For our benefit can you tell us who? Alternatively they could come forward and introduce themselves.
I am sure we can all learn a lot from them. ----- Original Message ---- From: Tomasz Janeczko <[EMAIL PROTECTED]> To: [email protected] Sent: Tuesday, September 9, 2008 4:38:21 PM Subject: Re: [amibroker] Re: Backtest - WF Optimization FYI: There are dozens of members on this list who work in fin institutions (fund managers, analysts, etc). Best regards, Tomasz Janeczko amibroker.com ----- Original Message ----- From: "buandbe" <[EMAIL PROTECTED] com> To: <[EMAIL PROTECTED] ps.com> Sent: Tuesday, September 09, 2008 12:24 PM Subject: [amibroker] Re: Backtest - WF Optimization > > It's good to know institutional model developers such as yourself are > participating in this forum. > Your experience may not be directly applicable to most of us since we > cannot hold a few hundred stocks in a portfolio. > Nonetheless, the fact that a person who used industrial strength > backtesting applications chose AmiBroker can be an endorsement of sort. > Looking forward to your input... > > --- In [EMAIL PROTECTED] ps.com, "sidhartha70" <sidhartha70@ ...> wrote: >> >> 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] ps.com, "buandbe" <buandbe@> wrote: >> > >> > >> > Very interesting. >> > >> > Would you care to name the investment Bank ? >> > >> > TIA >> > >> > >> > --- In [EMAIL PROTECTED] ps.com, "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] ps.com, "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 ... >> > > > >> > > >> > >> > > > > ------------ --------- --------- ------ > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroke r.com/devlog/ > > For other support material please check also: > http://www.amibroke r.com/support. html > Yahoo! Groups Links > > >
