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For interests sake I have attached a couple of images of the ARM03 run using the detrend S&P 500 data. It's only up to 1987 so far.

I have a price transformation routine setup accumulates the daily natural log return times 100 minus 0.0184. I will give it a spin, it will takes a while to run to completion. The trade report needs a lot of work. Reporting in terms of points is fairly useless over long time periods. I intend to...

I was thinking that the term you used 'bar-after-bar' might have had some meaning that I wasn't familiar with. We are on the same page here.

I'm not 100% confident that I understand what you mean by bar-after-bar. It is similar to the overlapping block approach (bad description I know) except the optimization period is always trailing the current bar, so all signals that are generated are out-of-sample. Naturally, this assumes that...

The following is a description of how adaptation is enabled in BioComp Dakota. The concepts can potentially be implemented using other software applications with some effort. There are many different ways to incorporate adaptation into a trading system. This post might provide others with some...

No distinction was made between correlation and co-integration in the portion of the article that was available for me to read. This could be interpreted as using the terms interchangeably, but that's not how I interpreted it. All of the points that were made were spot on. In any case, if you...

David Varadi is writing a superb series of articles on adaptation via combining different edges (what I call systems or signals). The first in the series is here: http://cssanalytics.wordpress.com/2010/10/04/measuring-and-combining-edges-part-1/ Best Regards, James

Hey Ron, Still waiting for the results of your quick test... Regards, James

I have attached a chart of the simulated net profit from 1980 to date. The following settings were used. Initial Trading Capital: $1,000,000 Annual Gross Expense Ratio: 1.81% Daily AGER Accrual Rate: 0.00496% Leverage: 2.00 The recent ramp up in the equity curve away from the...

Some background info: The systems posted so far would at best contribute towards a system of systems. The motivation for posting the details of systems on this thread is to show different ways that a model can adapt and to hopefully gain some ideas from other ET members. I am planning to put...

The MarketSci blog contains some valuable information regarding the development of adaptive trading strategies. The following are links to some of my favorite pages: Overview http://marketsci.wordpress.com/2008/08/31/how-to-build-an-adaptive-trading-strategy-in-3-not-so-easy-steps/...

There was no point in rearranging the formula. Somebody looking at the above would need a description of b1, b2 and b3 and not just that they are parameters. That is what I said "The three terms (weights) of the model are modified walking-forward bar by bar..." That is why I described it...

<strong>Introduction</strong> This post features an adaptive autoregressive momentum 'trading system'. The system trades the very short-term daily trends of the SP 500 stock market index. The three terms (weights) of the model are modified walking-forward bar by bar, by the swarm adaptation...

The entry and exit signals never change. Expanding on the curve-fitting subject: When people talk about curve-fitting as if it is an evil process they are either talking about curve-fitting using a combination of past (from [t-n]) and future (to t[+m]) data to produce a simulated trading...

Interesting coincidence, I was just talking about the confusion that the misuse of the term curve-fitting creates on the other thread... The only way to avoid curve fitting is to trade at random. Regards, James

Introduction This post provides an overview of what I call 'static' versus 'walk-forward' curve-fitting. Trading software applications generally don't enable walk-forward adaptation of model/indicator parameter values by default, although with some coding it often can be done. <B>Static...

Yes you are right, the period varies and can potentially vary from one bar to the next for a given trade bot. I'm thinking that I haven't explained how the system works clearly enough. The results are purely walk-forward. On any given day the performance metrics are calculated over the...

The change in price is normalized by dividing it by the square root of the period that the change occurred over. I don't understand how you could say that it will not work when the equity curve shows that there is a reasonably consistent edge to be gained over a 30 year period that covers...

Hi Ninna, The model has no non-linear components. On face value it is linear. However, because the weights are being adjusted bar by bar, over time the model is non-linear. From memory, this could be described as a locally linear nonlinear system. If there are any math / physics gurus out...