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<SPAN
class=460250615-08072001>Hi Herman,
<SPAN
class=460250615-08072001>
<SPAN
class=460250615-08072001>I just saw this message. We are in the process of
moving locally here in Fort Collins. These are some great questions; I'll
try to answer them as soon as I can--maybe late today or early in the
week. I'm sorry for the delay......
<SPAN
class=460250615-08072001>
<SPAN
class=460250615-08072001>Dave Nadeau
<BLOCKQUOTE
style="BORDER-LEFT: #000080 2px solid; MARGIN-LEFT: 5px; PADDING-LEFT: 5px">
<FONT face=Tahoma
size=2>-----Original Message-----From:
owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Herman van den BergenSent: Saturday, July 07, 2001
4:34 PMTo: metastock@xxxxxxxxxxxxxSubject: Dave Nadeau:
Re: Putting the cart before the horse?Hi Dave,I
finally got back to your email ... hope you are still around :-) I find your
post very interesting and have what are, undoubtedly, too many questions.
Sorry that this appears a one way street: there isn't much I can contribute to
this topic.At 10:04 AM 7/3/01 -0700, you wrote:>...I start by
looking at a certain market, and trying to break that up into pieces with
different>character, e.g. trending, trading range, reversing, etc. So,
if I'm trying to build a reversing>system using an oscillator(s), I'll
want to select those segments of the market that are reversing>or
trading in a range. Assuming I have enough bars, I can break those into
segments for in and>out of sample testing...Do I understand correctly that,
given a long trend, you'll test the same trending period in segments? Do
you use overlapping sample periods?>Once I've found a
successful approach to the specific character of that market, I can expand
my>testing to a larger portion of the historical data, but I'll need to
find a way to turn the system>on and off depending on what type of
market behaviour is being exhibited. Then I'll run this>overall system
against the larger data set, in much the same manner as you describe
below.How many types of market behavior do
you recognize, do you consider patterns (i.e. head & shoulders) a market
behavior? You mentioned Trend, trading range, reversal point, ... any
others?Do you use exporations or other methods to classify the market?>...A personal belief of mine is that market
behavoiurs are persistent. The S&P is much more likely>to continue
it's reversing behaviour in the future. I'm fairly confident that next month,
it>won't become a trendy market.I am
intrigued by the idea of classifying stocks by their behavior. I tend to
assign as much value to a system that works as to a system that doesn't work,
they both carry an important message for us to decode. Did you ever
make an attempt to develop a classification system for stocks? I don't mean
classifications by 'temporary' characteristics like trending, I mean more
permanent, what appear like price-independent characteristics. An example
would be a security's sensitivity to certain oscillators.>A sidenote here is that I'm making
certain assumptions about basic system design. I subscribe>heavily to
the signal / trigger approach as well as Chuck LeBeau's methods for developing
robust>systems. (www.traderclub.com) I really like adaptive rather than
fixed approaches. Also, you'll>notice that markets look very different
depending on the timeframe: comparing a 3 minute chart of>the S&P
with a daily chart is a good example.Chuck's
bulletins are many ... I don't recall him referring specifically to
robustness. Are you referring to his overall approach or to specific measures
designed to measure and improve robustness?When you say "adaptive" do
you refer to a human or a formulae quality?>Just some
somewhat random ideas to go with your thoughts....Thanks so much for
your feedback,Herman.
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