|
PureBytes Links
Trading Reference Links
|
>- when I wanted to do the FDist I used Excels roundup so that the
>task of doing that manually
I hadn't used Roundup before ... I didn't read the fine print ...
being an intuitive I just rummaged around in the Excel function list
until I found something that 'rang my bell'
- I plugged it in at it looked like what I needed
- I was probably some were floating around in 'blue sky' and not
checking all of the little details
- later I noticed in the FDist I didn't have zero ... huh? ....made a
note of it with a question mark and kept 'flying the blue sky'
- eventually I figured that Roundup takes it away the Random dataset
away from zero's ... too late to go back and rework laf the file ...
the graph was lookoing like an oil painting so I quit while I was
ahead
Re growth factor and B/E trades etc:
Howard notes in his QTS book that recording trades as % mucks up mean
and StDev calcs ... this is annoying because mean and StDev are
beautiful and elegant stats and very useful to boot.
Using GrowthFactor has some advantages .... it syncs well with
RalphVince (who has had more interesting things to say about
evaluation than most) and it also gives us meaningful stats when we
evaluate our 'trade sample space' (the trade series our system
produces when it is presented with OOS data).
If we record trades as GF (1.03), instead of % (3) the mean of our TS
== 1 (for a break even system) and we get the StDev and the Z's etc
without any problems.
Using GF a for a BreakEven trade:
equity = 10000;// (or 1 doesn't matter ... 1 is a standard notation)
trade == 1.0;// it can be with or without commission, doesn't matter
for conceptual analysis
equity outcome == 10000 * 1.0 == 10000;//no change in equity
We do get a change in geomean because GM is calculated using the nth
root of the periods and we have added some periods to our backtest
(periods == total periods == total(time in trade + time out of trade)
OR (ave time in trade + ave time out of trade)* number of trades
... or something like that
Probably this will be covered again at my site ... by now long term
readers should be used to the fact I repeat the basics over and over
from many different angles (ref Carl Jung how the holsitic aspect of
our psyche perambulates when dissertating).
--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> 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@> 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@>
> > 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 ****
> > > This group is for the discussion between users only.
> > > This is *NOT* technical support channel.
> > >
> > > TO GET TECHNICAL SUPPORT send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
> > > 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
> > >
> > >
> > >
> > >
> >
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
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
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|