Re: Switch between systems

[David Pyle <dpevergreen@xxxxxxxxx>]

I have found all these answers helpful. I especially appreciate the warnings.

Thanks

Dave Pyle

--- On Wed, 8/19/09, Mark Johnson <janitor@xxxxxxxxxxxx> wrote:

> From: Mark Johnson <janitor@xxxxxxxxxxxx>
> Subject: Re: Switch between systems
> To: omega-list@xxxxxxxxxx
> Cc: "Gary Fritz" <fritz@xxxxxxxx>
> Date: Wednesday, August 19, 2009, 2:38 PM
> I was merely giving the Original
> Poster, Dave
> Pyle, what he asked for.  His message said,
> 
> "There must be a better way to switch between systems
> than summing the last x bars.  Suggestions to try?"
> 
> and I offered three suggestions to try: %K, LRslope, %B.
> 
> Will these perform well on Dave Pyle's systems?
> I hope so; but there's a chance they won't.
> 
> Here's a fourth suggestion: replace the word "switch"
> by the word "knob".  Instead of restricting yourself
> to only two possibilities:
>   (100% of system A, 0% of system B)
>   (0% of system A, 100% of system B)
> 
> allow yourself to imagine trading X% of system A and
> (100-X)% of system B.  Imagine a "knob" that you can
> smoothly rotate, from (A=100, B=0) to (A=0, B=100).
> 
> Now imagine using technical analysis indicators to
> choose an appropriate value of X%.
> 
> The natural way to implement the knob is in the
> choice of position sizing, at trade initiation
> and also throughout the lifetime of the trade
> (if your software allows it).
> 
> Mark Johnson
> 
> 
> At 01:24 PM 8/19/2009, Gary Fritz wrote:
> >> Apply technical analysis "indicators" to the
> equity curves
> >> of the two systems and switch to whichever one is
> "strongest"
> >> based on technical analysis.
> > 
> > Mark, does this actually work for you?  When I
> tested it, it failed miserably.  When a system went
> into a losing streak, you'd take all the losses it took for
> it to get kicked out of contention.  Then when it
> pulled out of the losing streak, you'd miss all the wins it
> took for the equity curve to get strong enough again. 
> It only worked if the system was prone to extremely long
> winning or losing streaks -- long enough so that "missing
> most of the losing streak" made up for the other
> weaknesses.  (E.g. a simple long-only stock system
> might benefit from it, if you kept it out of multi-year down
> markets, but I believe you can do a better job of that
> within the system logic itself.)
> > 
> > Now I wasn't switching *between* multiple systems,
> just between "system" and "no system."  But I would
> think the dynamic would be the same.
> > 
> > Gary
> 
>