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I agree with Adrian. Most, if not all claims that there is a "smart" way to
invest or time markets is BS, in my opinion. It's all pure speculation,
that's why they call it a market. Your mileage may vary, but that's where my
head is at for now.
Ron Hudson
Tradestation 7 Easylanguage Specialist
www.ronhudson.com
> -----Original Message-----
> From: Adrian Pitt [mailto:apitt@xxxxxxxxxxxxx]
> Sent: Wednesday, February 04, 2004 12:34 AM
> To: 'Gray, Gabriel'; 'Bilo Selhi'; 'marc miller'; omega-list@xxxxxxxxxx
> Subject: RE: e-mini...search for the grail continued
>
>
> 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > if it holds up then profit can be taken out.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > even non parametric models are just called non-parametric in
> > the statistical point of view, all of them are parametric.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > 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.
> >
> >
> >
> >
> >
> >
> >
> >
> > ----- 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
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > And I forgot to add this:
> >
> >
> >
> >
> >
> >
> >
> >
> > ANY system that "optimizes" or "trains" its indicator
> > inputs on a dataset is IMO total crap.
> >
> >
> >
> >
> >
> >
> >
> >
> > Best Wishes,
> > Marc Miller
> >
> >
> >
> >
> >
> >
> >
> >
> > ----- 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
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > >
> > > 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.
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > J Gil
> > > >
> > > >
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> >
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