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A good advice is worth more then a thousand words, Brian. Why not just switch to the underneath mentioned 'AmiBroker Trading Systems' forum. If it's set up by Thomasz for that purpose, there's no need to talk to him. We will find your threads there ...
Ton.
----- Original Message -----
From: cstrader
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 10, 2006 2:58 PM
Subject: [amibroker] OT: Re: Margin of Error
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.
>> > > > > > >
>> > > > > >
>> > > > > >
>> > > > >
>> > > >
>> > >
>> >
>>
>
>
>
>
>
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>
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