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winbatch demo download = http://www.windowware.com/winware/products.html
----- Original Message -----
From: "Thomas Alexander" <alexander_enterprises@xxxxxxxxx>
To: "Jon Woods" <justus5@xxxxxxxxxxxxx>
Sent: Friday, May 04, 2001 4:26 PM
Subject: Re: Trading Systems
>
> Sounds like good work to me! Have you tried it on different markets or
different time frames? I typically suspicious of something that only works
on one market or one time frame.
>
> Where did you get Winbatch? Sounds like something I could really use.
>
> thanks!
>
>
> Jon Woods <justus5@xxxxxxxxxxxxx> wrote:
> 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"
>
> To: "Jon Woods"
> Cc: "Omega-List"
> 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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