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<SPAN
class=322173113-08022004>As I suspected.
<SPAN
class=322173113-08022004>
<SPAN
class=322173113-08022004>Just for my understanding then, what you mean by
"adjusting the lookback period" is changing the period for EMAs or other
functions over time, but using the same value for all issues? Thinking through
the underlying trading idea here, that'd say that the "frequency" of the overall
market changes, but that there's some degree of consistency across various
issues at any given time?
<SPAN
class=322173113-08022004>
<SPAN
class=322173113-08022004>Dave
<BLOCKQUOTE dir=ltr
>
<FONT face=Tahoma
size=2>-----Original Message-----From: Chuck Rademacher<FONT
face=Tahoma size=2>
<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>
<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.
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