thanks. Will have a look, Ed
----- Original Message ----- From: Fred To: amibroker@yahoogroups.com Sent: Thursday, May 08, 2008 5:42 PM Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward Result There's a simple example of this in the UKB under Intelligent Optimization ... --- In amibroker@yahoogroups.com, "Edward Pottasch" <[EMAIL PROTECTED]> wrote: > > hi, > > "While optimization can be employed to search for a good system via > methods utilizing automated rule creation, selection and combination > or generic pattern recognition" > > anyone care to explain how this works? Some kind of inversion technique? Here is what I want now give me the rules to get there :) > > thanks, > > Ed > > > > ----- Original Message ----- > From: Fred > To: amibroker@yahoogroups.com > Sent: Thursday, May 08, 2008 2:37 PM > Subject: [amibroker] Re: Fitness Criteria that incorporates Walk Forward Result > > > While optimization can be employed to search for a good system via > methods utilizing automated rule creation, selection and combination > or generic pattern recognition most people typically use optimization > to search for a good set of parameter values. The success of the > latter of course assumes one has a good rule set i.e. system to begin > with. > > As far as your prediction is concerned ... I suspect there are lots > of people, some of who post here, who could demonstrate otherwise if > they chose to ... > > --- In amibroker@yahoogroups.com, "brian_z111" <brian_z111@> wrote: > > > > "IS metrics are always good because we keep optimizing until they > > are" (or words to that effect by HB) which is true. > > > > It is not until we submit the system to an unknown sample, either > an > > OOS test, paper or live trading that we validate the system. > > > > Discussing your points: > > > > IMO we are talking about two different trading approaches, or > styles > > (there is no reason we can't understand both very well). > > > > One is the search for a good system, via optimization, with the > > attendant subsequent tuning of the system to match a changing > market. > > > > If I understand Howard correctly he is an exponent of this style. > > > > It is my prediction that where we are optimising, using lookback > > periods, that the max possible PA% return will be around 30, maybe > > 40, for EOD trading. > > > > Do we ever optimise anything other than indicators with lookback > > periods? > > If so that might be a different story. > > > > Bastardising Marshall McCluhans famous line I could say "the > > optimization is the method". > > > > It is also possible to conceptually optimize the system, before > > testing, to the point that little, or no, optimization is required > > (experienced traders with a certain disposition do this quite > > comfortably but it doesn't suit the inexperienced and/or those who > > don't have the temperament for it). > > > > So, if a system has a sound reason to exist, and it is not > optimized > > at all, and it has a statistically valid IS test then it his highly > > likely to be a robust system, especially if it is robust across a > > range of stocks/instruments. > > The chances that this is due to pure luck are probably longer than > > the chance that an optimized IS test, with a confirming OOS test, > is > > also a chance event. > > > > However, if I had plenty of data e.g. I was an intraday trader, > then > > I would go ahead and do an OOS test anyway (since the cost is > > negligible) > > > > Re testing on several stocks. > > > > If the system is 'good' on one symbol, (the sample size is valid) > and > > it is also good on a second symbol (also with a valid sample size) > is > > that any different from performing an IS and an OOS test? > > > > For stock trading, I call the relative performance, on a set of > > symbols, 'vertical' testing as compared to 'horizontal' testing > > (where horizontal testing is an equity curve). > > > > Yes, if an IS test, with no optimization, beat the buy & hold on > > every occasion (or a significant number of times) in a vertical > test > > and the sum of that test was statistically valid and the horizontal > > test (the combined equity curve) was 'good' it would give you > > something to think about for sure. > > If some of the symbols, in the vertical stack, had contrary > returns, > > compared to the bias of my system, I probably would start to get a > > little excited. > > > > (I think perhaps you were alluding to something along those lines). > > > > BTW did you know that the Singapore Slingers play in the Australian > > basketball league? > > > > Cheers, > > > > brian_z > > >
