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Chuck,
I just got on board this system thing ... and have
not done much, but tried using PositionScore with correlating stocks to SP500 as
the only stock parameter... in addition to market timing.
The results were encouraging... but as I said just
started.
Wondering if you had used correlation in your
systems?
Ara
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, December 30, 2003 9:54
AM
Subject: RE: [amibroker] The demise of 23
systems...
<FONT face=Arial color=#0000ff
size=2>Jayson,
<FONT face=Arial color=#0000ff
size=2>
I
can tell you, but probably not convince you, that the systems were not over
optimised. However, let me tell you the following so you can
decide for yourself:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. All 23 of these systems were long only.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. Each system had between 3 and 6 parameters, including two for
market timing.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>3. The performance of these systems did not fall off a cliff if
any or all of those parameters deviated in either
direction.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>4. Let's say that they were over optimised. The
systems won't optimise with the "revised"
data.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
I
have to tell you a couple more things:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. I tend to use exactly the same two-parameter market timing
methodology (including parameter values) for more than 120
systems.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. I find that the more stocks I pump into a system, the more it
has to select from and the better the performance.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>3. I could never get any systems to work to my satisfaction on
less than 1,000 stocks.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>4. I certainly could never get any system to work to my
satisfaction on the NASDAQ 100.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>5. All of my systems work (40+ years) was previously done outside
of AmiBroker where my database knows which stocks belong to which
index at any given minute in time.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>6. I became frustrated with reports of numerous AmiBroker users
having success with NASDAQ 100 trading systems.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>7. I created a (current) NASDAQ 100 watchlist and a bunch of
systems that appeared to work.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>8. I'm actually trading 11 of the 23 systems that I
mentioned. Well, to be honest, I was trading them until
yesterday.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>9. Once I tried the more accurate method of determining which
stocks were NASDAQ 100 constituents in AmiBroker, these systems fell
apart.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>That's my story... back to the drawing board (unless I want to ignore
using more accurate watchlists).
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Jayson
[mailto:jcasavant@xxxxxxxxxxx]Sent: Tuesday, December 30, 2003
9:52 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] The demise of 23 systems...
<FONT face=Arial color=#0000ff
size=2>Chuck,
<FONT face=Arial color=#0000ff
size=2>does this suggest that all of your systems were simply curve fitted
to the current nas100? Or perhaps simply over optimized?
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Chuck Rademacher
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Tuesday, December 30,
2003 7:05 AMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] The demise of 23 systems...
I
thought that I would share the following with you. Perhaps you
can see how the results of my research may affect your own
systems?
<FONT face=Arial color=#0000ff
size=2>
I
had what I thought to be 23 "good" to "very good" systems that I backtested
against a current NASDAQ 100 watchlist. After spending
two days updating symbols and accounting for de-listed stocks, I came up
with nine separate watchlists, as at January 1 each year between 1995 and
2003. Thanks to some of you, I modified my AFL to make sure that
I used the correct watchlist depending on the date. The
results... not one of my 23 NASDAQ 100 systems now backtest
with acceptable performance. Many went from nice, positive
returns with low drawdowns to negative returns and almost total loss of
capital.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>What does it all mean? IMO, working with only a current
NASDAQ 100 watchlist can give you a real sense of false
security. Not only are de-listed stocks not in the current list,
but many of those de-listed stocks had lacklustre performance before their
demise.
<FONT face=Arial color=#0000ff
size=2>
I
encourage you to think about the impact of using only a current watchlist,
regardless of how that list is constructed, for backtesting
purposes. I see it all the time. System designers
create watchlists of high-beta or high-yield or low P/E or whatever stocks
based on current information to backtest a system starting perhaps five
years ago. Think about it!Send
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