|
PureBytes Links
Trading Reference Links
|
There's a simple example of this in the UKB under Intelligent
Optimization ...
--- In amibroker@xxxxxxxxxxxxxxx, "Edward Pottasch" <empottasch@xxx>
wrote:
>
> hi,
>
> "While optimization can be employed to search for a good system via
> methods utilizing automated rule creation, selection and
combination
> or generic pattern recognition"
>
> anyone care to explain how this works? Some kind of inversion
technique? Here is what I want now give me the rules to get there :)
>
> thanks,
>
> Ed
>
>
>
> ----- Original Message -----
> From: Fred
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, May 08, 2008 2:37 PM
> Subject: [amibroker] Re: Fitness Criteria that incorporates Walk
Forward Result
>
>
> While optimization can be employed to search for a good system
via
> methods utilizing automated rule creation, selection and
combination
> or generic pattern recognition most people typically use
optimization
> to search for a good set of parameter values. The success of the
> latter of course assumes one has a good rule set i.e. system to
begin
> with.
>
> As far as your prediction is concerned ... I suspect there are
lots
> of people, some of who post here, who could demonstrate otherwise
if
> they chose to ...
>
> --- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@>
wrote:
> >
> > "IS metrics are always good because we keep optimizing until
they
> > are" (or words to that effect by HB) which is true.
> >
> > It is not until we submit the system to an unknown sample,
either
> an
> > OOS test, paper or live trading that we validate the system.
> >
> > Discussing your points:
> >
> > IMO we are talking about two different trading approaches, or
> styles
> > (there is no reason we can't understand both very well).
> >
> > One is the search for a good system, via optimization, with the
> > attendant subsequent tuning of the system to match a changing
> market.
> >
> > If I understand Howard correctly he is an exponent of this
style.
> >
> > It is my prediction that where we are optimising, using
lookback
> > periods, that the max possible PA% return will be around 30,
maybe
> > 40, for EOD trading.
> >
> > Do we ever optimise anything other than indicators with
lookback
> > periods?
> > If so that might be a different story.
> >
> > Bastardising Marshall McCluhans famous line I could say "the
> > optimization is the method".
> >
> > It is also possible to conceptually optimize the system, before
> > testing, to the point that little, or no, optimization is
required
> > (experienced traders with a certain disposition do this quite
> > comfortably but it doesn't suit the inexperienced and/or those
who
> > don't have the temperament for it).
> >
> > So, if a system has a sound reason to exist, and it is not
> optimized
> > at all, and it has a statistically valid IS test then it his
highly
> > likely to be a robust system, especially if it is robust across
a
> > range of stocks/instruments.
> > The chances that this is due to pure luck are probably longer
than
> > the chance that an optimized IS test, with a confirming OOS
test,
> is
> > also a chance event.
> >
> > However, if I had plenty of data e.g. I was an intraday trader,
> then
> > I would go ahead and do an OOS test anyway (since the cost is
> > negligible)
> >
> > Re testing on several stocks.
> >
> > If the system is 'good' on one symbol, (the sample size is
valid)
> and
> > it is also good on a second symbol (also with a valid sample
size)
> is
> > that any different from performing an IS and an OOS test?
> >
> > For stock trading, I call the relative performance, on a set of
> > symbols, 'vertical' testing as compared to 'horizontal' testing
> > (where horizontal testing is an equity curve).
> >
> > Yes, if an IS test, with no optimization, beat the buy & hold
on
> > every occasion (or a significant number of times) in a vertical
> test
> > and the sum of that test was statistically valid and the
horizontal
> > test (the combined equity curve) was 'good' it would give you
> > something to think about for sure.
> > If some of the symbols, in the vertical stack, had contrary
> returns,
> > compared to the bias of my system, I probably would start to
get a
> > little excited.
> >
> > (I think perhaps you were alluding to something along those
lines).
> >
> > BTW did you know that the Singapore Slingers play in the
Australian
> > basketball league?
> >
> > Cheers,
> >
> > brian_z
> >
>
------------------------------------
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|