|
PureBytes Links
Trading Reference Links
|
Jeez, I have to say this endless pontificating is really getting old...
why not just start a blog somewhere and you can espouse on anything you want
to your heart's content? This is an Amibroker group...
Steve
----- Original Message -----
From: "brian.z123" <brian.z123@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, November 09, 2006 11:11 PM
Subject: [amibroker] Re: Margin of Error
> Hello Paul,
>
> The IT revolution has brought in a whole new set of paradigms.
> It is all relatively new.
> I don't believe any of us fully understand where it will all go.
> I also think we are only scratching the surface and that we are not
> using what is available to us now to its full extent.
>
> That applies to this forum.
>
> I am not one of the *internet kids* and they should be lapping me
> several times over, but they are not.
> The fact is I am a way more radical than most of the kids who are
> half my age.
>
> In the brave new world of internet forums, what is training, who is
> the teacher, who is the student and what format should it take?
> Who says the teacher has to know what subject we are going to learn,
> have all the answers or even give them all to you if he/she does?
>
> As Fred said, *it is all floating around in my head*, where else do
> I need it to be?
> I don't need to write it all down for my own benefit.
> I already know the answer.
> I am only researching the subject further to put the fancy icing on
> the cake.
>
> Sometimes in the forum I can change from being the teacher to the
> student and back again in three posts.
> The reason I can do that is because my ego is not that large that I
> can't turn it to my purposes.
>
> As a radical person I don't sit on the sidelines.
> I actively participate.
> I have attempted two *internet culture* experiments within the forum
> (keep in mind that I am naive to the ways of forums which most of
> you understand inside out).
>
> In the first I took on a pro-active role and offered to do a little
> free admin on the files section.
> I got absolutely hammered.
> That is the nature of experiments.
> I have no regrets.
> The results of the experiments are safely tucked away in my research
> lab.
>
> This time I tried a pro-active discussion with a light structured
> theme behind it.
> I was sensing that the experiment was failing so in those
> circumstances it is not hard for me to end the experiment.
>
> Don't blame me; the forum is just not up to it.
> Rest assured the underlying process was spot on, albeit very avante
> garde as a training method.
> It was all too quantum for the forum.
> The mean member wants Newtonian billiard balls.
>
> I would have been delighted if the forum could or would have
> critiqed the real points in the topics.
> Not one single person challenged my propositions that the
> optimisation phase might not qualify as a system test because it
> involves making subjective judgements, or my silly suggestion that
> the number and frequency of signals in a test sample, or changes
> there-in, might be a symptom of over-fitting.
>
> Not even the *Great Fred*, brought the full force of his intellect
> to bear on the facts and arguments presented.
>
> Incidentally Fred, it is not curve-fitting, which is a valid
> mathematical method, it is over-fitting.
>
> I was not offended by your *absurd* comment; that is just a
> colourful way of saying you disagree with the argument.
> Some of your behaviours and the behaviour of others in the forum is
> however deeply offfensive to me.
>
> As always some lovely people joined the topic(s) and generously
> shared some good information.
>
> If anyone who expressed interest in the subject privately or
> publically or who participated constructively in the topics wants
> some further info please email.
>
> Sometime in the next month or two I will probably email some extra
> notes out to that group to honour the commitment I made when the
> project commenced.
> I doubt if they will be as extensive or as conclusive as they could
> have been.
>
> I will be overseas on holiday for a while so I am not sure on the
> timing.
>
> Please don't engage in any acrimonious debate amongst yourselves;
> that is the very thing I abhor most.
>
> BrianB2.
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paultsho@xxx> wrote:
>>
>> I agree, there are plenty of other forums to post it to, AB-TS or
> even
>> elitetraders. and probably get more thorough examination there. I
> think the
>> concept presented needs thorough examination and is nowhere near
> ready for
>> "Training" as the originator espoused.
>> This is not the right place as Fred has said.
>>
>>
>> _____
>>
>> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
> On Behalf
>> Of Fred
>> Sent: Friday, 10 November 2006 12:12 PM
>> To: amibroker@xxxxxxxxxxxxxxx
>> Subject: [amibroker] Re: Margin of Error
>>
>>
>>
>> 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@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
> ps.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@xxxxxxxxx <mailto:amibroker%
> 40yahoogroups.com> ps.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
> <http://en.wikipedia.org/wiki/Margin_of_error>
>> .org/wiki/Margin_of_error
>> > > <http://en.wikipedia
> <http://en.wikipedia.org/wiki/Margin_of_error>
>> .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.
>> > > >
>> > >
>> > >
>> >
>>
>
>
>
>
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
>
>
Content-Description: "AVG certification"
No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.1.409 / Virus Database: 268.14.11/542 - Release Date: 11/20/2006
|