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I believe this subject is one of much debate and personal style. I myself
believe in buying only on systems that are profitable over a huge amount of
stocks for a long time period including some dips. This belief comes from
the fact that with todays computers you have the capability to screen and
test and optimise so many systemes that if you optimise by stock, you are
bound to find a number of systems that are actually just coincidence. I look
at similar proftability parameters as those you describe, but do not forget
unsuccessful buys in a row, since that normally takes some self confidence
out of the trader, just as maximum drawdown.
Since the market ha been in uptrend for a long time, it is a lot easier to
find systems that looks profitable going long. If you are going to optimise
by stock, then I believe you should allow yourself quite small changes in
optimisation parameters outside of the possible selfadoptation parameters
within the system itself, and only believe in systems that work well when
they are going short (less risk for coincidence since that market is less
frequent), and in periods where the market includes a lot of moves in the
"wrong" direction.
Limiting yourself in the way as I do might reduce the possibility to find
some very profitable system setups, but keeps you believing in the systems
you have, you know that in the long run they have been working in the right
direction.
> -----Original Message-----
> From: Jimmy Snowden [mailto:jsnowden@xxxxxxxx]
> Sent: Saturday, November 20, 1999 11:22 PM
> To: .Omega List
> Subject: Re: Optimized sys. diff results diff stocks.
>
>
> It has been my belief that a system should work from one
> stock to another
> without changing the inputs. I would like to know if this is
> a rule that
> might be incorrect sometimes. Does anyone use a system that
> they optimize
> for each stock or other symbol and find it acceptable to
> trade over time.
>
> My thinking is that if a system is optimized for a single
> stock and works
> well as new data comes in RT then eventually when the stock's trading
> pattern changes just optimized again on more current data.
> If this is so
> and the system works for several months with no changes is it
> viable or am I
> kidding myself on this. Yes the system works on a broad
> range of inputs but
> there is significant difference from one stock to another in
> the best range
> of inputs.
>
> Here is where I am and my logic. I built a system based on
> Up trend is true
> if retracements are less than up legs. If so and the stock
> reverses to the
> upside it goes long. If the stock makes a peak it exits.
> Yes you miss up
> moves if the stock doesn't have a retracement. I watch lots
> of stocks to
> make up for this.
>
> The short sell system is the same thing turned around.
>
> I have optimized the system for each stock and for each time
> frame I chart
> the stock on. My thinking is each stock has different cycles
> and I want the
> most profit from each swing. The system is a screen for
> strong stocks and
> stocks that lend themselves to the system. What I am after
> is to only
> trade the stocks that optimize out with the following criteria.
>
> 1. Either high percentage of successful trades or high win loss ratio
> 2. Losses on bad entries are small and less than the average
> winning trade
> 3. The largest win is not nearly all of the net profit
>
> I am using 60 minute charts to trade and I watch daily and 10
> minute charts
> to calm myself on the daily and get my blood pressure up on
> the 10 minute
> charts. I want the biggest bang for my extremely margined
> buck. I buy only
> one or two stocks at a time. If I am stopped out I will buy
> as much as my
> account will allow on the next buy signal. Stops kick in so fast that
> losses are still kept small on the larger position.
>
> I optimized all stocks about a month ago and signals are
> still right on.
> Yes I know the market has been up for a month but the short
> side is working
> also. The system is really two separate systems one for long
> and another
> for short.
>
> I am attaching two system reports on the last two stocks I
> traded. If they
> don't optimize at least this well I don't trade them.
>
> I am very interested in any input before I either get rich or
> go broke.
>
>
> Thanks,
>
> Jimmy
>
>
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