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Howard,
OT 2003 & 2004 does have walk-forward testing capability in-addition
to backtesting at the same time. I agree it does seem to be spending
less time in optimization. As you might be aware, It is optimizing
many individual systems and arriving at a collection of systems below
the vote line. It then uses Back Test Scores from the systems to
form a consensus to create the Vote Line signals. This is very
different, and much more advanced, than just optimizing a particular
indicator.
The problem is that the in-sample period has to be sufficiently large
(recommend 15 years) so that it is an accurate representation of the
real world (sample means approaches global population means above a
sample size) thus eliminating chance or chance alone that might have
played in producing excellent results. In absense of that, one is
forced to do optimization on a frequent basis, sometimes daily or
even hourly! Even fixing the periods of the systems would not help
if the in-sample size is not large enough, because in all cases the
accuracy of the signals was less than that achieved by optimizing,
thus forcing re-optimization.
As you are aware, Indicators do not signal, they indicate and one
would build a collection of systems out of it to form a consensus to
simulate a generic master pattern which generates patterns for most
market situations and use filters/Verification/Interpretation systems
tailored for each market situation to build an expert sytem out of it
and validate by walk-forward testing, not to mention efficient money-
management (PositionSize, MaxRisk, MaxOpenPositions, PositionScore,
Monte Carlo Simulation to account for the randomness in a trading
parameter, for e.g, The order in which losses and gains come dictates
the drawdown and thus the risk of loss. This order is random, and
therefore, so is the risk of loss) and managing this risk of loss
(stops and limits). Mama-Mia, lots of work involved...
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> Hi Anthony -
>
>
>
> A few years ago, I was actively writing articles and reviewing
programs for
> technical analysis journals. I was asked to review OmniTrader by a
> publication whose name I have forgotten. I spent weeks working
with it.
>
>
>
> As you may know, OmniTrader is crammed with indicators. One of its
features
> was an optimization during which it calculated the optimum value
for all
> indicators. For one thing, the speed of the optimization worried
me a bit -
> it completed far too quickly to have done a thorough testing. For
another,
> there was no out-of-sample period, and no walk-forward capability.
In order
> to test the profitability of signals, I had to add one day of data
at a time
> and rerun the analysis. A third problem was that signals would
appear, and
> then disappear one or more days later. I found most signals to be
> unprofitable and concluded that it was over-fitting the models to
the data.
>
>
>
>
> I talked with the principals at OmniTrader about my findings, and
was told
> that I should not be thinking of OmniTrader as a trading system,
even though
> it clearly issues buy and sell signals. I didn't get a very good
> explanation of what they thought it was.
>
>
>
> The review I wrote and submitted to the publication was not very
favorable
> to OmniTrader - it was never published.
>
>
>
> A quick check this morning shows two Yahoo groups for OmniTrader,
each with
> about 100 members. The messages posted to one of the groups were
mostly
> spam for porn sites. The other was mostly about OmniTrader, but the
> postings were not very helpful or insightful.
>
>
>
> Howard
>
>
>
> -----Original Message-----
> From: aadicker698 [mailto:aadicker698@x...]
> Sent: Saturday, December 06, 2003 7:44 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] OmniTrader?????
>
>
>
> 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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