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<FONT face=Arial color=#0000ff
size=2>Dave,
<FONT face=Arial color=#0000ff
size=2>
IMO,
that would be extreme overfitting. It takes about fifteen minutes
doing out-of-sample research to convince me that individual parameters for each
(or even a few) stocks would make a serious dent in my assets. I feel this
way regardless of whether you are talking about RSI, MA, EMA,
whatever. To me, the beauty of trading stocks instead of 40
futures markets is that you can find a single parameter set that works across
thousands of stocks generating thousands of trades. I like statistics on
my side!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Saturday, February 07, 2004 4:25
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Determining cycles
<SPAN
class=031482321-07022004>Chuck, just out of curiosity, why do you say you'd
NEVER use different periods for each stock? Is your concern there with
overfitting? Something else?
<SPAN
class=031482321-07022004>
<SPAN
class=031482321-07022004>Dave
<BLOCKQUOTE dir=ltr
>
<FONT face=Arial color=#0000ff
size=2>Ara,
<FONT face=Arial color=#0000ff
size=2>
I
should tell you that I have never found moving averages to work well, over
time, except for market timing using something like a 5/15 EMA
crossover. Every attempt that I've made to find one moving average
across a basket of stocks has not been profitable. Dynamically
adjusting the lookback periods, however, does improve things
considerably. For the record, I would NEVER use different lookback
periods for each stock.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Ara Kaloustian<SPAN
class=031482321-07022004><FONT face="Courier New"
color=#0000ff>
<SPAN
class=031482321-07022004>
Chuck, glad to hear you've tried
this....
I tried - a while ago - to use ROC as a
measuring tool to set stochastic cycles ... it improved performance but
was rather crude and did not have the time to persue it at the
time.
Hope we get a lot of responses see what tools
are best for measuring cycle length.
... You're right acout MA Crossovers being th
obvious place to start optimizing
<FONT face=Arial
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