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Wes - I think you are missing the fundamental basis of the system.
The first parameter (7), as has been mentioned here before, is
looking back 1 day to the *same* time period for the roc calc.
I suggest you look at an hourly bar chart of the $adv.
It is not a normal price series like a stock or future, is it?
Virtually every single day the closes rise from a low number to a
higher number. There is no carryover from ther previous day -
each day begins fresh at 0. This is about as cyclical as you can get.
Using 7 in effect filters out the massive cyclic nature of $adv to
return a tradable signal. Any other number *radically* changes the
dynamics. If you want to optimize, then the last 2 values are the
only logical ones to mess with.
rich
At 07:59 AM 2/20/2002 -0700, you wrote:
>Thank you for your observations, Mark. With all respect, it is the very lack
>of blinders that makes me question, not the system, but its robustness. Nor
>did I ever criticize you, anyone else, or the "piano player." Rather, I
>appreciate your contributions of a core strategy on which to build. Neither
>am I frustrated but I do point out that the results for 7,3,1 perform very
>well but 5,3,1 returned a loss ($10,550) for the period from
>3/27/01-present, not counting slippage and commissions. This is a fact and
>not a personal criticism and I am trying to understand why by asking others.
>Since we all evaluate results without blinders, there is no objection in
>asking that question and dealing with it openly, wouldn't you agree? I have
>only been focused on the specific issue of robustness and I wish to confine
>my contributions on this thread to that topic. Recall in the story that it
>was the masses that had on blinders. I/we can arrive at the conclusion of
>where Trading System blinders are by examining the results with, as I
>suggest, simple robustness testing.
>
>I am not aware of the real-time posted trades. This may help partially
>answer the question. Where does one go for that? It may also be true that
>TS6 has a data problem with $ADV or @SP seeing that you observed that my
>numbers are off from yours. I am also limited by TS6 because I cannot go
>back farther than 3/27 and may need to do this on 2000i. I can email
>privately some thread contributors on this.
>
>To continue pursuing the issue of robustness, can someone do the following
>with OB? Run a parameter optimization using data as far back as you can go
>on only the first variable from 4 to 12 and either post or email the results
>to me. We are looking for a rough bell curve and profitability across all
>variables and not jagged profitability peaks and valleys. If there is not a
>rough bell curve, the question still remains on the market inefficiency that
>exists that makes 6-7 perform so well but not 5 in the limited sample
>period. If there is no explanation, then what would prevent market
>conditions from changing and making 9,3,1 perform optimally and 7,3,1 poorly
>in the future? This does not mean that the system is bad but means that
>extra caution is needed because of a weakness in robustness. Perhaps
>periodic reoptimization is a possible solution if the weakness exists but
>that raises other robustness-testing concerns.
>
>Sincerely,
>Wes Williams
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