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Brian.
I don't get it... why don't you just post your thread on the Amibroker
"trading systems" forum (amibroker-ts)? Tomasz has set this up explicitly
for threads such as yours! It takes 5 minutes to join it. Honestly, that
forum needs some traffic -- your ideas could really add to it!
----- Original Message -----
From: "brian.z123" <brian.z123@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, November 10, 2006 7:40 AM
Subject: [amibroker] OT: Re: Margin of Error
> 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.
>> > > > > > >
>> > > > > >
>> > > > > >
>> > > > >
>> > > >
>> > >
>> >
>>
>
>
>
>
>
> 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
>
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