FYI: There are dozens of members on this list who work in fin institutions
(fund managers, analysts, etc).
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "buandbe" <buandbe@xxxxxx com>
To: <amibroker@xxxxxxxxx ps.com>
Sent: Tuesday, September 09, 2008 12:24 PM
Subject: [amibroker] Re: Backtest - WF Optimization
>
> 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@xxxxxxxxx ps.com, "sidhartha70" <sidhartha70@ ...> 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@xxxxxxxxx ps.com, "buandbe" <buandbe@>
wrote:
>> >
>> >
>> > Very interesting.
>> >
>> > Would you care to name the investment Bank ?
>> >
>> > TIA
>> >
>> >
>> > --- In amibroker@xxxxxxxxx ps.com, "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@xxxxxxxxx ps.com, "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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