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Hi Y
> Why did you exclude the trades with no loss and no gain?
First you have to understand the context of what I am doing:
- I am a maths layperson who stumbled on BiSim
- I decided to share it with the community because I had mumbled
about it a few times and decided it was time to cough up
- for now lets just say it has academic, or educational interest only
- I am working live, which means:
I could spend 2 years full time turning it into a book but decided,
instead, to 'write my book live' ... I don't want to give up 2-3
years of my life and I also want to do it that way ... people can
interact and see my mistakes and corrections as I go along ... posts
will change and disapear ... the order of the posts (chapters) will
change ... the book might not have an ending (it might just stop) ...
the book might not have a definite or complete structure ... gaps
will probably be left and the readers will have to close those gaps
by themselves ... someone may email me an extension or a
refutation ... if I like it and it is good I will add it to the
book ... someone could, theoretically take over the book or the
site ... I am a NewAge guy and I like working with group dynamics ...
I am just not sensitive so that makes me a NAG and not a SNAG ;-)
- my files are working files ... I went from one file to the next
investigating all sorts of ideas ... so the files got dirtier as I
went along because I just copy/pasted the file and starting the new
work on top of the old files
- when I am working on a project I guess my way around a lot of the
time so I don't mind being quick and dirty with the method as long as
it is accurately exposing the concept in my mind e.g. I haven't got
all of Excel loaded (the part that does freq dist) .. couldn't be
bothered figuring out how to do that so I did the FDists manually ..
for that reason I worked with large chunks ... this is actually fine
for the initial thinking because it makes it easier to follow the
logic (the first file is a coin toss with only a few values on either
side of the coin and a BreakEven win loss)
- so, right now BiSim is a formative, and I think interesting idea
that we are participating in ... I might or might not go further with
it.
What is the use of BiSim:
- so far it is educational
- as Phsst pointed out in one of his recent posts, there is a good
argument that 'coin tossing' has no relevance to trading at all ... a
fascinating discussion point
- for those of us who are interested in using stats methods to
analyse or evaluate our trading systems, BiSim can teach us a lot
about the Null Hypothesis and IMO it might possibly be the quickest
and easiest method for traders to test the significance of their
trading systems against the Null Hypothesis for their specific market
or instrument
- that may or may not turn out to be the case but we will never know
unless I give people the chance to consider it as an option available
to them
- I have no regret that I made the effort to learn 'stats for
traders' even though it was against my nature to do so .... it is one
of the best trading studies I have done without a doubt... I wouldn't
have the confidence to trade without it ... it is like theory in
music ... when you are performing you aren't thinking about theory
but you need to have it there.... and I am still learning ....
bouncing off Howard, Aronson and Vince but still finding my own way
through it.
Why did I leave out break even trades:
- to start with I just ended up there because my naive maths skills
didn't equip me to anticipate issues like that
- when I wanted to do the FDist I used Excels roundup so that the
task of doing that manually was simplified (no need to work to 16
decimal places at this stage) ... even for live work I will accept 2
or 3 dec place accuracy ... if others want 16 decimal place that will
be their challenge
- once I got to that point I considered it not such a bad thing for
initial investigations
- because BiSim is at the formative stage I consider that so far I
have demonstrated that it does model actual 'random' equity outcomes,
for simulated curves, very nicely despite the fact that the 'proof' I
used (an Excel spreadsheet) wasn't constructed perfectly (it has a
lot of little errors and silly ideas in it but not in the crucial
sections).
- one of the strengths of BiSim is that it can handle all sorts of
frequency distributions ... the trade series doesn't have to be normal
- for that reason I am not fussed about the fact that the first
example I 'published doesn't have a 'normal distribution' ... the
fact that the distribution wouldn't occur in 'real' trading is
neither here nor there for the moment ... the fact of interest is
that BiSim coped with that trade profile (distribution) whatever it
was
- later posts will have some files, or summaries from them, where
BiSim also copes with biased systems (winning systems == systems with
an edge) and systems with different volatility
- in my studies I found it very hard to understand what would happen
to my system, in live trading, if I designed the same system with
more or less volatility in it .. what then happens to my reward and
risk?.... with BiSim I was able to play with some rough examples on
my lab bench and see with my own eyes what happened ... now I have to
go to Aronson, or Vince etc, to see what they say about that, if
anything, and whether their opinion is consistent with my lab
obsvervations .. a huge advantage for a non-mathematician wouldn't
you say?
Real life trading, BiSim and the future:
- in real life we do get B/E trades
- individual traders have to make a personal choice about how they
will define a B/E trade and when and how to deal with that in their
evaluations ... that doesn't only apply to BiSim
- some traders want to analyse trade - slippage - commissions (fair
enough and that is up to them)
- I am finding it challenging to think about all of this as it is so
for simplicity I have left out slippage/commissions for now
- I am an intuitive .. I am interested in the concepts (conceptual
analysis) ... that is my strength and I am sharing that with the
community ... others are stronger subjective analysts and they share
code/maths etc
- at this stage I am exposing the concepts and trying to put others
in the picture by going around the subject from different angles
- later I might, or someone might, work on the real uses for BiSim (I
think I have a lot of it in my head anyway just waiting for me to
download it on to paper) ... when we get to that stage it will be
time to consider how to put B/E trades into the equation
- because I am working live I will discover, and resolve, issues as I
go along ... if I can't resolve them my thesis crashes and burns OR
at least remains as an educational exercise ... I have already learnt
so much from it
- when I started posting on it I didn't know I was going to publish
the maths expression because I didn't have it ... once I started to
think about BiSim again (because I decided to share it) the maths
stuff popped into my head ... I don't know what issues are ahead and
what solutions will pop into me 'ead.
- technically speaking equity outcomes are lognormal ... at the
application phase we will explore the antilog distribution ...
personally I will be using the GeoMean so B/E trades don't affect
that analysi or the resultant equity curve for that matter (they only
impact on annualised returns since you were in the trade but it was
a fizzer == GrowthFactor = = zero ... this reduces your annual
return (when you standardise it to one year) because the total time
you were in and out of the trades is part of the annualised
calculations ... at the CoreMetrics level a B/E trade doesn't count
for much (a coin can't land on it's edge) ... many times in this
forum I have cautioned traders against the fixation that many have of
focussing on the equity curve ... especially if you only have one OOS
equity curve to look at ... CoreMetrics analyse lets us predict
EqCurve outcomes
- it shouldn't be that hard to account for null trades
- it his highly unlikely I will give out pat answers or rigid methods
- I am all about pointing to interesting solutions and leaving
individuals to apply it however they want to ... people will deal
with B/E trades however they see fit ... BiSim can handle this.
Re limited interest in this forum:
- I went to my own site so I could make a better presentation
- I don't want to fill up this forum with the subject anyway
- I wasn't expecting a large number of readers
- actually got around 300 visitors last weekend
- the site was a spur of the moment thing because the file section
won't upload >5MB files
- I wanted Howard to get my file (since he collects this stuff)
- I am satisfied to see Howard has looked at it and that others are
as well
- now that I have started it has evolved into a 'sort of' book and my
expectation is that it will sit on web like a free eBook on one
aspect of simulation ... hard working traders who surf around looking
for goodies are bound to find it
- it is a bonus for anyone in the forum who follows that stuff
- it is my quid pro quo to the internet and development community ...
I have had thousands of dollars worth of study out of free sites and
open source projects e.g. Wikipedia which is an awesome open resource
I always like the idea that a trader or two might get some help from
my tips and succeed enought to 'sack their boss' and buy their
freedom.
brian ... 'a free man'
--- In amibroker@xxxxxxxxxxxxxxx, "Yofa" <jtoth100@xxx> wrote:
>
> Hi Brian,
>
> same here. I actually looking at your traders challenge.
>
> Why did you exclude the trades with no loss and no gain?
>
> Y
>
> --------------------------------------------------
> From: "richpach2" <richpach2@xxx>
> Sent: Wednesday, February 25, 2009 9:45 AM
> To: <amibroker@xxxxxxxxxxxxxxx>
> Subject: [amibroker] Re: Monte Carlo analysis for trading systems
>
> > Howard and Brian,
> >
> > I agree with Keith. You have not looked at "out-of-sample"
interest in
> > this subject because of the people like Keith and me who are keen
> > followers and students but do not feel they can contribute at this
> > point in time. We are not part of the data sample which you can
test.
> > So, I'd say at least in this case 'out-of-sample" results will be
much
> > higher than "in-sample" results of current contributing
participants.
> >
> > Regards
> > Richard
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Keith McCombs <kmccombs@> wrote:
> >>
> >> Howard and Brian --
> >> Just because most of the posting on this subject has been
limited to
> > the
> >> two of you, don't assume there is little interest. Some of us,
such as
> >> myself, have been following the discussion closely. However, I
for
> > one,
> >> do not feel qualified to comment on the subject.
> >>
> >> BTW, I have David Aronson's "Evidence-based Technical
Analysis". I
> > read
> >> about half of it. For the most part, I found it to be
understandable,
> >> but far too verbose. To me, he seems to be saying the same
thing,
> > over,
> >> and over, and over, again.
> >>
> >> I'm looking forward to Howard's new book in October. In the
mean time,
> >> could either of you suggest some references that are less
verbose and
> >> more on the practical side than Aronson's tome.
> >>
> >> Thank you.
> >> -- Keith
> >>
> >> Howard B wrote:
> >> >
> >> > Hi Brian --
> >> >
> >> > You wrote:
> >> > "I am amazed at the low level of interest in the subject, by
traders
> >> > in general, and also that 'we' haven't moved along very
quickly,
> >> > since Pardo e.g. there's not a lot of quality books, on
simulation
> >> > for trading, available."
> >> >
> >> > I agree that there has been a relatively low level of interest.
> >> >
> >> > I agree that when Bob Pardo's first book was published in
1992, it
> > was
> >> > the best available. Since then there are several books that
discuss
> >> > trading systems development with varying degrees of
understanding of
> >> > the issues involved in modeling and simulation of financial
trading
> >> > systems.
> >> >
> >> > As examples:
> >> >
> >> > Perry Kaufman's "Trading Systems and Methods", 1992, followed
by "New
> >> > Trading Systems and Methods" in 2005.
> >> > Van Tharp's "Trade Your Way to Financial Freedom", 1998, and
its
> >> > Second Edition, 2007.
> >> >
> >> > There is a fair amount of literature that discusses ARCH,
GARCH,
> >> > ARIMA, and related models. But those are mathematically
> >> > sophisticated, difficult to implement, and do not apply well
to short
> >> > term systems.
> >> >
> >> > David Aronson's "Evidence-based Technical Analysis", 2007, is
> >> > excellent and does recognize the need for out-of-sample
testing and
> >> > describes the walk-forward process.
> >> >
> >> > But, modesty aside, my own "Quantitative Trading Systems",
2007, is
> >> > unique in identifying the key issues involved in designing
trading
> >> > systems, with the desire that they will be profitable when
traded.
> > It
> >> > goes on to describe the combination of custom objective
function,
> >> > out-of-sample testing, and automated walk-forward testing
which,
> > in my
> >> > opinion, is the only way to estimate what the results of
actually
> >> > trading the system are likely to be. And, it includes
practical
> >> > examples illustrating how to design, test, and validate
trading
> >> > systems using methods that are reasonably rigorous. The
tutorial and
> >> > reference, "Introduction to AmiBroker", 2008, works through a
series
> >> > of exercises illustrating the features of AmiBroker; beginning
with
> >> > installation and displaying the first chart and progressing
through
> >> > automated walk-forward testing. The sequel, "Advanced
AmiBroker", to
> >> > be published about October 2009, will discuss and give
AmiBroker code
> >> > for the practical analysis of portfolios, risk, and position
> > sizing --
> >> > all important features of realistic trading and trading
management.
> >> >
> >> > Why is there so little apparent interest? Some possible
reasons:
> >> > 1. Until AmiBroker, there has not been a retail-level trading
system
> >> > development platform that provided the capabilities needed.
> >> > Specifically, the abilities to define an objective function
and
> >> > perform automated walk-forward testing, and to work with
> > portfolios as
> >> > well as with individual issues.
> >> > 2. University courses in modeling and simulation that cover
> >> > non-stationary time series with a focus on trading systems are
rare
> >> > (non-existant?).
> >> > 3. As soon as any attempt is made to be rigorous in modeling
and
> >> > validation technique, the mathematics involved put many people
off.
> >> > 4. The popular press seems content with suggesting that
backtesting
> >> > is an adequate validation technique. Since all backtesting
results
> >> > look good when backtesting is finished, it is easy to be
disappointed
> >> > and discouraged when out-of-sample testing shows poorer
results.
> >> > 5. Coupling the fact that the rewards for developing
profitable
> >> > trading systems are so great with the fact that increased use
of a
> >> > profitable system reduces the profitability for everyone using
it,
> >> > people who have discovered good techniques tend to be
reluctant to
> >> > share them.
> >> > 6. There has been a lack of accessable educational material
> >> > describing how a person might go about learning the techniques
needed
> >> > to be successful.
> >> >
> >> > Thanks for listening,
> >> > Howard
> >> > www.blueowlpress.com <http://www.blueowlpress.com>
> >> >
> >> >
> >> > On Mon, Feb 16, 2009 at 6:14 PM, brian_z111 <brian_z111@
> >> > <mailto:brian_z111@>> wrote:
> >> >
> >> > > I know both David Aronson and Tim Masters. I like and
recommend
> >> > >David's
> >> > > book, "Evidence-based Technical Analysis".
> >> >
> >> > I find that DA and TM's public work is the most
challenging,
> > and up
> >> > to date material on system evaluation, going around i.e.
for the
> >> > general trading community (don't know what is happening in
> > academia).
> >> >
> >> > I am benchmarking my ideas against theirs.
> >> >
> >> > I was giving Tims paper a careful re-reading yesterday and
went to
> >> > sleep (very quickly) with EBTA in my hand (no reflection on
> > the book).
> >> >
> >> > I don't think I will be going head to head with them any
time
> > soon,
> >> > for obvious reasons, but I will be noting my concerns,
about
> > MCP as a
> >> > tool for system evaluation, at the Zboard.
> >> >
> >> > Naturally I will only do that in a naive way and won't be
> > exhibiting
> >> > the mathematical rigor, and testing, that TM does in his
paper
> >> > (others are welcome to do that, if they are interested, or
> > refute my
> >> > arguments in writing anywhere they like ... I will upload
any
> > quality
> >> > posts mailed to me).
> >> >
> >> > I am amazed at the low level of interest in the subject, by
> > traders
> >> > in general, and also that 'we' haven't moved along very
quickly,
> >> > since Pardo e.g. there's not a lot of quality books, on
simulation
> >> > for trading, available.
> >> >
> >> > (Haven't read the Scherer and Martin book, recommended by
Patrick
> >> > yet).
> >> >
> >> > Please let me know of any other hardcore authors worth
> > referencing.
> >> >
> >> >
> >> > > Tim's paper on
> >> > > Monte Carlo makes some assumptions that I think are
> > inappropriate
> >> > >for use
> >> > > when analyzing financial trading systems.
> >> >
> >> > I am grateful that he made the effort and 'published' it.
> >> > It is the only definitive method I have found.
> >> >
> >> > I also have some concerns about the method, albeit basic
ones:
> >> >
> >> > - it involves so many exceptions, to the extent that it is
almost
> >> > impractical for general trading applications (admittedly
TM has
> >> > provided a template that we can adjust to suit our own
> > cirumstances)
> >> >
> >> > - so far I am sceptical, about the possibility of
mathematically
> >> > detecting survivor bias in optimization runs etc.
> >> >
> >> > Note that I don't claim 100% understanding of MCP, or
Whites
> > Reality
> >> > Check, at this stage .... the fact that the MCP algorithm
is
> > written
> >> > in a foreign language doesn't make it easy for me (I
haven't
> > looked
> >> > at the C# version in our file section yet).
> >> >
> >> >
> >> > > Two, I feel that Monte Carlo analysis is of limited
> >> > > value when the trading system is completely
deterministic.
> >> >
> >> > I am not sure what you mean by 'deterministic' with regard
to MCP.
> >> >
> >> > Can you elaborate?
> >> >
> >> > Re BiSim:
> >> >
> >> > I feel it has some advantages over MCP and bootstrapping,
at
> > least as
> >> > an eductational tool and possibly in some limited trading
> >> > applications..... one of the advantages is that it is a
> > convergence
> >> > simulation (it approaches the mean outcome quickly and
without
> >> > massive effort) ... another is that it is very comfortable
with
> >> > correlation (in fact I think other 'modellers' make hard
work
> > out of
> >> > handling it).
> >> >
> >> > I hope to explore topics like that at the board....
obviously
> >> > developing rigorous signinficance tests is going to be a
> > challenge,
> >> > if I get that far.
> >> >
> >> > As I said, I am working live (I am not sure where it is
> > going!), so
> >> > if my future 'research' shoots down my own theories so be
it.
> >> >
> >> > Thanks for the feedback.
> >> >
> >> > brian+z
> >> >
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com>, Howard B
<howardbandy@>
> >> > wrote:
> >> > >
> >> > > Hi Brian --
> >> > >
> >> > > I know both David Aronson and Tim Masters. I like and
recommend
> >> > David's
> >> > > book, "Evidence-based Technical Analysis". Readers of
both
> > David's
> >> > work and
> >> > > mine will find that David is even more conservative than
I am
> >> > regarding
> >> > > interpretation of in-sample versus out-of-sample
results. Tim's
> >> > paper on
> >> > > Monte Carlo makes some assumptions that I think are
> > inappropriate
> >> > for use
> >> > > when analyzing financial trading systems. Two points in
> >> > particular. One, I
> >> > > feel that neither bootstrapping nor jacknifing should be
> > used when
> >> > sampling
> >> > > financial time series. Two, I feel that Monte Carlo
analysis
> > is of
> >> > limited
> >> > > value when the trading system is completely
deterministic. I'll
> >> > bring those
> >> > > up when I next talk with Tim.
> >> > >
> >> > > Thanks,
> >> > > Howard
> >> > >
> >> > > On Thu, Feb 12, 2009 at 4:54 PM, brian_z111
<brian_z111@> wrote:
> >> > >
> >> > > > No rush.... I have been sitting on it for at least 2
years
> > now.
> >> > > >
> >> > > > The full BinomialSimulation story won't be finished for
> > months...
> >> > I
> >> > > > will only post about once a month.
> >> > > >
> >> > > > First I am going to track back to the beginning, for
the
> > benefit
> >> > of
> >> > > > non-mathematicians.
> >> > > >
> >> > > > Also, I will upload some stress test files, OR post
images
> > of the
> >> > key
> >> > > > graphs from those files, so interested parties don't
need to
> >> > repeat
> >> > > > the massive simulations, for samples with bias and/or
higher
> >> > > > dispersion, that I have already done.
> >> > > >
> >> > > > (Given your experience you would probably be best to
sit
> > back and
> >> > > > wait until I post the BS maths expression ... it will
be
> > very easy
> >> > > > for you to test and critique my theory at that
stage ...
> > you can
> >> > > > leave the hack work to me).
> >> > > >
> >> > > > Note that it is a work in progress i.e. I am working
> > 'live', warts
> >> > > > and all, and I might not finish it, or leave it on the
net, (I
> >> > like
> >> > > > the Buddhist idea of 'pointing to the way' and
demonstrating
> >> > > > impermanence).
> >> > > >
> >> > > > I probably won't 'advertise' here, in this forum, but
BS posts
> >> > will
> >> > > > go onto the Zboard blog page so they can get picked up
by RSS.
> >> > > >
> >> > > > The other pages at the site, which are mainly just
> > resources etc,
> >> > > > won't be disseminated via RSS.
> >> > > >
> >> > > > FYI I think BS is a significant method compared to
> > bootstrapping
> >> > and
> >> > > > MonteCarlo (considering their pros and cons) e.g. I
> > disagree with
> >> > > > some of the assumptions of Timothy Masters, in his
2006 MCS
> >> > article
> >> > > > at Aronsons 'EvidenceBasedTechnicalAnalysisSite'
site... I
> > also
> >> > found
> >> > > > TM indecisive at some key points along the way.
> >> > > >
> >> > > > However, I am not going to follow the academic method
of
> > citing
> >> > > > others and criticising their work.
> >> > > >
> >> > > > I am very pleased you are looking at it.
> >> > > >
> >> > > > It has to stand up to the critique of informed
mathematicians,
> >> > like
> >> > > > yourself (more so than other new ideas because I am a
naive
> >> > > > mathematician and an intuitive rather than a trained
> >> > > > objectivist/academic).
> >> > > >
> >> > > > Around 20 people downloaded the file .... some of them
> > would be
> >> > just
> >> > > > curious, or 'getting an education' (which are good
things in
> >> > > > themselves) .... so at best there are only a few hard
core
> >> > analysts
> >> > > > considering my 'thesis'.
> >> > > >
> >> > > > Pity QT isn't still around ... he was a very nice guy
and very
> >> > good
> >> > > > on this stuff ;-)
> >> > > >
> >> > > > The Zboard site does allow for collaboration.
> >> > > >
> >> > > > If one or two self-managing people came along who
wanted
> > to add
> >> > > > something I could give them access ..... in that case
the site
> >> > would
> >> > > > stay online for the benefit of future googling traders
who
> > are in
> >> > > > search of trading truths.
> >> > > >
> >> > > > Cheers and thanks for your interest ... it's a
compliment.
> >> > > >
> >> > > > brian.
> >> > > >
> >> > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com> <amibroker%
40yahoogroups.com
> >> > <http://40yahoogroups.com>>,
> >> > Howard B
> >> > > > <howardbandy@> wrote:
> >> > > > >
> >> > > > > Hi Brian --
> >> > > > >
> >> > > > > The zboard file worked fine.
> >> > > > >
> >> > > > > I have been snowed under with maintenance jobs the
past
> > week, so
> >> > > > it'll take
> >> > > > > me a couple of days to look at it.
> >> > > > >
> >> > > > > Thanks,
> >> > > > > Howard
> >> > > > >
> >> > > > > On Tue, Feb 10, 2009 at 1:06 AM, brian_z111
> > <brian_z111@> wrote:
> >> > > > >
> >> > > > > > Howard,
> >> > > > > >
> >> > > > > > I might move to MediaFire completely .. they are
free
> >> > > > and 'permanent'
> >> > > > > > but the ads are terrible.
> >> > > > > >
> >> > > > > > With Rapidshare I will have to pay for some space
to
> > keep the
> >> > > > files
> >> > > > > > longer than 90 days but it is ad free.
> >> > > > > >
> >> > > > > > Haven't decided.
> >> > > > > >
> >> > > > > > Two files for you to try are at MF..... the PDF
should
> > give
> >> > you a
> >> > > > > > quick test of the download.
> >> > > > > >
> >> > > > > > Refer to Mirror Site links:
> >> > > > > >
> >> > > > > > http://zboard.wordpress.com/downloads/
> >> > <http://zboard.wordpress.com/downloads/>
> >> > > > > >
> >> > > > > > Future:
> >> > > > > >
> >> > > > > > - may upload the stress test files
> >> > > > > > - I have a math method in mind to bypass the number
> > crunching
> >> > > > > > - the math formula would make it pretty easy to do
in AFL
> >> > except
> >> > > > it
> >> > > > > > needs a trade array (workarounds possible with
current AB
> >> > version
> >> > > > I
> >> > > > > > guess)
> >> > > > > > - part 2 files explore sample error/variance (if
they are
> >> > going
> >> > > > > > somewhere I will post on that ... I recall I did
find some
> >> > > > > > interesting relationships in error propogation but
I
> > haven't
> >> > > > looked
> >> > > > > > at it for a couple of years)
> >> > > > > >
> >> > > > > > Let me know if you can't download from mediafire
> >> > > > > >
> >> > > > > > OR if you can recommend a good filesharing site
> >> > > > > >
> >> > > > > > brian
> >> > > > > >
> >> > > > > >
> >> > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com> <amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>><amibroker%
> >> >
> >> > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > "brian_z111" <brian_z111@> wrote:
> >> > > > > > >
> >> > > > > > > The BS file is too big for Yahoo group files ...
also it
> >> > would
> >> > > > clog
> >> > > > > > > up limited space.
> >> > > > > > >
> >> > > > > > > I thought about AB third party but I have to
> >> > download/maintain
> >> > > > > > third
> >> > > > > > > party software to FTP upload.... that annoys me
> > somewhat (I
> >> > am a
> >> > > > > > very
> >> > > > > > > independent type).
> >> > > > > > >
> >> > > > > > > The Zboard/WordPress arrangement is a trial ...
if
> > it goes
> >> > > > smoothly
> >> > > > > > I
> >> > > > > > > will keep it going for a while.
> >> > > > > > >
> >> > > > > > > I am happy with the WordPress (limited
filetype/space)
> >> > > > arrangement,
> >> > > > > > > with a file host for sharing.
> >> > > > > > >
> >> > > > > > > So, now I will consider other filesharing hosts.
> >> > > > > > >
> >> > > > > > > Anyone you can download from?
> >> > > > > > >
> >> > > > > > > I can put one somewhere else for you.
> >> > > > > > >
> >> > > > > > >
> >> > > > > > > Don't worry I will make sure you get one, way or
> > another.
> >> > > > > > >
> >> > > > > > > Better to get another host though because there
will
> > be at
> >> > least
> >> > > > > > one
> >> > > > > > > more big file ..... if I keep going there might
be
> > plugins
> >> > one
> >> > > > day
> >> > > > > > so
> >> > > > > > > I need a universal host.
> >> > > > > > >
> >> > > > > > >
> >> > > > > > > brian_z111
> >> > > > > > >
> >> > > > > > > Zboard.wordpress.com
<http://Zboard.wordpress.com>
> >> > > > > > >
> >> > > > > > >
> >> > > > > > >
> >> > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com> <amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>><amibroker%
> >> >
> >> > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > Howard B
> >> > > > > > <howardbandy@> wrote:
> >> > > > > > > >
> >> > > > > > > > Hi Brian --
> >> > > > > > > >
> >> > > > > > > > I use a Hughes satellite connection to the
> > Internet. It
> >> > seems
> >> > > > > > that
> >> > > > > > > Hughes
> >> > > > > > > > appears to Rapidshare as a single user (which
is
> > always
> >> > over
> >> > > > its
> >> > > > > > > limit), so
> >> > > > > > > > I am never able to download a Rapidshare file.
If
> >> > possible,
> >> > > > > > could
> >> > > > > > > you
> >> > > > > > > > upload the files to the Yahoo AmiBroker file
section?
> >> > > > > > > >
> >> > > > > > > > Thanks,
> >> > > > > > > > Howard
> >> > > > > > > >
> >> > > > > > > >
> >> > > > > > > > On Sat, Feb 7, 2009 at 9:10 PM, brian_z111
> > <brian_z111@>
> >> > > > wrote:
> >> > > > > > > >
> >> > > > > > > > > I am using Rapidshare for file sharing.
> >> > > > > > > > >
> >> > > > > > > > > Free downloads are available but they are
slower
> > than
> >> > paid
> >> > > > > > > download
> >> > > > > > > > > and limited to 1 download per time ... wait a
> > while and
> >> > you
> >> > > > can
> >> > > > > > > > > download again (still good value for my
customers).
> >> > > > > > > > >
> >> > > > > > > > >
> >> > > > > >
> >> >
http://rapidshare.com/files/195190948/BinomialMaster_ABVersion.xls
> >> >
> >
<http://rapidshare.com/files/195190948/BinomialMaster_ABVersion.xls>
> >> > > > > > > > >
> >> > > > > > > > > A short ReadMe, to help understand the file,
is at:
> >> > > > > > > > >
> >> > > > > > > > > http://zboard.wordpress.com/
> >> > <http://zboard.wordpress.com/>
> >> > > > > > > > >
> >> > > > > > > > > I can answer a few questions about the
details
> > in the
> >> > file
> >> > > > for a
> >> > > > > > > > > limited time (while my memory is fresh) ....
post
> >> > > > questions, if
> >> > > > > > > any,
> >> > > > > > > > > via comments at the Zboard.
> >> > > > > > > > >
> >> > > > > > > > >
> >> > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com> <amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>><amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "brian_z111" <brian_z111@> wrote:
> >> > > > > > > > > >
> >> > > > > > > > > > File limits prevented me uploading the
> >> > BinomialSimulation
> >> > > > file
> >> > > > > > > (s)
> >> > > > > > > > > to
> >> > > > > > > > > > this group ... 20MB per file. I will post
> > links to at
> >> > > > least
> >> > > > > > one
> >> > > > > > > > > > example, at the following temporary site,
sometime
> >> > this
> >> > > > week:
> >> > > > > > > > > >
> >> > > > > > > > > > http://zboard.wordpress.com/
> >> > <http://zboard.wordpress.com/>
> >> > > > > > > > > >
> >> > > > > > > > > > I will post some basic notes afterall
because the
> >> > task of
> >> > > > > > > following
> >> > > > > > > > > > the Excel sheets would be beyond anyone
> > without them.
> >> > > > > > > > > >
> >> > > > > > > > > > The site might live on for a while after
that.
> >> > > > > > > > > >
> >> > > > > > > > > >
> >> > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com> <amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>><amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > >
> >> > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "brian_z111" <brian_z111@> wrote:
> >> > > > > > > > > > >
> >> > > > > > > > > > > I decided to post the Binomial Simulation
> > files a
> >> > few
> >> > > > days
> >> > > > > > > > > ago ...
> >> > > > > > > > > > I
> >> > > > > > > > > > > am not going to announce the upload so
this
> > post is
> >> > the
> >> > > > > > > > > discussion
> >> > > > > > > > > > > link for them (one or more files will
appear
> > at some
> >> > > > stage).
> >> > > > > > > > > > >
> >> > > > > > > > > > > FTR They do predict the eq dist quite
well, for
> >> > biased
> >> > > > and
> >> > > > > > > none
> >> > > > > > > > > > > biased 'coins' but there is one thing
about them
> >> > that
> >> > > > does
> >> > > > > > > > > concern
> >> > > > > > > > > > > me ... I referenced the same synthetic
trade
> > series
> >> > to
> >> > > > make
> >> > > > > > > the
> >> > > > > > > > > > > binomial distribution and to create the
> > synthetic eq
> >> > > > > > > curves ...
> >> > > > > > > > > > that
> >> > > > > > > > > > > seems a bit incestuous in some ways.
> >> > > > > > > > > > >
> >> > > > > > > > > > > On the other hand they could be full of
> > incorrect
> >> > math
> >> > > > > > > > > assumptions
> >> > > > > > > > > > > cos I got the math off Wikipedia!
> >> > > > > > > > > > >
> >> > > > > > > > > > > Guru Brian ;-)
> >> > > > > > > > > > >
> >> > > > > > > > > > >
> >> > > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com><amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>><amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > >
> >> > > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "brian_z111" <brian_z111@>
> >> > > > > > > > > wrote:
> >> > > > > > > > > > > >
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > > This is a valid model as long as
> > stationarity
> >> > > > holds ...
> >> > > > > > I
> >> > > > > > > > > have
> >> > > > > > > > > > > > > simulated random trading 'systems'
and
> >> > predicted the
> >> > > > > > > outcome
> >> > > > > > > > > by
> >> > > > > > > > > > > > using
> >> > > > > > > > > > > > > binomial probability, that
references a
> >> > frequency
> >> > > > > > > > > distribution
> >> > > > > > > > > > of
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > randomly generated trades, and it
> > predicted the
> >> > > > actual
> >> > > > > > > equity
> >> > > > > > > > > > > > > distributions extremely well (a
> > lognormal dist
> >> > > > appears
> >> > > > > > at
> >> > > > > > > > > very
> >> > > > > > > > > > > high
> >> > > > > > > > > > > > > N's).
> >> > > > > > > > > > > >
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > More precisely, I have simulated trade
series,
> >> > using
> >> > > > the
> >> > > > > > > RNG in
> >> > > > > > > > > > > > Excel, for random walks (50/50 systems)
> > and biased
> >> > > > > > systems,
> >> > > > > > > > > with
> >> > > > > > > > > > > > normally distributed trade series (I
used
> >> > > > > > > CentralLimitThereom
> >> > > > > > > > > to
> >> > > > > > > > > > > > create NormDists from the uniform
output
> > of the
> >> > > > generator.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I simulated equity curves, using the
synthetic
> >> > trades,
> >> > > > > > and
> >> > > > > > > at
> >> > > > > > > > > the
> >> > > > > > > > > > > > same time used BinomialProb to model
the
> > predicted
> >> > > > > > > distribution
> >> > > > > > > > > > of
> >> > > > > > > > > > > > the eq curves (I imagined I was
tossing a coin
> >> > with
> >> > > > > > variable
> >> > > > > > > > > > values
> >> > > > > > > > > > > > for heads and tails ... of course in
> > trading we
> >> > can
> >> > > > win
> >> > > > > > > lose or
> >> > > > > > > > > > > draw
> >> > > > > > > > > > > > whereas in my model we can only win or
lose).
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > You might like to see the files?
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I am bored with that topic.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I am not a mathematician ... it might
be a
> > load
> >> > of old
> >> > > > > > > rubbish
> >> > > > > > > > > > for
> >> > > > > > > > > > > > all I know.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > As our discussion shows .. we can't
get any
> >> > > > statistical
> >> > > > > > > > > certainty
> >> > > > > > > > > > > > anywhere in trading ... only
> > approximations and
> >> > > > > > > probabilties.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > It is just another approximation, like
MCS and
> >> > > > involves
> >> > > > > > > massive
> >> > > > > > > > > > > > number crunching.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I didn't finish it because I wanted a
> > quick and
> >> > dirty
> >> > > > > > > method.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > The files are rough as old bags.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I didn't make notes so even I have a
hard time
> >> > > > following
> >> > > > > > the
> >> > > > > > > > > > > > logic ... I had a look at them the
other day I
> >> > had to
> >> > > > > > start
> >> > > > > > > > > > tracing
> >> > > > > > > > > > > > the formulas in the cells to see how I
had
> > done
> >> > it.
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I'll post some of them in the file
section
> > one day
> >> > > > (Howard
> >> > > > > > > > > > collects
> >> > > > > > > > > > > > trading things).
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > I won't scrub them up though ... take
them or
> >> > leave
> >> > > > > > them ...
> >> > > > > > > > > > sorry
> >> > > > > > > > > > > no
> >> > > > > > > > > > > > questions or explanations (anyway
Howard
> > and other
> >> > > > maths
> >> > > > > > > people
> >> > > > > > > > > > > know
> >> > > > > > > > > > > > how to do that stuff).
> >> > > > > > > > > > > >
> >> > > > > > > > > > > >
> >> > > > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com><amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>><amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > >
> >> > > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "brian_z111" <brian_z111@>
> >> > > > > > > > > > wrote:
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Gidday Mate,
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I wasn't planning on posting again
today
> > as I am
> >> > > > going
> >> > > > > > > away
> >> > > > > > > > > for
> >> > > > > > > > > > a
> >> > > > > > > > > > > > few
> >> > > > > > > > > > > > > days ..... a good question though so
I
> > couldn't
> >> > > > resist.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I did notice Fred's comment on the
> > priority he
> >> > > > places on
> >> > > > > > > > > > > > sensitivity
> >> > > > > > > > > > > > > analysis.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > He has made the comment before and I
came to
> >> > that
> >> > > > view
> >> > > > > > > > > > > > independently
> >> > > > > > > > > > > > > a way back anyway (Howard's random
noise
> > test is
> >> > > > another
> >> > > > > > > > > > > > interesting
> >> > > > > > > > > > > > > idea for single sample analysis).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I also recall that he doesn't believe
> >> > scrambling the
> >> > > > > > > order of
> >> > > > > > > > > > the
> >> > > > > > > > > > > > > trades provides any meaningful
feedback.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > That isn't a reason for me not to
reach
> > my own
> >> > > > > > > conclusions.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Fred has also talked about small N
retesting
> >> > (walk
> >> > > > > > > forward),
> >> > > > > > > > > > and
> >> > > > > > > > > > > > > adjusting his system rules, on a
short term
> >> > basis,
> >> > > > so
> >> > > > > > > while I
> >> > > > > > > > > > am
> >> > > > > > > > > > > > not
> >> > > > > > > > > > > > > keen on the idea I am keeping an open
> > mind on
> >> > the
> >> > > > > > subject.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > > This is the second time in the
>past few
> >> > > > > > > > > > > > > > days that you seem to have equated
> >> > > > trading/backtesting
> >> > > > > > > > > system
> >> > > > > > > > > > > > > >outcomes
> >> > > > > > > > > > > > > > to a random series of coin flip
outcomes
> >> > (random
> >> > > > > > binary
> >> > > > > > > > > > > > occurances).
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > Serious question... what is your
> > point? What
> >> > is
> >> > > > the
> >> > > > > > > > > > relevence
> >> > > > > > > > > > > os
> >> > > > > > > > > > > > > >the
> >> > > > > > > > > > > > > > "Coin Flip" metaphor where trading
> > systems is
> >> > > > > > concerned?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Well, developers are selling software
> >> > specifically
> >> > > > > > > designed
> >> > > > > > > > > for
> >> > > > > > > > > > > > > performing MSC for trading analysis
and at
> >> > least one
> >> > > > > > guy
> >> > > > > > > has
> >> > > > > > > > > > > > written
> >> > > > > > > > > > > > > a book on the subject.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > In both software packages, that I
have some
> >> > > > familiarity
> >> > > > > > > with,
> >> > > > > > > > > > > their
> >> > > > > > > > > > > > > model assumes stationarity, and
independency
> >> > i.e.
> >> > > > their
> >> > > > > > > model
> >> > > > > > > > > > > > treats
> >> > > > > > > > > > > > > the data as if it is the outcome of a
> > coin toss
> >> > with
> >> > > > > > > variable
> >> > > > > > > > > > > > values
> >> > > > > > > > > > > > > on the +- side of the coin.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > This is a valid model as long as
> > stationarity
> >> > > > holds ...
> >> > > > > > I
> >> > > > > > > > > have
> >> > > > > > > > > > > > > simulated random trading 'systems'
and
> >> > predicted the
> >> > > > > > > outcome
> >> > > > > > > > > by
> >> > > > > > > > > > > > using
> >> > > > > > > > > > > > > binomial probability, that
references a
> >> > frequency
> >> > > > > > > > > distribution
> >> > > > > > > > > > of
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > randomly generated trades, and it
> > predicted the
> >> > > > actual
> >> > > > > > > equity
> >> > > > > > > > > > > > > distributions extremely well (a
> > lognormal dist
> >> > > > appears
> >> > > > > > at
> >> > > > > > > > > very
> >> > > > > > > > > > > high
> >> > > > > > > > > > > > > N's).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > The value, to me in that model, is
that
> > it is a
> >> > > > > > training
> >> > > > > > > tool
> >> > > > > > > > > > > that
> >> > > > > > > > > > > > > conditioned me to accept variance as
> > 'normal'
> >> > and
> >> > > > if the
> >> > > > > > > > > market
> >> > > > > > > > > > > is
> >> > > > > > > > > > > > > stationary then it would have direct
> > relevance
> >> > to
> >> > > > > > > > > trading.....
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > worst case outcome would be that I
could
> > incur
> >> > > > losses,
> >> > > > > > > with a
> >> > > > > > > > > > > > > probability as indicated by the
Cumulative
> >> > > > Distrubution
> >> > > > > > > > > > Function
> >> > > > > > > > > > > > for
> >> > > > > > > > > > > > > the possible equity outcomes
(simulation
> > is one
> >> > way
> >> > > > for
> >> > > > > > > non -
> >> > > > > > > > > > > > > mathematicians to calc this and view
it in a
> >> > chart).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Ask yourself ....
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > afer you have conducted a successful
> > OOS, and
> >> > > > collated
> >> > > > > > the
> >> > > > > > > > > > trade
> >> > > > > > > > > > > > > sample, when you start to trade it
do you
> >> > expect:
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - all trades to be the same, or
similar, and
> >> > occur
> >> > > > with
> >> > > > > > > the
> >> > > > > > > > > > same
> >> > > > > > > > > > > > > frequency (TradeSim),
> >> > > > > > > > > > > > > - all trades to be the same, or
similar, and
> >> > have
> >> > > > > > > variations
> >> > > > > > > > > in
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > frequency (MSA),
> >> > > > > > > > > > > > > - something else?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Trading, however, is not a coin toss.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > It is more like a sample generator
that
> > produces
> >> > > > trades
> >> > > > > > > as a
> >> > > > > > > > > > > result
> >> > > > > > > > > > > > > of presenting dynamic data to the
system
> >> > (filter).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > To what extent could a 'real life'
trading
> >> > system
> >> > > > > > emulate
> >> > > > > > > a
> >> > > > > > > > > > coin
> >> > > > > > > > > > > > > toss, with variable values ... how
could
> > that
> >> > come
> >> > > > > > about?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > (interesting that the very
functional optF
> >> > formula
> >> > > > came
> >> > > > > > > about
> >> > > > > > > > > > as
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > variable value coin toss staking
formula).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Is it possible or not?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > A lot of people seem to think it is,
> > judging by
> >> > > > their
> >> > > > > > > books
> >> > > > > > > > > and
> >> > > > > > > > > > > > > software.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Presumably, when the underlying data
> > changes,
> >> > the
> >> > > > sample
> >> > > > > > > > > > profile
> >> > > > > > > > > > > > > (mean, StDev etc) can change and we
end
> > up with
> >> > a
> >> > > > > > better
> >> > > > > > > or
> >> > > > > > > > > > worse
> >> > > > > > > > > > > > > outcome than anticipated by the OOS.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > So, does the non-stationary
behaviour of the
> >> > markets
> >> > > > > > > > > invalidate
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > coin toss model?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > That is the ineresting question, and
I don't
> >> > know
> >> > > > the
> >> > > > > > > answer
> >> > > > > > > > > to
> >> > > > > > > > > > > it,
> >> > > > > > > > > > > > > or even if there is a definite
answer.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I was hopeful that people would pick
up
> > on that
> >> > key
> >> > > > > > point
> >> > > > > > > and
> >> > > > > > > > > > > shed
> >> > > > > > > > > > > > > some light on the subject.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I know, from my long hours of
simulating
> > random
> >> > > > data,
> >> > > > > > what
> >> > > > > > > > > > random
> >> > > > > > > > > > > > > behaviour looks like when I see it.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Clearly the markets have a certain
amount of
> >> > random
> >> > > > > > > behaviour.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Howard commented somewhere, or
another, that
> >> > there
> >> > > > is a
> >> > > > > > > > > certain
> >> > > > > > > > > > > > > amount of randomness in the market
(I can't
> >> > recall
> >> > > > the
> >> > > > > > > method
> >> > > > > > > > > > he
> >> > > > > > > > > > > > used
> >> > > > > > > > > > > > > to measure it).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > It is quite easy to observe if data
has any
> >> > random
> >> > > > > > > qualities,
> >> > > > > > > > > > > > > especially if we measure the core
attributes
> >> > (50/50
> >> > > > > > heads
> >> > > > > > > and
> >> > > > > > > > > > > tails
> >> > > > > > > > > > > > > and its persistence into 2,3,4 heads
in
> > a row
> >> > etc).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Once again I ask you to consider:
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > if I measure the S&P500 index, on
close,
> > and it
> >> > > > goes up
> >> > > > > > > > > approx
> >> > > > > > > > > > 50
> >> > > > > > > > > > > > and
> >> > > > > > > > > > > > > down approx 50 (+- variance that is
> > typical of a
> >> > > > random
> >> > > > > > > > > > binomial
> >> > > > > > > > > > > > > event) and the subsequent second
head or
> > tail
> >> > follow
> >> > > > > > with
> >> > > > > > > 0.5
> >> > > > > > > > > > > prob
> >> > > > > > > > > > > > > etc I am justified in considering it
top
> > be a
> >> > pseudo
> >> > > > > > > random
> >> > > > > > > > > > > > binomail
> >> > > > > > > > > > > > > event?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I have done quick and dirty
> > measurements, and
> >> > > > accurate
> >> > > > > > > > > > > > measurements,
> >> > > > > > > > > > > > > on dependency (or on its inverse,
which is
> >> > > > > > independency)
> >> > > > > > > and
> >> > > > > > > > > > find
> >> > > > > > > > > > > > > that there is a good deal of
> > independency in the
> >> > > > > > markets
> >> > > > > > > (I
> >> > > > > > > > > > > posted
> >> > > > > > > > > > > > > some q&d code to measure that last
week).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I have speculated before, on the
point,
> > that the
> >> > > > > > rational
> >> > > > > > > > > > market
> >> > > > > > > > > > > is
> >> > > > > > > > > > > > > the market that follows fundamental
> > value, which
> >> > > > tends
> >> > > > > > to
> >> > > > > > > be
> >> > > > > > > > > >=
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > yearly (macro) timeframe, and,
> > everything else
> >> > is
> >> > > > the
> >> > > > > > > > > > irrational
> >> > > > > > > > > > > > > market.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Consider an intraday market ... what
is
> > rational
> >> > > > about
> >> > > > > > the
> >> > > > > > > > > > price
> >> > > > > > > > > > > > > movement during any given part of
the day?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - Draw a trend line on the chart ..
we will
> >> > assume
> >> > > > that
> >> > > > > > we
> >> > > > > > > > > know
> >> > > > > > > > > > > > what
> >> > > > > > > > > > > > > a trend is for this exercise,
although
> > that is a
> >> > > > > > debatable
> >> > > > > > > > > > point.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - The trend, a straight line, is
> > rational (it is
> >> > > > > > perfectly
> >> > > > > > > > > > > > following
> >> > > > > > > > > > > > > fundamental value).... it is 2007
and it is
> >> > up ;-)
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - All of the ups and downs that occur
> > around it
> >> > are
> >> > > > > > > > > irrational
> >> > > > > > > > > > > > > (bucking the trend).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - The trend line goes under the
pivot lows.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - Your system buys at the pivot lows
and
> > sells
> >> > at =
> >> > > > = 2
> >> > > > > > > StDev
> >> > > > > > > > > > > above
> >> > > > > > > > > > > > > the trend line.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - Place a stop under the trend line
at - 1
> >> > stDev.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - Assume no commission and no
slippage.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - Your payoff ratio is 2/1
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - assume there is no variance in
> > volatility so
> >> > the
> >> > > > PR
> >> > > > > > is a
> >> > > > > > > > > > > constant
> >> > > > > > > > > > > > > value
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - the win/loss ratio is determined by
> > the random
> >> > > > > > > meandering
> >> > > > > > > > > of
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > irrational price movements up and
down.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Note they are irrational because
people are
> >> > buying
> >> > > > and
> >> > > > > > > > > selling
> >> > > > > > > > > > at
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > wrong time and for the wrong
reasons -
> > if they
> >> > were
> >> > > > > > > rational
> >> > > > > > > > > > they
> >> > > > > > > > > > > > > would only be buying selling as
fundamental
> >> > values
> >> > > > > > change.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - the trade series produced would
look
> > exactly
> >> > that
> >> > > > that
> >> > > > > > > > > > produced
> >> > > > > > > > > > > > by
> >> > > > > > > > > > > > > a coin tossed with +2, -1 value on
it.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Now, you have tested this system,
OOS,
> > and it
> >> > is a
> >> > > > > > winner.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > What chance for stationarity when
you trade
> >> > live?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > If the trend continues there is a
very good
> >> > chance
> >> > > > that
> >> > > > > > > the
> >> > > > > > > > > > > random
> >> > > > > > > > > > > > > emualator (system meeting dynamic
data) will
> >> > > > continue to
> >> > > > > > > > > > perform
> >> > > > > > > > > > > > like
> >> > > > > > > > > > > > > a biased coin +- variance i.e. the
> > payoff ratio
> >> > > > can't
> >> > > > > > > change
> >> > > > > > > > > > but
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > W/L will (it always does when I toss
a
> > coin).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > If the trend changes your winning
model
> > will be
> >> > more
> >> > > > > > > likely
> >> > > > > > > > > to
> >> > > > > > > > > > > bust.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > That could be the reason Fred, and
> > others, like
> >> > to
> >> > > > > > > > > continually
> >> > > > > > > > > > > > retest.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > I have another approach to getting
> > around this
> >> > > > problem
> >> > > > > > > (this
> >> > > > > > > > > is
> >> > > > > > > > > > > > > actually the real point of my
posts) ...
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > ..... to accomodate non-stationarity
either
> >> > adjust
> >> > > > > > > quickly OR
> >> > > > > > > > > > use
> >> > > > > > > > > > > a
> >> > > > > > > > > > > > > dimensionless model e.g. don't
believe in
> >> > trends and
> >> > > > > > then
> >> > > > > > > you
> >> > > > > > > > > > > can't
> >> > > > > > > > > > > > > be on the wrong side of them.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > However, that is only speculation.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > What do you think?
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Again ... what is the relevance of
coin
> > tosses
> >> > to
> >> > > > > > trading
> >> > > > > > > IMO:
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > - wonderful training tool
> >> > > > > > > > > > > > > - a good OOS can not predict exactly
> > what the
> >> > > > outcome
> >> > > > > > of
> >> > > > > > > live
> >> > > > > > > > > > > > trading
> >> > > > > > > > > > > > > will be (subject to nonstationarity)
and
> >> > neither can
> >> > > > > > > > > simulation
> >> > > > > > > > > > > > (coin
> >> > > > > > > > > > > > > tossing) but it gives a good
> > approximation of
> >> > the
> >> > > > > > > > > possibilities
> >> > > > > > > > > > > > (also
> >> > > > > > > > > > > > > subject to non-stationarity).
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > As a quid pro quo .....
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > ..... if you, or anyone else, can
give
> > me any
> >> > > > > > explanation
> >> > > > > > > > > > and/or
> >> > > > > > > > > > > > > proof that the coin toss metaphor
has no
> >> > relevance
> >> > > > to
> >> > > > > > > trading
> >> > > > > > > > > I
> >> > > > > > > > > > > > would
> >> > > > > > > > > > > > > be delighted.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Anyway, I think Patrick already
answered the
> >> > > > question,
> >> > > > > > or
> >> > > > > > > > > told
> >> > > > > > > > > > us
> >> > > > > > > > > > > > > where to find it.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > Good luck with your trading.
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > brian_zzzzzzzzzzzzzzzzzzzzzzzzzzzzzzz
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > >
> >> > > > > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com><amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>>
> >> > > > <amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > >
> >> > > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "Phsst" <phsst@> wrote:
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > Hello Brian,
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > Thanks for the mention in your New
Years
> >> > post. I
> >> > > > felt
> >> > > > > > > > > > humbled
> >> > > > > > > > > > > to
> >> > > > > > > > > > > > > be in
> >> > > > > > > > > > > > > > the same honerable mention list as
> > Fred (He
> >> > is a
> >> > > > very
> >> > > > > > > smart
> >> > > > > > > > > > > Dude
> >> > > > > > > > > > > > (no
> >> > > > > > > > > > > > > > kidding!)) It took me a while
(some years
> >> > back) to
> >> > > > > > > figure
> >> > > > > > > > > out
> >> > > > > > > > > > > > what a
> >> > > > > > > > > > > > > > smart guy Fred really is. I've
since
> > learned
> >> > that
> >> > > > > > when
> >> > > > > > > Fred
> >> > > > > > > > > > > > speaks,
> >> > > > > > > > > > > > > it
> >> > > > > > > > > > > > > > pays to think and be silent for a
good
> > long
> >> > while
> >> > > > > > before
> >> > > > > > > > > > > drawing
> >> > > > > > > > > > > > any
> >> > > > > > > > > > > > > > conclusions.
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > To your "crystal clear" point...
This
> > is the
> >> > > > second
> >> > > > > > > time in
> >> > > > > > > > > > the
> >> > > > > > > > > > > > > past few
> >> > > > > > > > > > > > > > days that you seem to have equated
> >> > > > trading/backtesting
> >> > > > > > > > > system
> >> > > > > > > > > > > > > outcomes
> >> > > > > > > > > > > > > > to a random series of coin flip
outcomes
> >> > (random
> >> > > > > > binary
> >> > > > > > > > > > > > occurances).
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > Serious question... what is your
> > point? What
> >> > is
> >> > > > the
> >> > > > > > > > > > relevence
> >> > > > > > > > > > > os
> >> > > > > > > > > > > > > the
> >> > > > > > > > > > > > > > "Coin Flip" metaphor where trading
> > systems is
> >> > > > > > concerned?
> >> > > > > > > > > > What
> >> > > > > > > > > > > am
> >> > > > > > > > > > > > I
> >> > > > > > > > > > > > > > missing?
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > Your Bud... Phsst
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > This is the second time
> >> > > > > > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com><amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>>
> >> > > > <amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > >
> >> > > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "brian_z111"
> >> > > > > > > > > <brian_z111@>
> >> > > > > > > > > > > > wrote:
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > To be chrystal clear about my
> > hypothesis:
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > We are trying to design a system
that
> >> > produces
> >> > > > the
> >> > > > > > > same
> >> > > > > > > > > set
> >> > > > > > > > > > of
> >> > > > > > > > > > > > > > > trades, in the future, as it has
in the
> >> > past i.e
> >> > > > > > > trades
> >> > > > > > > > > and
> >> > > > > > > > > > > not
> >> > > > > > > > > > > > > > > combinations of trades.
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > If a solid gold coin, minted by
the US
> >> > treasury,
> >> > > > > > with
> >> > > > > > > a
> >> > > > > > > > > > head
> >> > > > > > > > > > > > and a
> >> > > > > > > > > > > > > > > tail clearly stamped on each
side,
> > and only
> >> > two
> >> > > > > > > values +1
> >> > > > > > > > > > or -
> >> > > > > > > > > > > 1
> >> > > > > > > > > > > > > can't
> >> > > > > > > > > > > > > > > reproduce two equity curves that
> > look the
> >> > same,
> >> > > > > > after
> >> > > > > > > N
> >> > > > > > > > > > > tosses,
> >> > > > > > > > > > > > > how
> >> > > > > > > > > > > > > > > can we expect a trading system
to do
> > that
> >> > when
> >> > > > it
> >> > > > > > has
> >> > > > > > > a
> >> > > > > > > > > > range
> >> > > > > > > > > > > of
> >> > > > > > > > > > > > > > > possible values?
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > AND it doesn't get any better as
N
> >> > increases.
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > Put your time and effort into
> > maximising the
> >> > > > > > STABILITY
> >> > > > > > > > > > > > > > > (predictability, boundness) of
the trade
> >> > > > set 'with
> >> > > > > > an
> >> > > > > > > > > edge'
> >> > > > > > > > > > > > THEN
> >> > > > > > > > > > > > > use
> >> > > > > > > > > > > > > > > MM to optimise the equity outcome
> > the system
> >> > > > > > produces
> >> > > > > > > > > > > (optimise
> >> > > > > > > > > > > > ==
> >> > > > > > > > > > > > > > > your definition e.g. max return,
min
> > risk or
> >> > > > > > > whatever).
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > --- In amibroker@xxxxxxxxxxxxxxx
> >> > <mailto:amibroker%40yahoogroups.com><amibroker%
> >> > 40yahoogroups.com <http://40yahoogroups.com>>
> >> > > > <amibroker%
> >> > > > 40yahoogroups.com
<http://40yahoogroups.com>><amibroker%
> >> > > >
> >> > > > > > > 40yahoogroups.com <http://40yahoogroups.com>>,
> >> > > > > > > > > "brian_z111"
> >> > > > > > > > > brian_z111@
> >> > > > > > > > > > > > wrote:
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Howard,
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Thanks for your post.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > A very well written article.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Some contrary comment (first
> > referencing
> >> > some
> >> > > > of
> >> > > > > > > your
> >> > > > > > > > > > > points
> >> > > > > > > > > > > > and
> >> > > > > > > > > > > > > > > > then, later, some comments of
my own):
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > > By trying many
> >> > > > > > > > > > > > > > > > > combinations of logic and
parameter
> >> > values,
> >> > > > we
> >> > > > > > > will
> >> > > > > > > > > > > > eventually
> >> > > > > > > > > > > > > > > find
> >> > > > > > > > > > > > > > > > >a system that is profitable
for
> > the date
> >> > > > range
> >> > > > > > > > > analyzed.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > You are assuming that all
> > successful long
> >> > term
> >> > > > > > > traders
> >> > > > > > > > > > > > arrived
> >> > > > > > > > > > > > > at
> >> > > > > > > > > > > > > > > > their system(s) by using this
> > approach ...
> >> > > > perhaps
> >> > > > > > > > > there
> >> > > > > > > > > > > are
> >> > > > > > > > > > > > > > > systems
> >> > > > > > > > > > > > > > > > out there that have no
optimiseable
> >> > parameters
> >> > > > > > and
> >> > > > > > > only
> >> > > > > > > > > > one
> >> > > > > > > > > > > > > > > > underlying logic.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > If so they are likely be based
on
> > primal
> >> > > > market
> >> > > > > > > > > behaviour
> >> > > > > > > > > > > and
> >> > > > > > > > > > > > > > > > therefore persistent across
> > markets and
> >> > time
> >> > > > i.e
> >> > > > > > > they
> >> > > > > > > > > > would
> >> > > > > > > > > > > > > have to
> >> > > > > > > > > > > > > > > > be systems based on market
> > characteristics
> >> > > > that
> >> > > > > > are
> >> > > > > > > > > > > relatively
> >> > > > > > > > > > > > > > > > stationary.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > > testing the
> >> > > > > > > > > > > > > > > > > profitability of a trading
> > system that
> >> > was
> >> > > > > > > developed
> >> > > > > > > > > > > using
> >> > > > > > > > > > > > > recent
> >> > > > > > > > > > > > > > > > >data
> >> > > > > > > > > > > > > > > > > on older data is guaranteed
to over-
> >> > > > estimate the
> >> > > > > > > > > > > > > profitability of
> >> > > > > > > > > > > > > > > > the
> >> > > > > > > > > > > > > > > > > trading system.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > You know that in science
> >> > (philosophy/logic) it
> >> > > > > > only
> >> > > > > > > > > takes
> >> > > > > > > > > > > one
> >> > > > > > > > > > > > > > > > refutation to dethrone the
current
> > ruling
> >> > > > > > > hypothesis ...
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > if a long system, developed on
the
> > last 12
> >> > > > months
> >> > > > > > of
> >> > > > > > > > > data
> >> > > > > > > > > > > > (when
> >> > > > > > > > > > > > > the
> >> > > > > > > > > > > > > > > > market was experiencing a bear
> > riot) is
> >> > then
> >> > > > > > tested
> >> > > > > > > OOS
> >> > > > > > > > > > on
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > > > prior
> >> > > > > > > > > > > > > > > > years data it will outperform
the in
> >> > sample
> >> > > > tests
> >> > > > > > > (OOS
> >> > > > > > > > > > > would
> >> > > > > > > > > > > > be
> >> > > > > > > > > > > > > > > > conducted on bull market data).
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > > There is very little reason
to
> > expect
> >> > that
> >> > > > > > future
> >> > > > > > > > > > > behavior
> >> > > > > > > > > > > > and
> >> > > > > > > > > > > > > > > > > profitability of well known
trading
> >> > systems
> >> > > > > > will
> >> > > > > > > be
> >> > > > > > > > > the
> >> > > > > > > > > > > > same
> >> > > > > > > > > > > > > as
> >> > > > > > > > > > > > > > > past
> >> > > > > > > > > > > > > > > > > behavior.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Do we have any empirical
evidence
> > of this?
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > First we would have to have an
agreed
> >> > > > definition
> >> > > > > > > > > of 'well
> >> > > > > > > > > > > > > known',
> >> > > > > > > > > > > > > > > > make a list of the systems,
and then
> >> > perform
> >> > > > > > massive
> >> > > > > > > > > > > testing.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > To scrupulously prevent any
bias
> > creeping
> >> > > > testing
> >> > > > > > > would
> >> > > > > > > > > > > have
> >> > > > > > > > > > > > to
> >> > > > > > > > > > > > > be
> >> > > > > > > > > > > > > > > > conducted live, and not on
historical
> >> > data.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > We only know that they were
> >> > successful 'in the
> >> > > > > > > past' by
> >> > > > > > > > > > IS
> >> > > > > > > > > > > > > testing,
> >> > > > > > > > > > > > > > > > or by claim.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Do we have any, or many,
certified
> >> > performance
> >> > > > > > > records
> >> > > > > > > > > > > > provided
> >> > > > > > > > > > > > > by
> >> > > > > > > > > > > > > > > > traders who claim to have had
> > success with
> >> > > > > > > those 'well
> >> > > > > > > > > > > known'
> >> > > > > > > > > > > > > > > systems.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > > Statistics gathered from in-
sample
> >> > results
> >> > > > have
> >> > > > > > > > > > > > > > > > > no relationship to statistics
> > that will
> >> > be
> >> > > > > > > gathered
> >> > > > > > > > > > from
> >> > > > > > > > > > > > > trading.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Not, so.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > They have every bearing on the
stats
> >> > gathered
> >> > > > in
> >> > > > > > > > > trading
> >> > > > > > > > > > > > because
> >> > > > > > > > > > > > > > > only
> >> > > > > > > > > > > > > > > > systems with good IS
performance
> > make it
> >> > to
> >> > > > the
> >> > > > > > OS,
> >> > > > > > > or
> >> > > > > > > > > > live
> >> > > > > > > > > > > > > > > trading,
> >> > > > > > > > > > > > > > > > phase.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > OOS testing is only proceeded
with
> >> > because the
> >> > > > > > > analyst
> >> > > > > > > > > > has
> >> > > > > > > > > > > > every
> >> > > > > > > > > > > > > > > > expectation, or hope, that the
good IS
> >> > stats
> >> > > > will
> >> > > > > > be
> >> > > > > > > > > > > > reproduced
> >> > > > > > > > > > > > > OOS.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > In fact it is the relative
performance
> >> > between
> >> > > > > > the
> >> > > > > > > IS
> >> > > > > > > > > and
> >> > > > > > > > > > > OOS
> >> > > > > > > > > > > > > stats
> >> > > > > > > > > > > > > > > > the encourages us to proceed
or abort.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Re trading the edge erodes the
edge:
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > It is an assumption that all
> > players are
> >> > > > trading
> >> > > > > > > > > > > systems ...
> >> > > > > > > > > > > > > many
> >> > > > > > > > > > > > > > > are
> >> > > > > > > > > > > > > > > > not, in fact the vast majority
are
> > not....
> >> > > > those
> >> > > > > > who
> >> > > > > > > > > > aren't
> >> > > > > > > > > > > > > control
> >> > > > > > > > > > > > > > > > vastly greater sums of money
than
> > those
> >> > who
> >> > > > do.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > It is an assumption that all
wins
> > erode
> >> > the
> >> > > > > > > system ...
> >> > > > > > > > > > they
> >> > > > > > > > > > > > > could
> >> > > > > > > > > > > > > > > be
> >> > > > > > > > > > > > > > > > just lucky wins that the
trader can't
> >> > exploit
> >> > > > long
> >> > > > > > > > > term,
> >> > > > > > > > > > or
> >> > > > > > > > > > > > > > > > successful wins that the trader
> > doesn't
> >> > > > sustain
> >> > > > > > e.g
> >> > > > > > > > > they
> >> > > > > > > > > > > > might
> >> > > > > > > > > > > > > not
> >> > > > > > > > > > > > > > > > have the capital, use the
correct
> > staking
> >> > or
> >> > > > > > > maintain
> >> > > > > > > > > > self-
> >> > > > > > > > > > > > > > > discipline
> >> > > > > > > > > > > > > > > > in the future.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Only a very small percentage of
> > traders
> >> > are
> >> > > > > > > successful,
> >> > > > > > > > > > and
> >> > > > > > > > > > > > > hence
> >> > > > > > > > > > > > > > > > trading a successful system ...
> > every one
> >> > else
> >> > > > > > who
> >> > > > > > > is
> >> > > > > > > > > > > trading
> >> > > > > > > > > > > > is
> >> > > > > > > > > > > > > > > just
> >> > > > > > > > > > > > > > > > making noise.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > There are millions of system
> > permutations,
> >> > > > > > > instruments,
> >> > > > > > > > > > > > markets,
> >> > > > > > > > > > > > > > > > staking systems etc ..... how
many
> >> > successful
> >> > > > > > > traders
> >> > > > > > > > > > would
> >> > > > > > > > > > > > it
> >> > > > > > > > > > > > > take
> >> > > > > > > > > > > > > > > > to exahaust all of the
successful
> >> > > > permutations?
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > > The follow-on point, which
> > relates to
> >> > Monte
> >> > > > > > Carlo
> >> > > > > > > > > > > analysis,
> >> > > > > > > > > > > > is
> >> > > > > > > > > > > > > > > that
> >> > > > > > > > > > > > > > > > > rearranging the in-sample
trades
> > gives
> >> > no
> >> > > > > > insight
> >> > > > > > > > > into
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > future
> >> > > > > > > > > > > > > > > > > characteristics of the
system.
> > Yes, you
> >> > can
> >> > > > see
> >> > > > > > > the
> >> > > > > > > > > > > effect
> >> > > > > > > > > > > > of
> >> > > > > > > > > > > > > > > taking
> >> > > > > > > > > > > > > > > > > the trades in different
orders.
> > But why
> >> > > > bother?
> >> > > > > > > They
> >> > > > > > > > > > are
> >> > > > > > > > > > > > still
> >> > > > > > > > > > > > > > > > > in-sample results and still
have no
> >> > value.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > If you are engineering an F1
> > racing car
> >> > there
> >> > > > is
> >> > > > > > > only
> >> > > > > > > > > > track
> >> > > > > > > > > > > > > > > > testing/simulation (99.9 of the
> > time) and
> >> > > > racing
> >> > > > > > > > > > > performance
> >> > > > > > > > > > > > > (1% of
> >> > > > > > > > > > > > > > > > the time).
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > The more information you gather
> > off the
> >> > track
> >> > > > the
> >> > > > > > > more
> >> > > > > > > > > > > likely
> >> > > > > > > > > > > > > you
> >> > > > > > > > > > > > > > > are
> >> > > > > > > > > > > > > > > > to perform on the track OR know
> > what to
> >> > adjust
> >> > > > > > and
> >> > > > > > > when
> >> > > > > > > > > > to
> >> > > > > > > > > > > > > adjust
> >> > > > > > > > > > > > > > > it
> >> > > > > > > > > > > > > > > > if performance doesn't meet
> > expectations.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Do you know of any F1 teams
that don't
> >> > > > > > > test/simulate?
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Do you know of any F1 teams
that only
> >> > > > > > test/simulate
> >> > > > > > > > > one,
> >> > > > > > > > > > or
> >> > > > > > > > > > > > > > > limited,
> >> > > > > > > > > > > > > > > > metrics?
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > What is testing if not 'massive
> >> > examination of
> >> > > > > > what-
> >> > > > > > > if
> >> > > > > > > > > > > > > scenarios'?
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Re MonteCarlo and stationarity
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > I haven't studied the subject
in
> > depth.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Mainly it is has been used
outside of
> >> > trading
> >> > > > and
> >> > > > > > in
> >> > > > > > > > > > > > different
> >> > > > > > > > > > > > > ways
> >> > > > > > > > > > > > > > > > to the ways that traders use
it ....
> >> > possibly
> >> > > > it
> >> > > > > > > would
> >> > > > > > > > > > be
> >> > > > > > > > > > > > best
> >> > > > > > > > > > > > > to
> >> > > > > > > > > > > > > > > > limit trading discussion
to 'trading
> >> > > > simulation'
> >> > > > > > and
> >> > > > > > > > > drop
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > MC
> >> > > > > > > > > > > > > > > part
> >> > > > > > > > > > > > > > > > of the name.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > I have only found one book
devoted
> > to the
> >> > > > subject
> >> > > > > > > and I
> >> > > > > > > > > > > regret
> >> > > > > > > > > > > > > > > buying
> >> > > > > > > > > > > > > > > > it .... 'MCS and System
Trading'
> > by Volker
> >> > > > > > Butzlaff.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > I have also test driven
TradeSim
> > and MSA.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Referencing their trading apps.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > TS arranges the trades, as a
time
> > series,
> >> > and
> >> > > > > > > randomly
> >> > > > > > > > > > > walks
> >> > > > > > > > > > > > > > > through
> >> > > > > > > > > > > > > > > > all permutations to
simulate 'live
> >> > > > trading'.....
> >> > > > > > it
> >> > > > > > > is
> >> > > > > > > > > an
> >> > > > > > > > > > > MM
> >> > > > > > > > > > > > > test,
> >> > > > > > > > > > > > > > > of
> >> > > > > > > > > > > > > > > > some kind, because equity is
allocated
> >> > prior
> >> > > > to
> >> > > > > > the
> >> > > > > > > > > walk
> >> > > > > > > > > > > > > through.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > AB's backtester, in default
mode, does
> >> > this
> >> > > > once.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > I assume other methods could be
> > used ...
> >> > as
> >> > > > per my
> >> > > > > > > > > > pervious
> >> > > > > > > > > > > > XYZ
> >> > > > > > > > > > > > > > > > example:
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > - abcXdefghi with simultaneous
> > trades on
> >> > day
> >> > > > 4,
> >> > > > > > > > > > > > > > > > - we can only achieve a finite
set of
> >> > > > > > permutations,
> >> > > > > > > > > > > > > > > > - the outcome of massive
sampling will
> >> > tend to
> >> > > > > > the
> >> > > > > > > mean
> >> > > > > > > > > +-
> >> > > > > > > > > >
> >> > > > > > > > > > > > > variance,
> >> > > > > > > > > > > > > > > > - we can simulate the eq
outcomes
> > using
> >> > random
> >> > > > > > > sampling
> >> > > > > > > > > > of
> >> > > > > > > > > > > > > uniform
> >> > > > > > > > > > > > > > > > size, ave the result per random
> > series and
> >> > > > then
> >> > > > > > freq
> >> > > > > > > > > dist
> >> > > > > > > > > > > the
> >> > > > > > > > > > > > > means
> >> > > > > > > > > > > > > > > > (Central Limit Theoreom
predicts a
> > pseudo
> >> > norm
> >> > > > > > > dist).
> >> > > > > > > > > > > > > > > > > 30 selections per series * ?
> > series will
> >> > > > > > achieve
> >> > > > > > > an
> >> > > > > > > > > > > approx
> >> > > > > > > > > > > > of
> >> > > > > > > > > > > > > > > > possible eq outcomes (I'm not
sure if
> >> > > > > > distrubtions
> >> > > > > > > obey
> >> > > > > > > > > > the
> >> > > > > > > > > > > > > laws of
> >> > > > > > > > > > > > > > > > sample error ... I don't think
> > they do).
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > TradeSims real life simulation
assumes
> >> > > > > > stationarity
> >> > > > > > > > > (the
> >> > > > > > > > > > > > balls
> >> > > > > > > > > > > > > in
> >> > > > > > > > > > > > > > > the
> >> > > > > > > > > > > > > > > > bin, and their values will
remain
> > constant
> >> > > > into
> >> > > > > > the
> >> > > > > > > > > > future).
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > It also assumes that they will
be
> > selected
> >> > > > from
> >> > > > > > the
> >> > > > > > > bin
> >> > > > > > > > > > in
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > same
> >> > > > > > > > > > > > > > > > order, or frequency to be
absolutely
> >> > correct
> >> > > > (the
> >> > > > > > > order
> >> > > > > > > > > > > > doesn't
> >> > > > > > > > > > > > > > > > change anything only the
> > frequency)....
> >> > to be
> >> > > > > > > precise
> >> > > > > > > > > > about
> >> > > > > > > > > > > > it,
> >> > > > > > > > > > > > > > > their
> >> > > > > > > > > > > > > > > > model assumes that if you have
> > picked the
> >> > > > worst
> >> > > > > > > > > > historical
> >> > > > > > > > > > > > loss
> >> > > > > > > > > > > > > out
> >> > > > > > > > > > > > > > > > of the bin 2/1000 trades that
you
> > will not
> >> > > > only
> >> > > > > > > > > > experience
> >> > > > > > > > > > > > the
> >> > > > > > > > > > > > > same
> >> > > > > > > > > > > > > > > %
> >> > > > > > > > > > > > > > > > as the worst loss in the future
> > but that
> >> > it
> >> > > > will
> >> > > > > > > also
> >> > > > > > > > > > only
> >> > > > > > > > > > > > occur
> >> > > > > > > > > > > > > > > > 2/1000 times.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > MSA puts all of the balls in
the
> > bin and
> >> > > > selects
> >> > > > > > > them
> >> > > > > > > > > in
> >> > > > > > > > > > a
> >> > > > > > > > > > > > way
> >> > > > > > > > > > > > > that
> >> > > > > > > > > > > > > > > > allows new combinations
(frequencies)
> >> > until
> >> > > > all
> >> > > > > > > possible
> >> > > > > > > > > > > > > > > frequencies
> >> > > > > > > > > > > > > > > > are exhausted i.e. they assume
> >> > stationarity
> >> > > > only
> >> > > > > > in
> >> > > > > > > > > > values
> >> > > > > > > > > > > > but
> >> > > > > > > > > > > > > not
> >> > > > > > > > > > > > > > > > frequency of dist (they assume
> > dist is a
> >> > > > > > probability
> >> > > > > > > > > > > > statement
> >> > > > > > > > > > > > > and
> >> > > > > > > > > > > > > > > > not a constant or series of
> >> > constants).... to
> >> > > > be
> >> > > > > > > > > precise
> >> > > > > > > > > > > > about
> >> > > > > > > > > > > > > it
> >> > > > > > > > > > > > > > > > they assume that if it can
happen
> > it will.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > So, stationarity is the issue.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > So many people are confusing
> > variance with
> >> > > > non-
> >> > > > > > > > > > > > stationarity ....
> >> > > > > > > > > > > > > > > they
> >> > > > > > > > > > > > > > > > are being fooled by randomness
e.g.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > we know that the trial records
of fair
> >> > coin
> >> > > > > > tosses
> >> > > > > > > are
> >> > > > > > > > > > > > > stationary
> >> > > > > > > > > > > > > > > AND
> >> > > > > > > > > > > > > > > > they have a surprising range of
> > outcomes
> >> > > > > > > (variance) ...
> >> > > > > > > > > > > this
> >> > > > > > > > > > > > is
> >> > > > > > > > > > > > > > > very
> >> > > > > > > > > > > > > > > > easy to see if simulated and
> > expressed as
> >> > > > equity
> >> > > > > > > > > outcomes.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Therefore, in trading, we can,
at the
> >> > least
> >> > > > > > expect a
> >> > > > > > > > > > > > tremendous
> >> > > > > > > > > > > > > > > > amount of variance ... no less
> > than what
> >> > can
> >> > > > be
> >> > > > > > > > > expected
> >> > > > > > > > > > > from
> >> > > > > > > > > > > > a
> >> > > > > > > > > > > > > > > coin
> >> > > > > > > > > > > > > > > > toss experiment ... this
variance
> > can be
> >> > > > estimated
> >> > > > > > > > > using
> >> > > > > > > > > > > > several
> >> > > > > > > > > > > > > > > > methods, simulation being one
> > easy, push
> >> > the
> >> > > > > > > computer
> >> > > > > > > > > > > button
> >> > > > > > > > > > > > and
> >> > > > > > > > > > > > > > > look
> >> > > > > > > > > > > > > > > > at the graph method.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > So, the value of the
simulation is in
> >> > training
> >> > > > > > the
> >> > > > > > > mind
> >> > > > > > > > > > to
> >> > > > > > > > > > > > > accept
> >> > > > > > > > > > > > > > > > variance and mentally prepare
for the
> >> > worst
> >> > > > case
> >> > > > > > > losses.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > However, it doesn't matter how
we
> > design
> >> > our
> >> > > > > > > systems we
> >> > > > > > > > > > can
> >> > > > > > > > > > > > not
> >> > > > > > > > > > > > > do
> >> > > > > > > > > > > > > > > > anything about stopping
> > non-stationarity.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > Our system will get wiped out
in
> > OOS if
> >> > it is
> >> > > > not
> >> > > > > > > > > robust
> >> > > > > > > > > > OR
> >> > > > > > > > > > > > if
> >> > > > > > > > > > > > > the
> >> > > > > > > > > > > > > > > > market changes.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > If our system is robust it will
> > still get
> >> > > > wiped
> >> > > > > > out
> >> > > > > > > if
> >> > > > > > > > > > the
> >> > > > > > > > > > > > > market
> >> > > > > > > > > > > > > > > > changes.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > However, IMO, non-stationarity
is
> > not, or
> >> > need
> >> > > > > > not
> >> > > > > > > be,
> >> > > > > > > > > as
> >> > > > > > > > > > > > > pervasive
> >> > > > > > > > > > > > > > > > in trading as we think.
> >> > > > > > > > > > > > > > > >
> >> > > > > > > > > > > > > > > > As I have said in the past, and
> > already in
> >> > > > this
> >> > > > > > > > > post ...
> >> > > > > > > > > > > many
> >> > > > > > > > > > > > > > > traders
> >> > > > > > > > > > > > > > > > are slayed by the innocuous
> > looking Black
> >> > > > Swan,
> >> > > > > > > because
> >> > >
> >> > ...
> >> >
> >> > [Message clipped]
> >> >
> >> >
> >> >
> >>
> >
> >
> >
> >
> > ------------------------------------
> >
> > **** IMPORTANT PLEASE READ ****
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> >
> > TO GET TECHNICAL SUPPORT send an e-mail directly to
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> >
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> > http://www.amibroker.com/feedback/
> > (submissions sent via other channels won't be considered)
> >
> > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > http://www.amibroker.com/devlog/
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
------------------------------------
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