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Fred,
Having developed systems from scratch, and also testing my
discretionary systems to see what works under pressure, I can tell
you I used the same process for both. My discretionary systems all
have visually specific entry and exit signals, based mostly on one
smoothed line crossing another smoothed line, etc.
I suspect the answer to your question about objectivity is that when
mixing a non-discretionary system with discretionary intuition,
intuition tells me I am merely building confidence in my
discretionary system by statistically proving that it works.
I have studied phenomena related to this, the work of Ken Batcheldor
(and Iris Owen) to be exact. He demonstrated that to generate
certain paranormal activity, the mind needed to be
initally "tricked" into doing so. This helped the mind break into
unknown territory, whereas before it was incapable of doing it on
its own. After a bit of subtle, anonymous trickery that the subject
assumed was his own doing, the subject was then shown to be capable
of performing the paranormal activity on his own. Same goes for the
four-minute mile, or any feat originally deemed by the mind to be
impossible.
In the same way, I am using statistical analysis to trick myself
into believing that my discretionary system actually works ;-)
I would even go so far as to propose that's all anyone ever can do,
but that's an entirely different discussion for another day.
Best,
Brian
--- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx> wrote:
>
> Fred. I would think you could optimize a discretionary system the
same way
> you'd optimize any other system. Determine the parameters that
you are
> using to enter and exit, and then try modifying them and see what
happens.
>
>
> ----- Original Message -----
> From: "Fred" <ftonetti@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, March 09, 2006 2:52 PM
> Subject: [amibroker] Re: Short system advice?
>
>
> > Given that over a long period of time that markets are up about
> > twice as frequently as they are down, I don't find this to be
real
> > surprising.
> >
> > Keep in mind when writing systems that:
> >
> > 1. Short's don't have to be symetrical with buys ...
> > 2. It's not a horrible idea to have periods when one is flat as
> > well as long and short i.e. a reason to exit a long position is
not
> > necessarily a reason to enter a short position.
> >
> > Question: How does one objectively backtest/optimize a
discretionary
> > system ?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Brian" <brianrichard99@>
wrote:
> >>
> >> I have some nice, well-tested long systems in place. I was
> > surprised
> >> when testing my discretionary systems, to find that none of my
> > short
> >> signals performed nearly as well as the long signals, in the
> >> optimization/backtest/monte carlo simulations.
> >>
> >> Is this common?
> >>
> >> In addition, I am looking for some ideas around what indicators
to
> > use
> >> as the foundation for building an adequate short system. Any
> > ideas? I
> >> did some searches on previous messages here, and did not find
> > anything
> >> of value. General rules of thumb, and bits of experiential
wisdom,
> > are
> >> also welcome -- as they apply to short systems.
> >>
> >> Thanks in advance,
> >>
> >> Brian
> >>
> >
> >
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
> > To get support from AmiBroker please send an e-mail directly to
> > SUPPORT {at} amibroker.com
> >
> > For other support material please check also:
> > http://www.amibroker.com/support.html
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
>
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