Well, over the years (12) I worked for various banks... different models, developed differently and different houses depending on the mandate. The ideas behind the model I was illustrating there started development at Merrill Lynch... and ultimately ended up being traded by Barclays Capital & then Nomura.
--- In [email protected], "buandbe" <[EMAIL PROTECTED]> wrote: > > > Very interesting. > > Would you care to name the investment Bank ? > > TIA > > > --- In [email protected], "sidhartha70" <sidhartha70@> wrote: > > > > Ara, > > > > When I was working for an investment bank, the parameters (and > > universe) were optimized each month from the previous 6 months data > > backtest (rolled forward each month obviously). These parametere were > > then used to trade live for the coming month. This is how all my > > backtesting was done (i.e. OOS) and all my live trading. > > > > In this sense, the paramters were indeed 'adaptive'. > > > > --- In [email protected], "Ara Kaloustian" <ara1@> wrote: > > > > > > WF testing seems like a logical step to take in creating a trading > > system. While I am not suggesting that we don't do it, I'd like to > > clear my understanding. > > > > > > It seems to me that we are looking to create a system with > > parameters that are valid "for all time". If a test is succesful in > > OOS period, then we can assume that we have found something that > > remains applicable for the future - at least in this one instance. > > > > > > Given that the markets change all the time, the obvious conclusion > > for me is that we need indicators that are adaptive... and that any > > that do not adapt will simply not work in OOS. > > > > > > The issue of providing feedback from equity curve seems valid and it > > can provide a warning about system starting to not perform as expected > > ... so regardless of type of indicators used, this kind of feedback is > > good!. > > > > > > The point I am making is that there has been very little said about > > adaptive indicators ... > > > > > > maybe that is the holy grail ... and therefore untennable ... > > > > > >
