|
For our benefit can you tell us who?
Alternatively they could come forward and introduce
themselves.
I am sure we can all learn a lot from
them.
----- Original Message ----
From: Tomasz Janeczko <groups@xxxxxxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 9, 2008 4:38:21
PM
Subject: Re: [amibroker] Re: Backtest - WF
Optimization
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 ...
>> > > >
>> > >
>> >
>>
>
>
>
> ------------ --------- ---------
------
>
> 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.amibroke
r.com/devlog/
>
> For other support material please check
also:
> http://www.amibroke
r.com/support. html
> Yahoo! Groups Links
>
>
>
|