Actually, I forward test in real time. Boring but true.
I've considered doing what you suggest, using a downloaded file and trimming off "recent quotes" (number of days trimmed is part of the experiment) and then trading forwards by adding days back in to the file and watching for signals and so on. Just never got round to it. LOL. I don't doubt it would be educational. In fact for people new to B-C it's probably a key exercise to undertake. Ultimately the lesson to be learned is that very few stocks submit to optimisation within B-C. Search high and low for them, and trade them till they run out of steam. 6-monthly results (or the month or so before) are usually when the steam runs out, it seems to me. Jawed -----Original Message----- From: Howard Larson [mailto:[EMAIL PROTECTED] Sent: 20 January 2005 17:11 To: [email protected] Subject: RE: [bestcharts] Re: BC versions 4.32/4.321 This sounds like classic back testing/forward testing using historical quotes. B-C doesn't support that directly, so one must manually download historical quotes from Yahoo; back testing and optimizing with a file having a date in the past (e.g., Aug 10) as the last quote, then forward testing with a file having a later date (e.g., the current date) as the last quote. Consistent results for variable BT periods indicates to me that stock's price arises from a process with stationary or nearly stationary parameters; a desirable trait indeed. Very good. hl Jawed Ashraf <[EMAIL PROTECTED]> wrote: As a matter of interest, I look for stocks which optimise well with CCI and SO (being the primary momentum indicators) over a number of different BT periods. What I'm looking for is a gain/trade that doesn't wildly fluctuate depending on BT period. I'm also looking for a gain/trade that's in the region of 8%+, in order to allow for some gains to be eaten up by costs and (intraday) timing (timing can easily alter gain/trade by 5% if a stock is volatile). I assess the gain/trade based on a *fixed* history of trades. e.g. if a stock has been trading upwards since mid-August, then I'll use a BT period starting around 10th August(say) and assess the performance of a stock's AIOs for BTs of 20 to 90 all during that same time period (so an AIO for 20 days is back-tested from 10 August to see how well it matched the trend, and so on for 30 days, 40 days, etc.). I'm looking for a "strong optimisation" i.e. different BTs tend to produce the same results. If a stock passes that basic test, I then test-trade it, forwards. If it passes that test, then I consider trading it for real. When you've done all this, you aren't left with many stocks that you think are worth trading. The further back a trading pattern in the trend started the more likely it's at the end of the road. Jawed -----Original Message----- From: Howard Larson [mailto:[EMAIL PROTECTED] Sent: 19 January 2005 20:17 To: [email protected] Subject: RE: [bestcharts] Re: BC versions 4.32/4.321 My assumption is that the parameters, once set using the procedure described, should remain valid for a period of time going forward. I don't know how long that period is, but will be determined by change in market mood. At any rate, I intend to do a study that compares the current signal provided by parameters stored in the past with that given by redoing the complete parameter optimization. The problem I have with daily re-optimization is: How valid is the current signal if it will disappear in the days to come? Another way to look at it is, if you accepted a signal in the past, how valid is the current signal if the old signal no longer is shown? Answer: Regards, hl Rik Rasmussen wrote: Sounds like you are using the B-C tools to their maximum capability. As long as you remain vigilant to market conditions changing, and update your strategy accordingly, you should be ok. My problem was with "one holds it constant over time" and "associate the optimum number of quotes with the stock symbol ". You really can 't do the first, which is why you can't do the second. These considerations are NOT unique to B-C, but are true of all technical analysis. Rik Rasmussen Best Charts Yahoo Group Moderator http://groups.yahoo.com/group/bestcharts/ -----Original Message----- From: Howard Larson [mailto:[EMAIL PROTECTED] Sent: Wednesday, January 19, 2005 11:15 AM To: [email protected] Subject: RE: [bestcharts] Re: BC versions 4.32/4.321 Okay, we do have a diversity of opinion on this subject. To re-cap my technique, I select a stock and run multi-AIO to determine the best (optimum) number of quotes to use with BT. The optimum number for me is when the greatest number of indicators are indicating maximum profit. I then run AIO using the optimum number of quotes in BT and save the parameters. I then hold all of this constant going forward. I believe this methodology to be valid so long as the market stochastics are asymptotically stationary. This is probably true except during episodes of technical trading. So, if the above is not the intended use for those B-C features, how should they be used? Rik Rasmussen wrote: There is no "optimum number of quotes for a stock." Oh, there might be for a certain period of time in the past, but there is no assurance that number will be optimum in the future. What was optimum in an up market could kill you if the market goes into consolidation, or turns down. The developer can not associate such a number with a stock because there is no such number. The market is very dynamic. Analysis must also be dynamic. Use numbers frozen in time and watch your funds creep away. Rik Rasmussen Best Charts Yahoo Group Moderator http://groups.yahoo.com/group/bestcharts/ -----Original Message----- From: Howard Larson [mailto:[EMAIL PROTECTED] Sent: Tuesday, January 18, 2005 5:01 PM To: [email protected] Subject: Re: [bestcharts] Re: BC versions 4.32/4.321 Gents, I agree with the statement on using multi-AIO too frequently. It has been my understanding that one should use multi-AIO when first starting to follow a stock in order to pick the optimum number of quotes for that stock. Once the optimum number of quotes is established, one holds it constant over time. That is why I have suggested the developer associate the optimum number of quotes with the stock symbol by including it in opd.txt or opw.txt as appropriate. Regards, hl -- Howard Larson mailto:[EMAIL PROTECTED] Do you Yahoo!? All your favorites on one personal page Try My Yahoo! Do you Yahoo!? Yahoo! Mail - Find what you need with new enhanced search. Learn more. Yahoo! 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