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1) I used the demo version of winbatch. then recorded keystroke macro to set
the dates to from 3/18/1970 to 1/1/1972 (200 max barsback) then I called
another keystroke macro to run the optimization. While the optimization
runs, the main macro trys to open the view of the optimzation results and
wait 10 seconds and repeats until the optimization results window opens and
that indicates the optimization is done. I then build a file name with the
"to" year in and save the workspace as like wf1972.orw then the from year
and to year are incremented by 1 until the to year is 2001.
2) It takes about 12 hours to do the run and 3 months would therfore take 48
hours. Guess I need to be more patient. After the run, I go through each
year and (not with winbatch yet) open each performace window and save it as
an excel file and then look at all the parameters with excel. The test
interval I don't think has much impact on the adaptivity other than to find
out if the adapting is working. MY adaptiveness come from having developed a
fairly go system that exited long and short positions when the trade went a
certain percent away from the entryprice. The adaptiveness comes into play
by using 2 sets of parameters, one for normal and the other for when I get
stopped out.
3) The premise of my system is the relationship of today's high and low
versus historical closes ( I trade profunds ultrabull and ultrabear at
almost end of day). And if you plot the following on dialdata spx endofday
data xaverage(jdiv(c-l,h-l),150) it should show that from april 1985 thru
july 2000 that number was above .5.
jdiv is a function ( if parm2<>0 then jdiv=parm1/parm2 else jdiv=0 )
Prior to 1985 it went above and below .5 then it stayed above .5 for more
than 14 years. That's all I could find that seemed to be related to my code.
----- Original Message -----
From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
To: "Jon Woods" <justus5@xxxxxxxxxxxxx>
Cc: "Omega-List" <omega-list@xxxxxxxxxx>
Sent: Friday, May 04, 2001 10:32 AM
Subject: RE: Trading Systems
> 1) Exactly how did you employe Winbatch to assist you hear ? this is
> interesting....
>
> 2) I vote "don't trade" until you discover the optimal "out-of-sample"
test
> interval.....
> which you say is one year. Why not try 9,6, and then 3 months ?
>
> 3) most importantly: have you determined WHY it failed ?
>
> Note: if the system were truly adaptive, then the shorter optimization
> periods should have been determined automatically.
>
> > -----Original Message-----
> > From: Jon Woods [mailto:justus5@xxxxxxxxxxxxx]
> > Sent: Friday, May 04, 2001 10:20 AM
> > To: omega-list@xxxxxxxxxx
> > Subject: Re: Trading Systems
> >
> >
> > I optimized my TS2000i adaptive "H L C only" SP500 strategy from 1970
thru
> > June of 2000.
> > I traded it from June 2000 to Feb 2001.
> > I got killed. The system didn't work.
> > So then I used Winbatch to optimize each year individually.
> > Then I took the parameters for each year and used them for the
> > NEXT year and
> > used those results to evaluate the performance.
> > Results = No losing years and all years beat the SP500.
> > My conclusion is that my strategy seems to be adapting.
> > But I would like to hear comments as to whether I should trade it
> > now or do
> > some more testing.
> > I vote to trade it now.
> >
> >
> >
> >
>
>
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