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Hi
N.
if
your system's equity curve is smooth over long periods of time your drawdowns
can be traded (Equity Feedback or equity-Trading, search the archives
and TASC).
Good
luck with your system,
herman
Hello ,
I
am currently in that phase of trading system development where i
am putting
stress on Optimisation of the systems i have got ready
.Unfortunately some
of the systems which are showing extremely very
good returns on
a sustained long term basis are also showing terrific
drawdowns during a
very few stages which would give anyone butterflies
.I would like to
evaluate your Optimisation DLL .Any link to the same
would be nice.
(In Jest)-Is it necessary to go to warmer climes
for full time
trading.I mean we are not migratory birds though we
may migrate
between currencies , stocks ,gold , silver , lean hogs ,
cotton etc
etc.I stay in extremely cold conditions a few months of the year
where
temps are sometimes below freezing .Currently weather here is
fine and
sunny and just right for some
OPtimisation.
Thanks for the
info.
--- N !!
--- Steve Dugas
<sjdugas@xxxxxxxxxxx> wrote:
> Hi Fred,
>
> I
have seen you refer to "intelligent optimization" in previous
>
messages.
> Honestly, I can't claim to know very much about it, but I
am guessing
> that
> you have determined your PSO approach to be
the most feasible method
> of
> attacking this for the time
being? I downloaded your original version
> when
> you first
posted it, but have not been able to look at it yet.
> Unfortunately,
with a full-time job and the need to concentrate on my
> trades
>
at night, I had to pretty much abandon the idea of exploring new
>
approaches
> a while back due to lack of time.
>
> The
good news (for me, anyway :-) is that within a month or two, I
>
will
> have moved on to warmer climes and full-time trading, at which
point
> I will
> be able to resume coding on a few ideas that I
have.
>
> I am actually very interested in optimization. You may
recall that I
> wrote a
> DLL a year or two ago which
automatically returns the optimal value
> of
> several built-in
indicators for each individual stock. At the time,
> this
>
approach was roundly denounced by some of the more experienced
>
traders, and
> in fact, I actually tried it for a while, with only
mediocre results.
> But
> based on these results, I have some
ideas/plans for refining and
> backtesting
> this approach, which
I have put on hold for now because it looks like
> a
> major
coding job. The results, of course, remain to be seen, but when
> the
> time comes, I would be very interested in hearing your opinion
and,
> if you
> think you might be interested, possibly getting
your feedback on ways
> to
> improve it via these intelligent
optimization and/or sensitivity
> testing
> methods. OK, getting
late now here, time to look at some charts.
> Thanks
> again for
the code below, and looking forward to your response!
>
> Steve
>
> ----- Original Message -----
> From:
"Fred" <ftonetti@xxxxxxxxxxxxx>
> To:
<amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, April 05, 2005 12:10
AM
> Subject: [amibroker] Re: Optimizing & Robustness of single
parameters
>
>
> >
> >
> > The next
for systems w/more then 2 parameters where exhaustive
> search
>
> is not feasible is to incorporate sensitivity testing of
parameter
> > values in the optimization process so that one winds up
with a
> > relatively insensitive group of parameter values.
This IS doable
> > using an intelligent optimization process.
>
>
> > --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas"
<sjdugas@xxxx>
> wrote:
> >> Thanks Fred - very nice
idea!
> >>
> >> FWIW, I just realized that Herman sent
the code for his graphs in
> a
> >> follow-up message to the
original. Here it is for anyone that
> might
> > be
>
>> interested.
> >>
> >> Steve
>
>>
> >> ----- Original Message -----
> >> From:
"Fred" <ftonetti@xxxx>
> >> To:
<amibroker@xxxxxxxxxxxxxxx>
> >> Sent: Monday, April 04,
2005 9:22 PM
> >> Subject: [amibroker] Re: Optimizing &
Robustness of single
> > parameters
> >>
>
>>
> >> >
> >> >
> >> > For
systems with a single parameter this is of course fine ...
> >>
>
> >> > For systems with more then 2 two parameters where
the 3d plots
> > are no
> >> > longer of great use
it's a simple matter to generate random data
> >> > points in
the +/- n% range of what appears to be the optimum
> > value
to
> >> > see how sensitive or not the parameter values
actually are i.e.
> >> >
> >> > Original System
where the default values are assumed to be
> optimum
> >>
> but sensitivity is unknown ...
> >> >
> >>
> X = Optimize("X", 10, 1, 20, 1);
> >> > Y = Optimize("Y",
100, 1, 200, 1);
> >> > Z = Optimize("Z", 1000, 1, 2000,
1);
> >> >
> >> > Sensitivity Tester for +/-
10%
> >> >
> >> > Senstivity =
Optimize("Sensitivity", 1, 1, 5000, 1);
> >> >
> >>
> X = Round((Random() - 0.5) * 2.99) + 10;
> >> > Y =
Round((Random() - 0.5) * 20.99) + 100;
> >> > Z =
Round((Random() - 0.5) * 200.99) + 1000;
> >> >
>
>> > The results based on whatever fitness metric interests you
can
> be
> >> > observed and sorted in the output of
optimization and/or can be
> >> > exported for further
statistical analysis (distribution) in
> Excel.
> >>
>
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "Steve Dugas"
<sjdugas@xxxx>
> > wrote:
> >> >> Hi
Natasha,
> >> >>
> >> >> Here is the
entire message intact, with thanks to Herman.
> >>
>>
> >> >> Steve
> >> >>
>
>> >>
>
-----------------------------------------------------------------
> >
--
> >> >>
> >> >> In addition to using 3D
surface maps to evaluate the Robustness
> > of
> >> >
two or more parameters you may consider assessing the Robustness
> >
and
> >> > across-market dependency of single parameters over a
Watch list.
> >> >>
> >> >> You can do
this by superimposing equity lines for different
> >> >
parameter values to see whether they track over time (fan-out) .
> >
This
> >> > is a far better method for evaluating systems and
finding stocks
> > than
> >> > picking a high equity
from the Optimization result table. If the
> >> > equity ratios
remain approximately constant your parameters are
> > more
>
>> > Robust than if the Equities do not track.
> >>
>>
> >> >> In my example I use Steve Karnish's CMO5
system (symmetrical
> >> > triggers). To test this method on
your own trading system you
> > should
> >> >
substitute your own code inside the curly brackets of the
>
System()
> >> > function and substitute the variable named
"TestParameter" for
> the
> >> > parameter you like to
evaluate. Here is a typical chart showing
> >> > robust
behavior:
> >> >>
> >> >>
> >>
>>
> >> >> Here is a chart for a system that may be
over optimized and
> lacks
> >> > robustness:
>
>> >>
> >> >>
> >> >>
>
>> >>
> >> >> Things to look for:
>
>> >>
> >> >> 1) Over-optimization: High profits
but Equity lines move all
> over
> >> > the
place.
> >> >> 2) Robustness: Equity lines "fanout" keeping
the system
> > profitable
> >> > under most
TestParameter values
> >> >> 3) Synchronized dips; if all
equities dip you can create an
> > Equity-
> >> >
composite and use it to qualify signals.
> >> >> 4) Stepping
through the stocks in you workspace you can observe
> >> >
stock-synchronization
> >> >> 5) Is the optimum value
optimum over time?
> >> >> 6) Straight equity lines
>
>> >>
> >> >> Happy trading,
> >>
>>
> >> >> Herman
> >> >>
>
>> >>
> >>
>> Yahoo! Groups Sponsor
>
>>
>>
ADVERTISEMENT
> >> >>
> >> >>
>
>> >>
> >> >>
> >> >> Send BUG
REPORTS to bugs@xxxx
> >> >> Send SUGGESTIONS to
suggest@xxxx
> >> >>
-----------------------------------------
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AmiQuote-related messages ONLY to:
> amiquote@xxxxxxxxxxxxxxx
>
>> >> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
>> >> --------------------------------------------
>
>> >> Check group FAQ at:
> >> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>> >>
> >> >> Your use of Yahoo! Groups is
subject to the Yahoo! Terms of
> >> > Service.
> >>
>>
> >> >> ----- Original Message -----
> >> >> From: Natasha !!
> >>
>> To: amibroker@xxxxxxxxxxxxxxx
> >>
>> Sent: Monday, April 04, 2005 1:02 PM
> >>
>> Subject: [amibroker] Optimizing & Robustness of
single
> > parameters
> >> >>
> >>
>>
> >> >> Hi,
> >>
>> Just going over
the archieves and i dug out a mail i
> > didnt
> >> >
quite well understand:
> >> >> Since the
attachments are not stored in the usergoups any
> graph
> >>
> to illustrate the same would be much obliged;
> >>
>>
> >>
>>
Thanks.
> >> >>
> >> >> -- N
!!
> >> >>
> >> >>
> >>
>> In add From: "Herman van den Bergen"
<psytek@>
> >> >> Date: Thu Sep 4,
2003 9:44 am
> >> >> Subject: Optimizing
& Robustness of single parameters ition
> to
> >> >
using 3D surface maps to evaluate the Robustness of two or more
>
>> > parameters you may consider assessing the Robustness and
across-
> >> > market dependency of single parameters over a
Watch list.
> >> >>
> >> >>
You can do this by superimposing equity lines for different
> >>
> parameter values to see whether they track over time (fan-out) .
>
> This
> >> > is a far better method for evaluating systems
and finding stocks
> > than
> >> > picking a high
equity from the Optimization result table. If the
> >> > equity
ratios remain approximately constant your parameters are
> >
more
> >> > Robust than if the Equities do not track.
>
>> >>
> >> >> In my example I use
Steve Karnish's CMO5 system (symmetrical
> >> > triggers). To
test this method on your own trading system you
> > should
>
>> > substitute your own code inside the curly brackets of
the
> System()
> >> > function and substitute the
variable named "TestParameter" for
> the
> >> > parameter
you like to evaluate. Here is a typical chart showing
> >> >
robust behavior:
> >> >>
> >>
>> Chart for the above
and for the below
> >> > explanation.Thanks ???
>
>> >>
> >> >> Here is a chart for a
system that may be over optimized and
> > lacks
> >> >
robustness:
> >> >>
> >> >>
>
>> >>
> >> >> Things to look
for:
> >> >>
> >> >> 1)
Over-optimization: High profits but Equity lines move all
> >
over
> >> > the place.
> >> >> 2)
Robustness: Equity lines "fanout" keeping the system
> >> >
profitable under most TestParameter values
> >>
>> 3) Synchronized dips; if all equities dip you can create
an
> >> > Equity-composite and use it to qualify
signals.
> >> >> 4) Stepping through the stocks
in you workspace you can
> observe
> >> >
stock-synchronization
> >> >> 5) Is the optimum
value optimum over time?
> >> >> 6) Straight
equity lines
> >> >>
> >> >>
Happy trading,
> >> >>
> >> >>
Herman
> >> >>
> >> >>
> >>
>>
> >> >>
> >> >> Warm
regards,
> >> >> Natasha !
> >>
>>
> >> >>
> >> >>
> >>
>>
> >> >>
>
-----------------------------------------------------------------
> >
---
> >> > ----------
> >> >>
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> >>
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please send an e-mail directly
> to
> >>
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> >>
>>
> >> >> For other support material
please check also:
> >> >> http://www.amibroker.com/support.html
>
>> >>
> >> >>
> >> >>
>
>> >>
> >> >>
> >> >>
>
-----------------------------------------------------------------
> >
---
> >> > ----------
> >> >>
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> >> >
> >>
> To get support from AmiBroker please send an e-mail directly to
>
>> > SUPPORT {at} amibroker.com
> >> >
>
>> > For other support material please check also:
> >>
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>
>> >
> >> >
> >> > Yahoo! Groups
Links
> >> >
> >> >
> >>
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> >> >
> >> >
> >> >
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>> >
> >> >
> >
> >
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>
> >
> >
> >
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> >
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> >
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> >
> > Yahoo! Groups Links
> >
>
>
> >
> >
> >
> >
> >
>
>
>
>
>
Warm regards,
Natasha
!
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