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<FONT face=Arial color=#0000ff
size=2>Dave,
<FONT face=Arial color=#0000ff
size=2>
I'm
think my comments are, at best, ambiguous and I apologise for the
confusion. The confusion came about due to talking about "dynamic
parameters" vs. "stock-specific parameters".
<FONT face=Arial color=#0000ff
size=2>
While I
would really discourage anyone from using a different parameter set for each
stock, I would recommend using identically calculated dynamic
parameters for each bar for each stock.
<FONT face=Arial color=#0000ff
size=2>
Now,
that statement may lead to even more confusion unless I give some examples and
these are only my opinions:
<FONT face=Arial color=#0000ff
size=2>
Good
example:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial
color=#0000ff size=2>5/15 cross for all stocks
<FONT face=Arial color=#0000ff
size=2>
Bad
examples:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial
color=#0000ff size=2>5/15 cross for IBM
<FONT face=Arial
color=#0000ff size=2>5/17 cross for MSFT
<FONT face=Arial
color=#0000ff size=2>4/13 cross for INTC
<FONT face=Arial
color=#0000ff size=2>etc.
<FONT face=Arial color=#0000ff
size=2>
Good
example using a percentage of the Hilbert calculated cycle length on any
day:
<FONT face=Arial color=#0000ff
size=2>
<FONT
color=#0000ff size=2>0.25% / 0.75% cross for all
stocks
<FONT face=Arial color=#0000ff
size=2>
Bad
examples:
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial
color=#0000ff size=2>0.25% / 0.75% cross for IBM
<FONT face=Arial
color=#0000ff size=2>0.33% / 0.80% cross for MSFT
<FONT face=Arial
color=#0000ff size=2>etc.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Sunday, February 08, 2004 8:38
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Determining cycles
<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=Arial color=#0000ff
size=2>Dave,
<FONT face=Arial color=#0000ff
size=2>
<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.Send
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