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Very well written, Bill. Interestingly literary. Kind of a
charming, gentle, reprimand that very well may help us remember why we're
here.
<P>Thought I'd comment off list to avoid further fanning the flames.
<P>Leo
<P>Bill Saxon wrote:
<BLOCKQUOTE TYPE=CITE> Oh God, The flames, the flames, the flames
are here ..... agony and pain!!!! Collective wrath please pity, pity.
Must we all suffer for one miscreant?
<P>Rajesh wrote:
<BLOCKQUOTE TYPE=CITE> PATRICK : PLEASE DONT DISRESPECT PEOPLE HERE.
SHOW SOME RESPECT OR FACE THE COLLECTIVE WRATH .
<P><B>EQUIS : NEEDS TO WAKE UP AND THAT IS A FACT AND BUILD SOFTWARE FOR
ITS CLIENTS. I BELEIVE IN CONSTRUCTIVE CRITICISM. HERE WE ARE DOING EQUIS
A FAVOUR, READ F.A.V.O.U.R. AND ITS NOT THE OTHER WAY ROUND. IF YOU HAVE
DONE ANY BUSINESS IN YOUR LIFE YOU SHOULD KNOW BY NOW THE SUPREME
IMPORTANCE OF CLIENTS TO ONES BUSINESS. AS A SELLER YOU ARE EXPECTED TO
TAKE CRAP NOT AS A BUYER. THAT IS THE RULE OF THE THUMB(UNLESS YOU ARE
A MONOPOLY LIKE WIN-MAN GATE)</B>
<P><B>So if Equis is DEAF then good luck to them because in the long run
THEY are going to need it.</B>
<BR>
<BR>
<P>Patrick Gamble wrote:
<BLOCKQUOTE TYPE=CITE>I also belong to the Tradestation e-mail group.
<P>There was exactly the same belly-aching about features
<BR>in the product, not in the product, should be in the product,
<BR>all by a small number of professional moaners.
<P>If you moaners are so clever, why don't you build your own product
<BR>instead of forever bitching about Metastock, on which you depend for
your
<BR>living.
<BR>You owe them, get it.
<P>So stop this endless belly aching and get trading.</BLOCKQUOTE>
</BLOCKQUOTE>
</BLOCKQUOTE>
</HTML>
</x-html>From ???@??? Thu Aug 06 22:21:58 1998
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Date: Thu, 06 Aug 1998 23:51:13 -0400
To: metastock@xxxxxxxxxxxxx
From: Roland Beauregard <beau@xxxxxxxxxxxx>
Subject: Re: Optimizing
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Rick:
Firstly, thanks for your contribution to this thread. I've been trading
full-time privately for a few years now and still over half of my time is
spent learning and testing.
Elaboration on a couple of points would be helpful, when you have a moment.
At 11:27 AM 8/7/98 +0900, you wrote:
>Hi Roland,
>
>You are incorrect to think re-optimizing makes for better performance for a
>number of reasons. What you really want to do is known as de-optimization.
>I've posted this before, but below is the proper technique you should use.
>
>1)Use as few parameters as possible and favor systems that show greater
>insensitivity to changes in parameter values.
I assume this means a max of two or three optimized parameters.
Insensitivity?? I have found that the range of results is very wide
ie:highly sensitive. Most of the parameters in a test will exhaust capital
long before current end data are reached. However, frequently a small
percentage of the parameters will produce returns in the hundreds of percent
per year and higher.
>2)Backtest over as much data as possible, but 5 years minimum is
>recommended. You need a minimum 30 closed trades (buy & sells) to get
>statistically valid results. Anything less over 5 years and you might as
>well trade the 200 day SMA (or 233 for Fib fans!).
No problem.
>3)Check for dependency between trades. While rare, they can exploited.
What is " . . .dependency between trades"?
>4)Now FORWARD TEST. Divide up your data set into a minimum of 3 sections.
>More is generally better, but the exact length of each section you choose is
>really just a function of your system itself. Then do the following:
>Optimize over section 1. Trade over section 2.
>Optimize over section 1+2. Trade over 3 etc, ad infinitum.
How this done??
>5)Don't trade the peak parameter, but choose one that has lower performance
>that the one immediately before and after it. Parameter values that are
>close together tend to have similar performance (IF you followed Rule 1!).
>You are better off trading the parameter whose performance will tend to go
>higher than trading the peak, which tends lower. Don't fight the Second Law
>of Thermodynamics aka entropy!
Not sure I understand why you wouldn't use the hishest performing
combination of parameters and fine-tune [re-optimize] every other week or
month to align the parameters with the evolving price and volume
characteristics of the particular security.
>6) IF the system passes successfully steps 1-5 then put this now very robust
>system in your toolbox and LEAVE IT ALONE. Build another system if the
>"system tinkering bug" bites ya!
Agreed!! Thanks again,
Roland
>Hope this helps,
>Rick
>Tokyo, Japan
>
>
>-----Original Message-----
>From: Roland Beauregard <beau@xxxxxxxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Friday, August 07, 1998 10:13 AM
>Subject: Optimizing
>
>
>
>>However, I've been thinking along the same lines as John, that frequently
>>re-optimized parameters logically should produce better results than any
>>specific standard parameters, including Fibs. . . . and of course they do
>>much better in system tests.
>>
>>I'd like to see more discussion on optimization. Has anyone done any
>>extensive testing and validation? Is optimzation a significant factor in
>>anyone's successful trading system? Is there something inherently invalid
>>with optimizing?
>>
>>Comments anyone??
>>
>>Roland
>>
>>At 10:26 AM 8/6/98 -0400, you wrote:
>>>I am not sure if "trading with the wrong parameter" is correct, as you
>>>stated. My belief is that each stk has its own trading characteristics.
>>>Technical analyst in nothing more than measuring supply and demand of
>price.
>>>
>>> And my premise is that the stk characteristic will remain in tack until
>it
>>>changes.
>>>
>>>Most complete trading sysyem have two major general characteristic. One
>is
>>>money management (i.e when to get in, get out and double up) and two, a
>>>history of win vs lost and max drawdowns. And the reason by most people
>do
>>>not make "much money" on system trading is not having the trust when the
>>>system turns against them.
>>>
>>>OminTrader assumes that the stk will be generating the same charisteristic
>>>and therefore the indicators can be trusted until the characteristics
>>>changes. By being able to rerun the indicators against the stk on a short
>>>term basis allows re-optimizations of the indicators to the new
>>>characteristic of the stk.
>>>
>>>This is not a guarrentee system. If it was, I would not be writing the
>>>E-mail, but sunning somewhere in Europe counting my winnings. But,
>>>combining with MetaStk to do additional analysis is not a bad way to
>predict
>>>the next short turn move
>>>
>>>regards
>>>johnnie
>>>-----Original Message-----
>>>From: Jan Diederik <jddehaas@xxxxxxx>
>>>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>>>Date: Thursday, August 06, 1998 8:44 AM
>>>Subject: RE: Omni Trader 3.5
>>>
>>>
>>>>> -----Original Message-----
>>>>> From: owner-metastock@xxxxxxxxxxxxx
>>>>> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of John Scudiero
>>>>> Sent: Thursday, August 06, 1998 1:14 AM
>>>>> To: metastock@xxxxxxxxxxxxx
>>>>> Subject: Re: Omni Trader 3.5
>>>>>
>>>>> OT is the complete opposite of a trading system methodology. It
>>>>> optimizes
>>>>> indicators against a data range you chose, the intent is that the
>price
>>>>> trend of the immediate future is the same as the existing past, thereby
>>>>> giving you excellent readings based on the indicators. And so
>>>>> many days in the future, you re-run the indicator test to reoptimize
>>>>them.
>>>>
>>>>In my opinion this means that you have been trading with the wrong
>>>>parameters for your indicators. Afterwards you can say which parameter
>you
>>>>should have taken. Pretty frustrating if you ask me ;-)
>>>>
>>>>Regards,
>>>> Jan Diederik
>>>>
>>>>For the record: I never optimize; I usually take Fibonacci numbers.
>>>>
>>>
>>>
>>>
>>
>>
>>
>>
>>
>
>
>
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