|
PureBytes Links
Trading Reference Links
|
It's good to know institutional model developers such as yourself are
participating in this forum.
Your experience may not be directly applicable to most of us since we
cannot hold a few hundred stocks in a portfolio.
Nonetheless, the fact that a person who used industrial strength
backtesting applications chose AmiBroker can be an endorsement of sort.
Looking forward to your input...
--- In amibroker@xxxxxxxxxxxxxxx, "sidhartha70" <sidhartha70@xxx> wrote:
>
> 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@> 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 ...
> > > >
> > >
> >
>
------------------------------------
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/
|