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to go from long to short just halve the long system periods, and
invert from using highs to lows, would be a good place to start
--
Cheers
Graham
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On 3/10/06, Brian <brianrichard99@xxxxxxxxxxx> wrote:
> 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
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> >
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
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> To get support from AmiBroker please send an e-mail directly to
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