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>
> Hello Wes,
>
> looking at your figures i can tell you something is wrong. i can see
> why about 1 in 1000 people contact me about poor results. i do not
> have the time to trouble shoot each individual case of what is wrong.
> it could be a zillion things that have to do with data, settings of ts
> and even what ts you run it on makes a difference, yes. seeing that
> you and a few other have blinders on i sympathize that you are
> frustrated. but don't shoot the piano player dude. you numbers are
> way off, not saying that's your fault but it's not mine. have you
> seen or are you aware of the real time posted trades?
Thank you for your observations, Mark. With all respect, it is the very lack
of blinders that makes me question, not the system, but its robustness. Nor
did I ever criticize you, anyone else, or the "piano player." Rather, I
appreciate your contributions of a core strategy on which to build. Neither
am I frustrated but I do point out that the results for 7,3,1 perform very
well but 5,3,1 returned a loss ($10,550) for the period from
3/27/01-present, not counting slippage and commissions. This is a fact and
not a personal criticism and I am trying to understand why by asking others.
Since we all evaluate results without blinders, there is no objection in
asking that question and dealing with it openly, wouldn't you agree? I have
only been focused on the specific issue of robustness and I wish to confine
my contributions on this thread to that topic. Recall in the story that it
was the masses that had on blinders. I/we can arrive at the conclusion of
where Trading System blinders are by examining the results with, as I
suggest, simple robustness testing.
I am not aware of the real-time posted trades. This may help partially
answer the question. Where does one go for that? It may also be true that
TS6 has a data problem with $ADV or @SP seeing that you observed that my
numbers are off from yours. I am also limited by TS6 because I cannot go
back farther than 3/27 and may need to do this on 2000i. I can email
privately some thread contributors on this.
To continue pursuing the issue of robustness, can someone do the following
with OB? Run a parameter optimization using data as far back as you can go
on only the first variable from 4 to 12 and either post or email the results
to me. We are looking for a rough bell curve and profitability across all
variables and not jagged profitability peaks and valleys. If there is not a
rough bell curve, the question still remains on the market inefficiency that
exists that makes 6-7 perform so well but not 5 in the limited sample
period. If there is no explanation, then what would prevent market
conditions from changing and making 9,3,1 perform optimally and 7,3,1 poorly
in the future? This does not mean that the system is bad but means that
extra caution is needed because of a weakness in robustness. Perhaps
periodic reoptimization is a possible solution if the weakness exists but
that raises other robustness-testing concerns.
Sincerely,
Wes Williams
>
> WW> I agree with the principle of having a large in-sample period but
> WW> optimizing against it all is not good for robustness. Let us apply
> WW> the generality to the specific of OddBall with Walk-forward
> WW> testing and principles of robustness.
>
>
>
>
>
> --
>
> Have a Great Day, Mark
>
> http://www.markbrown.com
>
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