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"may I submit that you do not know the precise parameters to
use in the future unless your settings are **ROBUST** and yield profits (and
cut losses quickly) in all kinds of market conditions."
I get robust results optimizing over the largest set of data possible. I'd
say back to inception of the S+P is a robust optimization.
-----Original Message-----
From: Wes Williams [mailto:softexcl@xxxxxxx]
Sent: Tuesday, February 19, 2002 4:25 PM
To: omega-list@xxxxxxxxxx
Subject: Oddball and the Emperor's New Clothes
Dear List,
I am one who has tried different variations of Oddball. I also obtain
wonderful results AFTER optimization. I also see the ecstatic results posted
by others on the list and only wonder if they are fooling themselves into
thinking that it is a robust system. After optimizing for **tremendous**
profits, I wonder if we are all not like those in _The Emperor's New
Clothes_ who stood back and said "Look at the beautiful profits on this
system" but ignore the Risk of Ruin and apparent lack of robustness.
Can the Oddballer's who marvel at Oddball's beautiful clothes answer this
elementary question? What happened to the system from 5/21/2000 - 9/19/2000?
Running 100 @SP contracts against $ADV with parameters 7,3,1 produced a loss
of $4,500,000 and a debt of $1,100,000. You are ruined. Now before you
reply and say "ahh.. that is the problem... you are using the wrong
parameters!", may I submit that you do not know the precise parameters to
use in the future unless your settings are **ROBUST** and yield profits (and
cut losses quickly) in all kinds of market conditions.
Using the "standard" settings may have done well in the past and done well
since 9/19/2000, but how do you account for 5/21 - 9/19 ?
I would really like to know how you plan to survive this period if we are
at, say, 1/1/2000. Does it really have any clothes that are robust?
Sincerely,
Wes Williams
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