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Buy and hold has parameters and it is optimized...end of story....
Just as every model or system on the planet has...whether the user wants
to admit it or not.
Adrian
> -----Original Message-----
> From: Gray, Gabriel [mailto:Gabriel.Gray@xxxxxxxxxxxxxxxxx]
> Sent: Wednesday, 4 February 2004 8:21 AM
> To: Bilo Selhi; marc miller; omega-list@xxxxxxxxxx
> Subject: RE: e-mini...search for the grail continued
>
>
> If you want to get academic, the system buy and hold has 0
> parameters and it is very likely to make money on equities.
>
> Gabriel
>
> -----Original Message-----
> From: Bilo Selhi [mailto:biloselhi@xxxxxxxxxxx]
> Sent: Tuesday, February 03, 2004 3:39 PM
> To: marc miller; omega-list@xxxxxxxxxx
> Subject: Re: e-mini...search for the grail continued
>
>
> how can that be not so?
> even the simplest of the statements close > close[1]
> has 3 parameters,
> 1. series = close
> 2. close is same as close[0] meaning [n] is the parameter
> 3 .close[1] is again [n] is the parameter
>
> we are dealing with expert type systems in TS, meaning
> we are trying to fit rules to data, you can't have rules without
> parameters or data without parameters.
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> every system is a curve fit and every curve fit is optimized to
> find the best parameter set for the model.
> the questions is not the curve fit but
> how long will this curve fit hold up for before you have to
> refit the model to the data? the reason why it does not hold
> up is because data is drifting out of the model fit, not vv.
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> if it holds up then profit can be taken out.
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> obviously the longer it holds up the better, but it won't
> hold up indefinitely unless data is stationary or
> deterministic ( not the case with price data ), or rules and
> parameters are so generalized that they will fit any data (
> not the case, impossible ) so then the remaining part is
> adaptation, like everything else is in life. environment
> changes, rules change , parameters change.
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> so data change --> adapt rule or parameters or both,
> ideally you want to find rules that generalize well to keep
> rules same and
> just change the parameters to fit the data.
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> even non parametric models are just called non-parametric in
> the statistical point of view, all of them are parametric.
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> to summarize: data changes, rules better not, parameter
> tweaking is ok as long as the model holds up for time enough
> to extract profit. optimization is necessary to find optimal
> parameters, model can only be validated on unseen data and if
> data parameters don't
> change then model will hold up until data holds up, else it's
> a curve fit.
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> Helix developer claims that he found rules and parameters
> that are stable enough for
> 5 years, so that they will work for next N? years... this
> maybe correct with 10 point stop
> on 5 minutes but eventually data will change and parameters
> or-and rules will have to also.
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> so far Striker shows about $1000 profit for half January,
> developer claims out of
> sample of 14 months... ES data may not have changed for the
> past 14 months, hard to believe or
> who knows the truth, rules and parameters could have been
> changed, we simply don't know. Striker reports and Futures
> truth stats will show.
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> bottom line, statistical models can not work indefinitely
> without tweaking if data is non stationary... and tweaking
> is ok and even necessary, whether it is done manually or
> automatically.
> bilo.
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> ----- Original Message -----
> From: marc miller
> To: omega-list@xxxxxxxxxx
> Sent: Tuesday, February 03, 2004 2:58 PM
> Subject: Fw: e-mini...search for the grail continued
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> And I forgot to add this:
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> ANY system that "optimizes" or "trains" its indicator
> inputs on a dataset is IMO total crap.
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> Best Wishes,
> Marc Miller
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> ----- Original Message -----
> From: "marc miller" <marcmiller@xxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Sent: Tuesday, February 03, 2004 11:42 AM
> Subject: Re: e-mini...search for the grail continued
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> >
> > Even the VERY BEST system will get run over by forces more numerous
> > and perhaps more powerful than can be programmed into that
> system OR
> > meet the eye. For Instance:
> > Take a dominant cycle high or low point, forecast in measured 'cycle
> time'
> > to occur at a future date (i.e., connect previous lows/highs, then
> project
> > out... If the market has been trading sideways, just "meandering"
> just
> > before this occurs, then "takes off like a rocket"- most
> > math/stat/probability "systems" are going to signal you to exit or
> enter
> > prematurely. Every one of us that have been around even for a short
> period
> > of time have witnessed this.
> > Even then, "phase" of cycles are known to "shift". This is just ONE
> factor
> > that NO-Body can program into ANY system.
> > In my life experiences, having a good math/stat/probability program,
> > adhering to its rules, but more importantly, diversifying its use
> > among as MANY instruments as you can keep track of helps
> alot. On a
> > down day in
> the
> > emini, your model is going to have you both long and short on many
> > instruments, helping to remain more delta neutral. The
> challenge and
> > fun is being able to recognize the market's
> metamorphosis
> > yet is secondary to making $$.
> >
> >
> > Marc Miller
> >
> > ----- Original Message -----
> > From: "Bilo Selhi" <biloselhi@xxxxxxxxxxx>
> > To: "Infinity Brokerage" <jeffg@xxxxxxxxxxxxxxxxxxxxx>;
> "'Ron Hudson'"
> > <ron@xxxxxxxxxxxxx>; <omega-list@xxxxxxxxxx>
> > Sent: Tuesday, February 03, 2004 11:16 AM
> > Subject: Re: e-mini day trading systems
> >
> >
> > > every day is a new day...
> > > every day a new sucker is born...
> > > every trade is a new trade ...
> > > every day there is new system...
> > > every day is new line of code...
> > > every day brings a new idea...
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > but Duke&Duke always makes the commission !
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > bilo.
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > ----- Original Message -----
> > > From: Infinity Brokerage
> > > To: 'Ron Hudson' ; omega-list@xxxxxxxxxx
> > > Sent: Tuesday, February 03, 2004 1:58 PM
> > > Subject: RE: e-mini day trading systems
> > >
> > >
> > >
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> > >
> > >
> > > Every trader needs to think systematically and understand how past
> > > price movement may influence future prices. As you said, there is
> > > probably not
> a
> > > system that will always work.
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > This is why Tom Skilling goes to work everyday and why I
> go to work
> > > everyday. Everyday is a new day.
> > >
> > >
> > >
> > >
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> > >
> > >
> > > J Gil
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