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Hello again Pierre,
What you say makes sense. My approach differs concerning
relationships in "equity curves" though.
Basically your approach seeks to eradicate the idea of "maximum
excursion" from the normal result. I see this a lot in systems
designed by NN fellows. By eliminating undue volatility to the up
or downside, the equity is smoothed and (hopefully) ascendant.
However, there *are* ways to retain *good* volatility and lose
the bad. Ergo you are left with a marginal upward slope in EQ
during quiet times followed by sharp increases in equity during
volatile times. When designing a system this is always the
goal I am shooting for. Granted this is tough to do mechanically
unless you have the capability of creating and testing futures/
stocks/options mixes. But it can be done.
As an example, let's say your NN say's "No trade" here due to
projected volatility beyond acceptable parameters of the system.
Very often, such a market call is derived from an estimation against
acceptable stop-loss protocols. On the other hand my system would
say "Trade Like Normal, and defend with options".
Giving this some thought, you actually can do this using the straight
underlying using your system, provided that you have an extremely
large equity base. In this case, a maximum market excursion against
the system could still logically be deemed within your 1/20th limit.
Given these cases and scenarios, I am curious as to your opinion of
any marked advantages shown by neural nets over any linear regressive
(and much simpler) process.
regards,
Walt Downs
CIS Trading
http://cistrader.com
> If you knwo how your system work under these condition ,and if the realtime
> behaviour is the same than historical, I cannot see where the problem is.
> Again, only the shape of the equity curve is important (average trade too, of
> course).
> Besides , when the equity curve is close to a straight positive slope line ,
> or better as for the 2 1/2 last years a curve with increasing ( positive !)
> slope with even a 40% profitable trades (could be less, no problem), what
> could I say...
>
> <<
> And you had better *never* miss a signal.... <g>
> >>
> Mandatory for any system always in the market as ours.
> We trade every signal without any exception.
>
> Sincerely,
>
> Pierre Orphelin
> www.sirtrade.com
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