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Re: [amibroker] a few considerations about optimization



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----- Original Message ----- 
<DIV 
>From: 
Avcinci 

To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Friday, November 01, 2002 8:56 
AM
Subject: Re: [amibroker] a few 
considerations about optimization

Franco,
 
Recently I was talking to a professional trader who told me that some 
stocks simply don't behave well in any system and others do extremely well (in 
backtesting). He attributes this to a term called the "fractal efficiency 
ratio," coined by Perry Kaufman. A stock has to have some non-random 
movement to be predictable.  It's the total change in price over a given 
period, divided by the sum of the absolute values of all the daily changes in 
price.  If a stock has too small a directional component, then it's a 
poor candidate for any system, regardless of how many filters 
or refinements you add.  You're better off using all that firepower 
on a better target. I've been testing a lot of stocks lately individually, 
finding that many simply give very bad backtest results and very non-robust 
parameter coefficients. So, I eliminate them from my watchlist and concentrate 
on those stocks that behave well. This seems to be working well. I haven't had 
time to write any code yet to see if the good-performing stocks have a higher 
fractal efficiency ratio (personality as you call it?) than the poor 
performing ones, but it's worth a try. You must test over a long enough 
period of time to encompass bullish, bearish, and sideways markets, like 
1/1/97 (or even earlier) to present time. If you try this idea out, let me 
know how successful you are. I'm very interested in this concept. When I get a 
chance, I'll try it myself. But, in theory, it seems to have merit. 
 
You might want to take a lookat 
Wilder's Commodity Selection Index.  
 
Al Venosa
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----- Original Message ----- 
<DIV 
>From: 
Franco Fornari
To: <A title=amibroker@xxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, November 01, 2002 6:15 
AM
Subject: [amibroker] a few 
considerations about optimization

Hello,
 
trying to optimize any trading system, I think we all have 
thought, sometime, we would like to avoid such a tedious process or to do it 
once and for all.
It could be possible? This question badgered me fora long 
time, unfortunately with no success, yet I feel there must be a 
solution.
Why I say that? Because a peculiarity of each stock, 
called "personality" by someone, wich seems stable enough. In other words, I 
think if we were able to mathematically represent this characteristic, we 
could automatically optimize any trading systems.
But, the big matter is: what is this characteristic(long 
term volatility, frequency of peaks and troughs, price)? How could we assess 
or measure it? And, first of all, does such a feature exist or is 
it only a mirage? How do you think about?
 
Best regards,
 
FrancoPost AmiQuote-related 
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