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Re: a few considerations about optimization



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Interesting...

delta=C-Ref(C,-1);
md=MA(delta,45);
MAd=MA(abs(delta),45);

Graph1=MAd;
Graph1Style=1;
Graph1Color=colorGreen;


--- In amibroker@xxxx, "Avcinci" <avcinci@xxxx> wrote:
> 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. 
> 
> Al Venosa
> 
> ----- Original Message ----- 
> From: Franco Fornari 
> To: amibroker@xxxx 
> 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 for a 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,
> 
> Franco
> 
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