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----- Message d'origine -----
De : Lawrence Chan <stnahc@xxxxxxxxx>
À : <omega-list@xxxxxxxxxx>
Envoyé : dimanche 6 février 2000 16:36
Objet : Re: Fuzzy Logic NN etc. WAS: Rocket Science
>
> on pete's comments, my understanding is that he thinks :-
>
> 1. big trades are the meat
> 2. small trading losses does not matter.
> 3. 50/50 win/loss is ok, as trends are not coin flips
> 4. please check dax 30min future - and i know nothing about it :)
> 5. all trading systems suffers from generalization
> (or is it - no standard to measure against?)
>
> and he attached a chart too on the trading signals his program generate
> with a comment saying the same system is used for cac and dax futures.
>
> and now i am curious, the chart attached with his message is in fact
> very easy to trade, and in fact #4 is wrong, as I do trade dax futures :)
>
> and I think using a breakout system on the chart he shows will yield
> better performance then his fuzzy logic system because a
> break out system will be in the market less time on the same chart,
> and most important of all, win/loss at a way better level :)
You are rigt, the standard channel breakout works better on the latest portion of the dax chart
that I previously sent ( less trades and a slight better profit).
Now, if you want to discuss this on a larger scale, here are the results of the same channel breakout ( 10 bars , as provided in TS)
on the dax futures from 01/1993 to 08/1999, 30 min and the same fuzzy system on the same period .
Resuts expressed in dax points, no cost and slippage in both cases:
CHANNNEL BREAKOUT 10 bars
Performance Summary: All Trades
Total Net Profit $3 564.98 Open position P/L $25.00
Gross Profit $23 921.23 Gross Loss ($20 356.25)
Total # of trades 1 312 Percent profitable 39.71%
Number winning trades 521 Number losing trades 791
Largest winning trade $523.80 Largest losing trade ($447.60)
Average winning trade $45.91 Average losing trade ($25.73)
Ratio avg win/avg loss 1.78 Avg trade (win & loss) $2.72
Max consec. Winners 7 Max consec. losers 13
Avg # bars in winners 25 Avg # bars in losers 9
Max intraday drawdown ($1 746.90)
Profit Factor 1.18 Max # contracts held 1
Account size required $1 746.90
Return on account 204.07%<===========Look!==========
NEUROFUZZY CAC DAX SYSTEM
Performance Summary: All Trades
Total Net Profit $12 133.50 Open position P/L $68.00
Gross Profit $31 591.00 Gross Loss ($19 457.50)
Total # of trades 1 874 Percent profitable 46.10%
Number winning trades 864 Number losing trades 1 010
Largest winning trade $479.50 Largest losing trade ($259.50)
Average winning trade $36.56 Average losing trade ($19.26)
Ratio avg win/avg loss 1.90 Avg trade (win & loss) $6.47
Max consec. Winners 10 Max consec. losers 10
Avg # bars in winners 17 Avg # bars in losers 6
Max intraday drawdown ($772.00)
Profit Factor 1.62 Max # contracts held 1
Account size required $772.00
Return on account 1571.70% <=========Look!===========
I have no other comment to add...
> -Lawrence Chan
> p.s.
> the reason why US has lower interest in fuzzy logic and NN,
> is that quite sometime ago some computer scientists in North America
> has proven that if fuzzy logic, or any other equivalent mathematical
> system, can produce exact accurate solutions - then P=NP. Thus,
> when a fuzzy logic model or NN model get closer and closer to
> solve a NP complete problem, it will theoretically take them forever
> to compute the answer. Thus, the academic interest in america
> immediately dropped to almost none - although practical applications
> and interest has been kept increasing as they are indeed better
> methodology to describe everyday real life conditions.
> Are securities time series functions NP complete, I don't know! :)
>
Of course, if US computer scientists have proven this, I also have nothing to add!.....
Sincerely,
-Pierre Orphelin
Neurofuzzy Logic tools for TradeStation
Free evaluation versions and competitive upgrades available
web: http://www.sirtrade.com
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