There's a simple example of this in the UKB under Intelligent
Optimization ...
--- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...>
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@xxxxxxxxxps.com
> 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@xxxxxxxxxps.com,
"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
> >
>