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Brian,
At least have the courtesy to label your posts of this nature OFF
TOPIC ...
This is my last post in this thread ...
I usually let most of your posts go by because for the most part
they're too lengthy with very little meat to bother with but at the
same time they are also usually innocuous. However, your posts on
this topic are anything but innocuous ... There's no "training" going
on, just diarhea of the keyboard and as far as critqiuing your posts
go, we did so you just chose to ignore them or more likely didn't
understand the critique. I'm sorry if you were offended, but I find
your posts offering to "teach" others about something you obviously
know very little about to be highly offensive to the point where I
feel I must step in and say so before you drive the lemmings to the
sea.
PS ... My comment about your one reply being absurd was not my
colorful way of disagreeing ...
--- In amibroker@xxxxxxxxxxxxxxx, "brian.z123" <brian.z123@xxx> wrote:
>
> 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@> 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.
> > > > >
> > > >
> > > >
> > >
> >
>
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