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Actually if you look back over the archives I suspect you will find
VERY little on IO or its predecessor PSO here ... The reason of
course is that this is an AB Forum ... Not a support forum for IO and
as such I have made a concentrated effort to direct folks to ask
support questions through email which is also what I advise them to
do in the doc. I'm not sure why this should be a surprise since TJ
himself has pointed out a zillion times, this is not the place to ask
support questions, even for AB. I do upon occasion reference IO
simply from the perspective of the kinds of things it is capable of
relative to a particular discussion, but that's it ... I don't market
it or other stuff I've written here other than when someone asks a
question about how can I do such and such and it happens to line up
with something I've written, I point them at the corresponding
product.
AB-TS used to be quite active and could be again if people posted non
directly AB oriented stuff there ... I think you'd find that most non
newbies check all the AB forums frequently as most things don't sit
in them for long periods of time without being addressed ...
It's either that or people will be coming along justifying why a long
winded discussion on topics like ... the US becoming more and more of
a socialist country and the effects that's likely to have on markets
long term.
Now don't get excited ... and PLEASE don't reply to the above
remark ... It was meant as an example but I suspect it was enough to
raise the blood pressure of more then a few folks temporarily ... by
more then a few points ... thus forcing them to respond if this
wasn't an example ... to a topic that should not have been here in
the first place.
Frankly I find discussions like the once that Brian started
interesting as well even though my take on them is substantially
different as my personal opinion is that Brian's knowledge of the
subject is at best sketchy ... I just don't think they belong HERE ...
--- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@xxx> wrote:
>
> Fred --
> "The big deal" is that someone made a significant effort to put
together
> a lucid description of some concepts which many of us do not fully
> understand or appreciate. Unfortunately he decided not to proceed
> because of inappropriate abuse by some others who would rather blow
> their own horn rather than let him proceed.
>
> I hope that he reconsiders and continues on with his original
project.
> I see no reason why it should be relegated to AmiBroker-ts.
> Unfortunately, that forum seems to get much less attention than
this
> one. I doubt that IO would have nearly the amount of positive
response
> (which it rightfully deserves), if it had been discussed only on -
ts,
> -at, or -afl.
>
> Hopefully he will complete his presentation without being taunted
by
> those who are not interested in what he has to say. Some of us are
VERY
> interested. For our sake, please allow (and encourage) Brian to
proceed.
>
> Thank you.
> -- Keith
>
> Fred wrote:
> >
> > What's the big deal ... Post it in AB-TS where those who aren't
> > interested don't have to read it ... The main forum is where for
the
> > most part newbies come to learn about how to make things happen
using
> > the product and not so newbies come to discuss new features and a
> > variety of other things realted to the product, as opposed to
hearing
> > newbies spout off about concepts they can't quite put together
that
> > have nothing to do with the product or its use.
> >
> > I'd be happy to participate unless of course you think differing
> > points of view are for some reason dangerous.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%
40yahoogroups.com>,
> > Keith McCombs <kmccombs@> wrote:
> > >
> > > BrianB2 --
> > > I, for one, am very disappointed by your decision to discontinue
> > > "Project Based Training". I was looking forward to further
> > > installments. Trading is definitely a statistical endeavor, your
> > first
> > > submission on Margin of Error was, in my opinion, extremely well
> > written
> > > and "ON Topic".
> > >
> > > As for your apology, I will not accept it. It is not due. Nor do
> > I
> > > want an apology from those on the forum who were so rude to you
and
> > to
> > > the forum as a whole. I just wish they had acted in a more civil
> > manner
> > > and allowed you to continue with your presentation. Their
comments
> > were
> > > rarely constructive (except perhaps to their own egos). If, for
> > some
> > > ideological reason, they didn't agree with you, couldn't they
just
> > have
> > > skipped your posts, with no harm done?
> > >
> > > Perhaps, after a few days, you can reconsider. Please, if
> > possible, try
> > > to block out the noise and continue on with your presentation.
> > >
> > > I am sure that there are others like myself who would love to
> > hear "the
> > > rest of the story".
> > > -- Keith
> > >
> > >
> > > brian.z123 wrote:
> > > >
> > > > This topic was part of OT:Project Based Training which
actually is
> > > > not an OT subject.
> > > > I put it under OT to be extra polite.
> > > > It was all part of a project that involved demonstrating the
> > > > principles under discussion in AmiBroker at the end of the
> > > > discussion.
> > > >
> > > > The topic(s) are within both the guidelines for the forum and
OT
> > > > subjects in the forum.
> > > >
> > > > Main topics of discussion:
> > > > - Trading techniques (using AmiBroker to implement the
technique)
> > > >
> > > > Allowable off-topic discussion:
> > > > - Trading in general
> > > >
> > > > The project had no more to do with TS than it does, say, AT.
> > > > It had everything to do with trading in general.
> > > >
> > > > However I am removing it from the forum on two counts.
> > > > Firstly, I am customer orientated and I am responding to the
> > > > requests of forum members.
> > > > I don't agree with your arguments in anyway but I am complying
> > with
> > > > your request.
> > > >
> > > > Secondly, and more importantly, some members of the forum have
> > > > breached my personal code of conduct.
> > > > The environment (of this project) has been made unpleasant
for me
> > > > and is not conducive to any further effort.
> > > >
> > > > That doesn't rule out my participation in other topics.
> > > >
> > > > Thanks to the people who contributed.
> > > > I apologise to anyone who was benefitting from the discussion
and
> > > > who will now miss out on the rest of the *project* components.
> > > >
> > > > The decision was out of my hands.
> > > >
> > > > BrianB2.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx
> > <mailto:amibroker%40yahoogroups.com> <mailto:amibroker%
> > 40yahoogroups.com>,
> > > > "brian.z123" <brian.z123@>
> > > > wrote:
> > > > >
> > > > > Part1 of Project Based Training No1.
> > > > >
> > > > > The objective of the project is to introduce new traders to
the
> > > > main
> > > > > concepts of system design/testing and demonstrate their
> > > > application
> > > > > in AmiBroker.
> > > > > At the same time it is hoped that the ideas presented will
> > provoke
> > > > > discussion and provide trading stimulation.
> > > > >
> > > > > All of the stages in the design process will not be
demonstrated
> > > > as
> > > > > most have already been covered elsewhere in the AmiBroker
> > support
> > > > > material.
> > > > >
> > > > > A basic understanding of the application of some statistical
> > > > methods
> > > > > to the trading environment is a pre-requisite.
> > > > > The opening topics address this need.
> > > > >
> > > > > To those who find the subject matter new *the project* will
be a
> > > > > workbook .
> > > > > To those who have experience in the subject it will be an
> > > > > opportunity to workshop.
> > > > >
> > > > > I would like to acknowledge my indebtedness to the academic
> > > > > community .
> > > > > I often refer to the material so generously interpreted for
the
> > > > > layperson and made available at websites by academic
> > specialists,
> > > > > particularly those associated with Universities.
> > > > >
> > > > >
> >
*******************************************************************
> > > > > Margin of Error.
> > > > >
> > > > > Back-testing of historical data provides traders with a
sample,
> > > > > typical of the trade they are testing. From that sample they
> > make
> > > > > inferences about the larger group, or population, of all
past
> > > > trades
> > > > > and future trades, of the same type, that were not included
in
> > > > their
> > > > > test window.
> > > > > Despite the fact that the people who teach them to back-test
> > also
> > > > > teach them that the past can not predict the future, some
> > continue
> > > > > to act as if it can.
> > > > >
> > > > > If the past can't predict the future. How can anyone trade
with
> > > > > confidence?
> > > > >
> > > > > The answer is that while the future can't be predicted, the
> > > > > likelihood of some mathematically defined outcomes can be
> > > > predicted
> > > > > with a degree of confidence.
> > > > > Statistics is the mathematical discipline that manages that
very
> > > > > well.
> > > > >
> > > > > The caveat is that to apply statistical methods to trading
> > > > samples,
> > > > > the assumption is made that they are the result of a random
> > > > process.
> > > > > Where the trading system chosen is biased to non-random
> > behaviour
> > > > it
> > > > > will be prone to failure if the market acts contrary to that
> > bias.
> > > > >
> > > > > For that reason system traders are faced with a choice
between
> > > > > attempting to define market behaviour e.g. a trend, and
pick a
> > > > > system to suit that, or search for a universal signal that
is
> > > > > consistent irrespective of any assumed market bias.
> > > > >
> > > > > If statistics can predict the likelihood of future trading
> > > > outcomes,
> > > > > how accurate will it be?
> > > > >
> > > > > *Standard error* or *margin of error* offers traders a
solution
> > > > but
> > > > > they are not subjects that are often discussed.
> > > > >
> > > > > In his book ,*Design, Testing, and Optimisation of Trading
> > > > Systems*
> > > > > (John Wiley & Sons, 1992), Robert Pardo raises the issue of
the
> > > > > accuracy of trading *predictions* based on the size of the
> > sample
> > > > > used:
> > > > >
> > > > > * The sample size must be large enough to allow the trading
> > system
> > > > > to generate a statistically significant sample of trades.
> > > > > A sample of one trade is certainly insignificant, whereas a
> > sample
> > > > > of 50 trades or more is generally adequate.*
> > > > >
> > > > > He uses Standard Error as a measure of significance:
> > > > >
> > > > > StdError = = 1/SquareRoot(sample size),
> > > > >
> > > > > 1/SqRt(50) = = 14.1%.
> > > > >
> > > > > There is little by way of further explanation provided.
> > > > >
> > > > > Applying the formula to a greater number of samples:
> > > > >
> > > > > Where N = = the number of trades in the sample
> > > > >
> > > > > StdError factor = = 1/SqRt(N)
> > > > > StdError% = 1/SqRt(N) * 100
> > > > >
> > > > > If N = = 2500 the StdError% = = 1/SqRt(2500) * 100 = = +/-
2%
> > > > > If N = = 10000 the StdError% = = 1/SqRt(10000) * 100 = = +/-
1%
> > > > >
> > > > > A trade sample of 10000 to provide statistical accuracy of
1% is
> > > > not
> > > > > easily achievable for traders, although a lot easier than
> > > > accurately
> > > > > surveying the eye colour of Polar Bears.
> > > > >
> > > > > Pardos equation is in fact, a rounding of the StdError
equation
> > > > for
> > > > > a 95% level of confidence:
> > > > >
> > > > > Margin of error at 99% confidence = = 1.29/SqRt(N)
> > > > > Margin of error at 95% confidence = = 0.98/SqRt(N)
> > > > > Margin of error at 90% confidence = = 0.82/SqRt(N)
> > > > >
> > > > > Later in the project I will use a basic random number
generator,
> > > > > within Xcel, to provide a visual aid that traders can use to
> > > > > understand the *sample* concept and decide for themselves
what
> > > > > constitutes an adequate sample.
> > > > >
> > > > > Wikipedia provides some additional clarity on the subject:
> > > > >
> > > > > http://en.wikipedia.org/wiki/Margin_of_error
> > <http://en.wikipedia.org/wiki/Margin_of_error>
> > > > <http://en.wikipedia.org/wiki/Margin_of_error
> > <http://en.wikipedia.org/wiki/Margin_of_error>>
> > > > >
> > > > > *The margin of error expresses the amount of the random
> > variation
> > > > > underlying a survey's results. This can be thought of as a
> > measure
> > > > > of the variation one would see in reported percentages if
the
> > same
> > > > > poll were taken multiple times. The larger the margin of
error,
> > > > the
> > > > > less confidence one has that the poll's reported
percentages are
> > > > > close to the "true" percentages, that is the percentages in
the
> > > > > whole population.*
> > > > >
> > > > > *An interesting mathematical fact is that the margin of
error
> > > > > depends only on the sample size and not on the population
size,
> > > > > provided that the population is significantly larger than
the
> > > > sample
> > > > > size, and provided a simple random sample is used. Thus for
> > > > > instance.......the running example with 1,013 random
> > samples......would
> > > > > yield essentially the same margin of error (4% with a 99%
level
> > of
> > > > > confidence) regardless of whether the
> > population..........consisted of
> > > > > 100,000 or 100,000,000.*
> > > > >
> > > > > In short the tail of the trading system sample is swinging
the
> > > > > trading system cat.
> > > > >
> > > > > BrianB2
> > > > >
> > > > > The material contained in this topic is for educational and
> > > > > discussion use only.
> > > > > It is not intended as financial advice and should not be
> > construed
> > > > > as such.
> > > > > The author is not an accredited academic or financial
advisor.
> > > > >
> > > >
> > > >
> > >
> >
> >
>
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