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yes, reasonably stable or understandably stable.
as a byproduct of the yeartoyear analysis I am trying to associate the
varying of the parameters with the trendiness and trendlessness and the
transitions among them as mentioned in prior posts in this thread. I am
searching for numeric patterns of my parameters to assist in what could then
be used as a further level of adaptiveness.
In other words, when I get stopped out and switch to a new set of
parameters, maybe I can have the system chose from more than one set of
alternate parameters and have that choice be based on what has been working
but has suddenly or slowly stopped. I think I would rather have a system
quit working quickly than to have one slowly deteriorate and cook me like
the story of the frog in water that is slowly brought to a boil.
----- Original Message -----
From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
To: "Jon Woods" <justus5@xxxxxxxxxxxxx>
Sent: Friday, May 04, 2001 4:07 PM
Subject: RE: Trading Systems
> Wow - pretty impressive use of macros.....
>
> So I guess your goal in this is to insure the starting parameters that are
> optimal remain stable
> from year-to-year testing periods ?
>
> > -----Original Message-----
> > From: Jon Woods [mailto:justus5@xxxxxxxxxxxxx]
> > Sent: Friday, May 04, 2001 12:06 PM
> > To: prosys@xxxxxxxxxxxxxxxx
> > Subject: Re: Trading Systems
> >
> >
> > 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.
> > 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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