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Hello Ton,
Thanks to you and Keith for your support.
Thanks also to QT who followed all the arguments.
He can run rings around my stats.
The files required to finish the project are not quite ready to post.
Unfortunately some urgent business that I have to attend to
personally has come up and so I will be out of the office and not in
the forum for a couple of weeks.
After that I will be taking some leave.
When I get a chance to look at it I will probably talk to Tomasz
privately about somewhere else to put them.
Best wishes to all on both sides of the fence and the ones in the
middle too.
BrianB2.
--- In amibroker@xxxxxxxxxxxxxxx, "Ton Sieverding"
<ton.sieverding@xxx> wrote:
>
> Brian, my opinion is that's Don's reaction is absurd. If he should
not have a mirror at home, I will send him one. There is no reason
to tell somebody that he is a 'over inflated educational guru who
wants to see his writing in print'. If Don does not want to read
your stuff, he is free to do so. Of all the emails I am getting, I
am skipping 90%. But that's not a reason to give the sender of the
emails such an answer. These kind of personal reactions on forums is
wrong and not very constructive ...
>
> The question of course is, if this is the right place to post the
kind of stuff you're writing ? For me as I already have told you,
it's fine. For others as I understood not. So we have a conflict.
Normally it's up to the forum manager to decide and solve the
problem. Who is the forum manager ?
>
> Ton.
>
>
> ----- Original Message -----
> From: brian.z123
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Friday, November 10, 2006 7:51 AM
> Subject: [amibroker] OT: Re: Margin of Error
>
>
> Don,
>
> Gentleman of the day.
>
> Please don't post anymore on this issue.
> I have got the message.
>
> I have already left the building.
>
> I only checked in to confirm that it still wasn't going on to
the
> detriment of the forum and others.
>
> Don't drag Tomasz into it.
> He has enough to do and he does a brilliant job of managing a
wide
> range of interests and all the various Ami platforms.
>
> You have all had the last word and the last laugh.
>
> Please do not post again and I won't have to ask you to stop
again.
>
> BrianB2.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Don Lindberg" <dlindber@>
> wrote:
> >
> > Brian,
> > I am afraid I have to disagree with one of your statements,
and I
> quote" The
> > reason I can do that is because my ego is not that large".
This
> whole
> > educational guru" bit that your are on is nothing more than an
> over-inflated
> > ego that likes to see his words in print. I for one am getting
> tired of
> > seeing your never ending rants about something that 1) has
little
> bearing on
> > this forum and 2) that you appear to know little about. Why
don't
> you find a
> > soap box in some other park to preach from.I feel I am not
alone
> in this
> > statement, and I do wish Tomasz would step in a put an end to
this
> ABUSE of
> > our AmiBroker forum.
> > Sincerely,
> > Don Lindberg
> >
> > -------Original Message-------
> >
> > From: Fred
> > Date: 11/9/2006 8:49:36 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] OT: Re: Margin of Error
> >
> > 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@>
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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