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> optimization is useless on MA's. I do, however, change the time
> periods according to market conditions.
Hi super,
I believe a system should contain a certain amount of subjectivity but
this is quite a tricky subject. If you say you change periods
according to market conditions, it sounds like the subjective portion
of your model to me! If you want to elaborate a bit on how you do
this, please do so. But, as a benchmark, how much of a system do you
follow blindly and how much of it is subjective and what do you think
the split should be? 80/20? 50/50? In practise, do you subjectively
adjust say the period of an MA but then follow the system religiously,
or do you stick to your system's parameters but sometimes not to the
system?
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, superfragalist <no_reply@xxxx>
wrote:
> I try to use optimization as little as possible. Optimization is a
> double edged sword. Too much is far worse than not enough.
>
> Curve fit is a complex issue. No one has come up with a definition of
> what is a reasonable amount of optimization to avoid the pitfalls of
> curve fit.
>
> One of the benefits of optimizing is you can see the how robust a
> particular indicator or set of equations might be. if the trading
> statistics show similar results across a range of opt values then the
> system is fairly robust and should stand up fairly well over the
long run.
>
> Too many people use optimization simply to find the highest P/L ratio
> they can get. They pay little attention to how the trading statistics
> change across the range of opt values. Those changes can be the first
> indication of trouble in the foundation.
>
> I like to analyze trading statistics year by year. The MS systems
> tester makes this particularly hard to do but I take the time to do it
> because annual performance and drawdowns are as important as overall
> systems performance. Out of sample testing is also necessary.
>
> As far as MAs go, I never optimize them. If you do, you'll wind up
> with a different value every year which is an indication that
> optimization is useless on MA's. I do, however, change the time
> periods according to market conditions.
>
> In the month of April, very short MA's were more prudent for me. I
> used a 5 bar on Kaufman's AMA. In Nov and Dec of 2004, I had it set to
> 21.
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "jim" <jimk_30045@xxxx> wrote:
> > hi super...i read all you comments.....thanks for your excellant
> > assistance when i needed it...i appreciate your sarcasism and your
> > humor...are you jd....and one more ..your moving averages...do you
> > do simple optimized ma's near term on individual instruments to
> > detrmine what values you should be using today...if so how close
> > in ..ie..0/20/30 days.......thanks.....jim.....
> >
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, superfragalist
> > <no_reply@xxxx> wrote:
> > >
> > > If you want the best ETF Rotation system you'll be able to find,
> > buy a
> > > subscription to Roy's newsletter and get the back issues. In
> > addition
> > > to ETF rotation, you'll learn how to set up an SPY chart to tell
> > you
> > > exactly what the market is doing and what kind of trading will work
> > > for the market conditions at hand.
> > >
> > > In the May issue Roy has an article on trading stocks that may very
> > > well change your mind about how to trade and how to make it as
> > simple
> > > and easy as it gets--not to mention profitable.
> > >
> > > All the code for all the indicators and chart setups is in the
> > > newsletter.
> > >
> > > It's the best MS bargin there is.
> > >
> > > I've tested every system, indicator and trading method in MSTT, and
> > > they work as described. I've also tested them against the top
> > > performing newsletters as ranked by Hulbert, and if you implement
> > the
> > > methods as discussed in the MSTT newsletter, you'll handily beat
> > the
> > > best performance of the best newsletters that pick stocks, mutual
> > > funds or ETFs. In any given year, a single newsletter might have a
> > > stronger performance, especially if it's picking really low priced
> > > stocks, but overall across 5 years or more, the MSTT methods are
> > more
> > > consistent and much easier to execute.
> > >
> > > www.metastocktips.co.nz
> > >
> > >
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, "christie1969us"
> > > <christie1969us@xxxx> wrote:
> > > >
> > > >
> > > > I decided I just do not like stock trading. It is too
> > unpredictable
> > > > for me. I know there are programs dedicated for mutual fund or
> > ETF
> > > > rotation. Is there a way to set this up with MetaStock and test
> > for
> > > > the best parameters?
> > > >
> > > > Thanks, Christie
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