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By "black box", I assume you mean a mechanical system ... yes ? ...
Assuming of course that one can see the rules inside the box and they
aren't open to interpretation then the box isn't black or even
gray ...
How do you objectively identify the entry and exit points of trades
and collect the statistics for use in an MCS of a discretionary
system ?
--- In amibroker@xxxxxxxxxxxxxxx, "rhelfer123" <rhelfer99@xxx> wrote:
>
> Brian,
>
> I look at the overall bell curve in MCS testing. If I am getting
> upwards of an 80% probability that I will achieve decent average
> returns with a limited average drawdown, for trades within the
system,
> then I have found a good system.
>
> Once I find a good system, ONLY THEN do I do the backtesting for
> optimization. More recent data will generally offer better results,
in
> predicting the near future - or so others have told me. I have yet
to
> prove that statement on my own.
>
> One thing I should mention is that I no longer spend time
backtesting
> for optimization. The reason being that the trader himself (or
herself)
> is a very large component of the system, and the trader is not
> being "optimized." Therefore, statistically speaking, it makes no
> sense to optimize a system unless the system will be 100%
completely
> automated with no human intervention of any kind. This includes
> automated stops and what not.
>
> If you intend on building a "black box" system, then optimize it.
> Otherwise, IMO, your time will be much better spent optimizing
> yourself through learning money management practices that are
designed
> to control your emotional response to fear and greed situations.
> Scaled trading methods (see Jesse Livermore) seem to be very good
for
> doing this.
>
> This is what works for me. If it does not resonate with you, by all
> means keep looking ;-) I spent countless hours and months
backtesting
> for optimizing systems only to ultimately realize it was a waste of
MY
> time for any amount of MY discretionary trading.
>
> Hope this helps.
>
> ~rhelfer
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z321" <brian_z321@> wrote:
> >
> > Hello ~rhelfer,
> >
> > What is the first one or two things that you look at in
> MCSimulations?
> >
> > Can you recommend anyone/anywhere as the best training source for
> MCS
> > applications to trading?
> >
> > Brian_z
>
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