|
PureBytes Links
Trading Reference Links
|
I guess we all have our ways of doing things. Yes, I prefer science
and models but really can not claim to know it all, or that this is
the best way to approach markets. But is sure is better than rolling
dice. Yes, I know academics often is a far way from reality, but
I've seen theory in practise yielding good results as well.
A very wise man once said that your enemies will flatter you and your
friends will give you a bleeding nose. So we have to see critics as
friends helping us to improve. And we have to keep an open mind. I
like the wisdom in your final comment, on listening to everybody.
We follow this approach. We try to use a variety of models, based on
different techniques and approaches, and combine them in some or
other way. As mentioned before, a lot of recent research supports
this approach. You should not rely on just one model but rather use
a suite of models. Just visit a few of the more prominent and
modern central banks' websites and you'll see how this is put into
practise. Note how their (econometric) modelling teams will be
talking about a suite of models while just a few years ago this was
not the case.
Anyhow, thanks for your comments and I doubt if you will be wasting
your time.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://tsatsaeod.ferra4models.com
http://www.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "KUREKCI" <kurekci@xxxx> wrote:
> hi ferreira,
> i see that you are basing your trading rationale on statistical analysis
> methods. white noise wouldnt be familiar to anybody just doing technocal
> analysis. i think scientifically these are beyond doing simply technical
> analysis. and i definitely respect that being a phd student.
>
> i am not questioning whether this kind of a scientific approach does
work.
> but at least hope that it works, cause i will be investing my next
2-3 years
> in data mining and plan to use it in my thesis as well.
>
> the main point that other side, or the side that is critisizing you
is that
> academia would not work in the 'field', the markets in our case,
which has
> been a long issue. besides, if you ask the economic departments they
dont
> take statistics as a science, thats why most of the stats
departments have
> tobe connected to somewhereelse, if cant stand alone..
>
> as it is always said in this group there is no best. there are different
> people with different colors, there are bars with different colors, and
> different approaches to same problem. you make it more scientific
and earn
> more?? it is a very hard hypothesis.
>
> personally i enjoy trying different things and listen to everybody. and
> final decision is mine.
>
> i think it is very good to watch the discussion.
> thanks for all participants.
>
>
>
> -----Original Message-----
> From: MG Ferreira [mailto:quant@x...]
> Sent: Tuesday, March 01, 2005 1:04 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Re: Theta model
>
>
>
> Hi Andrew,
>
> Let us just backtrack a bit. I noted, when coding the T3 and IE/2,
> that the IE/2 appeared to be similar to the Theta model, which I know
> to be a good model. So I did not bother to test it, assuming it also
> to be a good model. The Theta model implementation provided is based
> on what can be done in Metastock in a very short time span, and was
> given on request, and has maybe too many shortcuts in it. If anybody
> has ever tested the IE/2, I think we can safely use that as a proxy
> for the Theta's performance and vice versa.
>
> Now, since I appear to be the defender of the Theta model. We (yes,
> I happen to be part of a team) use the Theta model extensively to
> prepare short term forecasts of monthly data, such as M3, CPI,
> wholesale trade and so on. We use it as part of an array of models
> and we never use the results of just one model, but the Theta model
> shines in this capacity as a good performer and often has a fairly
> large dynamic weight allocated to it. Here performance is measured
> in forecasting accuracy, which usually is a poor indication of
> whether it will work in a trading environment.
>
> But we also use this model, for end-of-day data, in a trading
> environment as part of yet again a suite of models. This is quite
> fashionable and dicated by theory as well - using a suite of models,
> and I am in a way recommending this to the group and also recommending
> the inclusion of the Theta in such a suite.
>
> Now, let us not run away from the real point, testing the Theta model
> as a singular trading model. I note your observation, as well as
> that of some other members of this group, and can well believe it -
> that the Theta did not perform well when you tested it.
>
> This is true of prediction models in general, so allow me to expand a
> bit. A good prediction model is supposed to predict where the market
> will be in future, say tomorrow. Now, if it is a good projection
> model, then it will be unbaised, so that the market will be above it
> about 50% and below it about 50% of the time. The residual or error
> for a good model will be random. So if we use a prediction model as
> is, we are trading white noise, and should not get good results. So
> we have to apply our minds a bit. I am thinking aloud, why is the
> Theta not performing as I would expect, so please bear with me.
>
> In our trading model, we do use the Theta model's prediction as well
> as its slope. So we extrapolate the model and note the slope of this
> extrapolation and we use both in the model. We have noted that when
> the Theta long term line (theta = 0) turns, it often indicates a
> turnaround in trend. This could be a better way to build a trading
> model, using the slope of the long term component. The slope of the
> extrapolation is in fact half the slope of the long term component,
> since the extrapolated short term is constant and the Theta is
>
> ( lt + st ) / 2
>
> so
>
> d( lt + st ) / 2 = dlt / 2
>
> since
>
> dst = 0
>
> Another note, we often take the log of the series before we calculate
> the slope, but this should not make a big difference in many cases.
>
> Anyhow, try the following test
>
> linregslope(log(CLOSE),periods)
>
> and optimise on periods. When this line goes above zero, buy, and
> when below, sell. Please let us know the results.
>
> Note that the parameter should be on the long side. It should
> ideally be above 30 for a number of statistical reasons that I'd
> rather avoid for now. I think a good starting point would be 50 days
> and test up to at least 250.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://tsatsaeod.ferra4models.com
> http://www.ferra4models.com
>
> PS : I *really* appreciate your opening sentence.
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
> <andrew_tomlinson@xxxx> wrote:
> >
> > Let's keep this within the bounds of polite debate. MG, I've tried
> a couple
> > of backtesting runs with this on the S&P and on baskets of stocks,
> over 5,10
> > and 15 year periods, and show losses consistently. Perhaps you could
> give us
> > an example of the operation of the system in practice and the
securities
> > that it can be used on, so we can verify? It doesn't have to be your
> most
> > tuned, proprietary version, but enough to demonstrate that there
is some
> > verifiable substance here.
> >
> > Andrew
>
>
>
>
>
> Yahoo! Groups Sponsor
>
> ADVERTISEMENT
>
>
<http://us.ard.yahoo.com/SIG=129hu0541/M=298184.6018725.7038619.3001176/D=gr
>
oups/S=1705375617:HM/EXP=1109790726/A=2593423/R=0/SIG=11el9gslf/*http://www.
> netflix.com/Default?mqso=60190075> click here
>
>
<http://us.adserver.yahoo.com/l?M=298184.6018725.7038619.3001176/D=groups/S=
> :HM/A=2593423/rand=986685624>
>
>
> _____
>
> Yahoo! Groups Links
>
>
> * To visit your group on the web, go to:
> http://groups.yahoo.com/group/equismetastock/
>
>
> * To unsubscribe from this group, send an email to:
> equismetastock-unsubscribe@xxxxxxxxxxxxxxx
> <mailto:equismetastock-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service
> <http://docs.yahoo.com/info/terms/> .
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|