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Well, over the years (12) I worked for various banks... different
models, developed differently and different houses depending on the
mandate. The ideas behind the model I was illustrating there started
development at Merrill Lynch... and ultimately ended up being traded
by Barclays Capital & then Nomura.
--- In amibroker@xxxxxxxxxxxxxxx, "buandbe" <buandbe@xxx> wrote:
>
>
> Very interesting.
>
> Would you care to name the investment Bank ?
>
> TIA
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@> wrote:
> >
> > Ara,
> >
> > When I was working for an investment bank, the parameters (and
> > universe) were optimized each month from the previous 6 months data
> > backtest (rolled forward each month obviously). These parametere were
> > then used to trade live for the coming month. This is how all my
> > backtesting was done (i.e. OOS) and all my live trading.
> >
> > In this sense, the paramters were indeed 'adaptive'.
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@> wrote:
> > >
> > > WF testing seems like a logical step to take in creating a trading
> > system. While I am not suggesting that we don't do it, I'd like to
> > clear my understanding.
> > >
> > > It seems to me that we are looking to create a system with
> > parameters that are valid "for all time". If a test is succesful in
> > OOS period, then we can assume that we have found something that
> > remains applicable for the future - at least in this one instance.
> > >
> > > Given that the markets change all the time, the obvious conclusion
> > for me is that we need indicators that are adaptive... and that any
> > that do not adapt will simply not work in OOS.
> > >
> > > The issue of providing feedback from equity curve seems valid and it
> > can provide a warning about system starting to not perform as expected
> > ... so regardless of type of indicators used, this kind of feedback is
> > good!.
> > >
> > > The point I am making is that there has been very little said about
> > adaptive indicators ...
> > >
> > > maybe that is the holy grail ... and therefore untennable ...
> > >
> >
>
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