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QuantTrader,
You are in the right topic.
I took a part of it somewhere else which it not that smart a thing
to do as it causes confusion and de-values the original subject.
Thanks for the tip.
I like the look of it.
It's right up my alley.
I will add it to the trading toolbox.
I am following up on PS's leads also.
I first came across a calender bias when I selected the first day of
each month as a pseudo random entry for control purposes and got a
surprise when it exhibited a bias.
I have yet to try AB's random() but it is not far away so your help
was timely.
I have plotted random numbers in Xcel as a pseudo *break-even trade*
equity curve and I was stunned.
It was the biggest eye-opener I have experienced in trading.
New traders should try it.
The similarity to stockmarket chart patterns is uncanny and the
winning/losing equity curves produced from a known *no win* system
are scary.
>From that moment on I started to take statistics and evaluation very
seriously.
I maintain a reading list from amongst the better sellers at Amazon
and I take it that they represent the knowledge base of most of us
in the earlier years.
>From those books I have formed the view that statistics have been
poorly treated by the average author in the field.
If that flows on to traders then I would say a lot are underdone on
the subject.
I also think that this forum offers superior trading advice to that
on offer in the majority of textbooks, on almost any trading subject
one could care to investigate.
I admit it is a little spread out and unstructured at times but it
is all in there somewhere.
I probably will raise the subject of statistics again in the future
if I have any questions or when I have some more clout and can
contribute something more substantial to the debate.
Thanks once again.
BrianB2.
roker@xxxxxxxxxxxxxxx, "quanttrader714" <quanttrader714@xxx> wrote:
>
> This is OT on psychology but a while back I believe you were asking
> about statistics and trading? Here's a very simple statistical
test
> that can be run using AB alone. This simplified example will
estimate
> the strength of a "long only" system's entries. Long and short
> systems and exits are a bit trickier but the principle is the same.
>
> Run an *out of sample* (OOS) system backtest. Save the results.
Note:
> OOS only!
>
> Add the following line of code to specify the number of
iterations.
> I'd run 1000 or more but as few as 100 will still give a crude
> estimate.
>
> Iterations = Optimize("Iteration",1,1,1000,1);
>
> Replace the system's buy condition with the following code but
leave
> the original settings, sell condition and stops in place. Tweak
the
> value in the Buy line (0.975 in this case) so the number of trades
is
> approx. the same number as in the original OOS backtest. BTW, I
> personally wouldn't be comfortable with this procedure unless the
OOS
> backtest has at least several hundred trades.
>
> Buy= Random()>0.975;
>
> Optimize over the OOS period. Sort results by the metric you want
to
> analyze. The fraction of optimized results that is greater than or
> equal to the OOS backtest metric is an estimate of the probability
> that one can do as well as or better than the original system
entry by
> chance alone. Of course no matter how good the results, there's no
> guarantee of future profitability. But this is an easy way to get
a
> decent estimate of how much better than chance your OOS metrics
are.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@> wrote:
> >
> > Thanks to the silent majority for your patience with me on the
> > Psychology included in this topic.
> > Right at the moment I can't see myself raising the subject
again,
> > not in this forum anyway.
> >
> > My next series of posts is all hardcore trades and code; I
promise.
> > I have started testing the bearMonday Calender Affect and I will
> > post the results as a training project.
> > If there is a valid trade in there I am likely to publish it,
but
> > don't hold your breath.
> > While, as a project it has some interesting features, I don't
see
> > anything to get excited about so far.
> > The results will be posted in a new topic: *Calender Effect*;
maybe
> > next week.
> >
> >
********************************************************************
> >
> > Trading Psychology follows.
> > Includes material suitable for advanced students only.
> >
> > I need to redress the omission of an important point and I will
also
> > offer a short explanation to help with practical application.
> >
> > Referring to the visual mnemonic.
> >
> > The universal energy (white space)is the same within and without
> > except that which is within the area bounded by the mnemonic is
that
> > portion commanded by the individual.
> > Great men perform great acts in the world by way of the amount
of
> > energy at their disposal.
> >
> > The visual image implies that this is brought about by an act of
> > dedicated focus based on supreme will power.
> >
> > Energy is a matter related to the heart.
> > If you don't have enough that is where to start looking.
> >
> > The symbology contained in many popular books is often incorrect
or
> > of academic interest only.
> > The true symbology for Erebus is the circular *Snake that
swallows
> > its own tail*; an ancient Cosmological symbol.
> > Symbols can have several meanings, depending on their use,
rather
> > like signs in some Asian languages.
> > In this case it refers to perpetual circular motion.
> >
> >
> > Practical examples:
> >
> > 1. Should the goals set be achievable goals?
> >
> > Your goals should match your dreams and beyond.
> > Hitch your wagon to a star.
> > If you reach for the stars and fall short you may still grab
hold of
> > the moon on the way down.
> >
> > 2. How can we ever expect to reach *pie in the sky* goals?
> >
> > Assess with total honesty where you are now in comparison to
where
> > you intend to be.
> > What resources do you command? mentally list the pluses and
minuses.
> > Then start with a step by step plan to reach the first
attainable
> > stage that you can see up ahead in the distance.
> > Work to build on your strengths and eliminate your weaknesses.
> > Don't look beyond the first stage; the gulf between you and your
> > goals will act to deter you if you do.
> > Only look (plan) one stage ahead at a time.
> >
> > Hold on to your dream (goal) the way a drowning man or woman
> > clutches at a lifebuoy.
> > Don't let go no matter how rough the weather.
> >
> > 3. Won't it be psychologically damaging if I set an impossible
dream
> > and then fail?
> >
> > Not at all.
> > Not if you gave it your best shot.
> > I have never meet one single person who isn't happy with that.
> >
> > It is common for people to hitch their wagon to the wrong star.
> > Once this becomes apparent it is better to accept this and
change
> > stars.
> >
> > Life also changes; relationships, health, family, work and many
> > other issues can force us to abandon or postpone a dream.
> > If this is the case accept your destiny with humility, not
rancour.
> >
> > Trading itself has no more or less intrinsic value than
thousands of
> > other things we could do with our lives.
> > The true value lies in the character it builds and the habits of
> > success that it engenders.
> > They are portable and will serve us well anywhere.
> >
> > *Great Honour* to the venerable Confucius, LaoTze; *The Way of
the
> > Tao*.
> >
> > Fritjof Capra?
> >
> > BrianB2.
>
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