to go,
> not Optimization of individual systems, but a collection of
systems
> and a Voting methodology based on APR and Adviser Rating. I
> respectfully disagree, because I use an un-optimized robust
> mechanical individual system which has been in R&D for over 40
years
> and I believe there are quite a number of silent users, and it is
the
> best system I have come across, but requires great skill in
> Interpreting the signals it generates made difficult previously by
a
> lack of versatile trading system platform development tools. The
6
> or so profiles in the current version of OT combined with
> filters/confirmation systems etc., to develop an Expert System,
seems
> to bring it closer to the Expert System I have developed over the
> years, but one could easily fall into a trap by over-optimizing.
A
> robust system is one that uses the least number of parameters and
> still have a good chance of being profitable in the future.
> Nevertheless, one would still require a great deal of effort in
> developing systems using any platform. I would suggest you to
read
> articles on optimization and robustness in this forum and decide
for
> yourself.
>
> Using OT, you could fix the optimized periods without ever having
to
> do re-optimization simulating an un-optimized system on
OutOfSample
> periods, provided the in-sample period optimization is
sufficiently
> long-enough (15 years) so that it is an accurate representation of
> the real-world and any chance that may have played in producing
> excellent results may be minimal. In that sense, it could be a
good
> System, but a very expensive one indeed, not to mention the
enormous
> amount of time and energy one would have to spend in developing a
> comprehensive expert system and testing it in the real-world.
>
> AB is the best platform to develop Trading Systems (Primary,
> Verification and Interpretation Systems) and its Optimization and
> BackTesting module is absolutely indispensible to develop a good
> Money Mangement Strategy which finally helped me to estimate
> DrawDowns and optimize position size. DrawDowns, as you might be
> aware threatens your survival as a trader, but you might get away
> without estimating it provided you use a strategy of tight stops,
and
> provided you do not day-trade where there are numerous losses and
> occassional gains with a tight-stop strategy. AB support through
its
> official channels and the user group is excellent making it fast
and
> easy to develop powerful systems and most of the systems are
already
> available in the AFL library and S & C trader tips and through
gifts
> from its most accomplished users. In future AB might also include
> Monte Carlo Simulations.
>
> Monte Carlo simulation is a way to account for the randomness in a
> trading parameter -- in this case, the sequence of trades. The
order
> in which losses and gains come dictates the drawdown and thus the
> risk of loss (Figure 1). This order is random, and therefore, so
is
> the risk of loss.
>
> In Monte Carlo simulations, the basic idea is to take a sequence
of
> trades generated by a trading system, randomize the order of
trades,
> and calculate the rate of return and the maximum drawdown,
assuming
> that x% of the account is risked on each trade. The process is
> repeated several hundred times, each time using a different random
> sequence of the same trades. You can then pose a question such
> as, "If 5% of the account is risked on each trade, what is the
> probability that the maximum drawdown will be less than 25%?" If
> 1,000 random sequences of trades are simulated with 5% risk, for
> example, and 940 of them have maximum drawdowns of less than 25%,
> then you could say the probability of achieving a maximum drawdown
of
> less than 25% is 94% (940/1,000).
>
> It is just a matter of time before I convert all of my systems
> developed in other software into AB...
>
> rgds, Pal
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "aadicker698" <aadicker698@xxxx>
> wrote:
> > I had purchased OmniTrader two days ago, and am awaiting it's
> > arrival. Then, yesterday, I ran across the Amibroker site and
> loved
> > what I read. Has anyone ever used OmniTrader? Would it be
worth
> my
> > time to learn it, or should I focus on learning Amibroker? All
> > honest and frank suggestions/opinions would be greatly
appreciated!
> >
> >
> > Anthony
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