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: [email protected] 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 [email protected], "brian_z111" <[EMAIL PROTECTED]> 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 >
