Combining multiple systems

I bumped into this interactive chart ( NewYork times web link below) showing how this Bear market compares with previous bear markets in terms of drop and length.
I am planning a small research to build a programs ( chart and data ) to how the GOLD and Crude Oil traded in all those bear market periods compared to Dow Index .

How This Bear Market Compares
http://www.nytimes.com/interactive/2008/10/11/business/20081011_BEAR_MARKETS.html


I believe this exercise will give good clues how GOLD, Crude behaves in those periods relative to Dow. I think by taking average of all those bear market periods for GOLD and Crude we can see pattern which can be good source for trading ideas on GOLD and Crude Oil . I think that will help to predict till some extent the direction of GOLD, Crude for next year or two.

Let me know if anyone is interested in this small project , so that we can pool the resources and share the results and insights.

Cheers
Reddy
 
Quote from JaiSreeram:

You can combine multiple systems within TradersStudio using a "Trade Plan"
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As you could in 1995 within Trading Recipes using a "SIMULTEST". Other testing engines that will run multiple systems simultaneously include Stratasearch, Trading Blox, PowerST, Ultra-10, and Mechanica.
 
Some great info here, thanks to the contributors.

That ratchet effect of Parrondo's Paradox is a nice example of how stop losses that are too tight can affect your equity in what would otherwise be winning trades.

Unless I read the article incorrectly...

I currently use Amibroker for designing and implementing automated trading strategies, however now that I am combining multiple strategies, are there any recommendations for alternative software? Ie Stratasearch?
 
An alternative for amibroker is to take the resulting equity curve and put it in excel, index it (so you can compare it to other equity curves), and then add it as a chart back into amibroker.

I use mainly SAS for all my analysis. Excel is a good start because there are some good add-ons for statistical manipulation on the internet or you can do your own programming.

Think of what you are trying to do before you jump on some tool set, then ask what you are looking for. I see so many people using sophisticated statistical tool sets: neural nets, evolutionary algorithms, etc., when they have no idea how they work or the assumptions behind them.
 
Quote from MAESTRO:

One of the reasons that makes Parrodo's paradox so attractive is the Monty Hall problem.

"The Monty Hall problem is a probability puzzle loosely based on the American television game show Let's Make a Deal. The name comes from the show's host, Monty Hall. The problem is also called the Monty Hall paradox, as it is a veridical paradox in that the solution is counterintuitive.
A well-known statement of the problem was published in Parade magazine:
Suppose you're on a game show, and you're given the choice of three doors: Behind one door is a car; behind the others, goats. You pick a door, say No. 1, and the host, who knows what's behind the doors, opens another door, say No. 3, which has a goat. He then says to you, "Do you want to pick door No. 2?" Is it to your advantage to switch your choice?
Because there is no way for the player to know which of the two unopened doors is the winning door, most people assume that each door has an equal probability and conclude that switching does not matter. In fact, in the usual interpretation of the problem the player should switch�doing so doubles the probability of winning the car from 1/3 to 2/3. Switching is only not advantageous if the player initially chooses the winning door, which happens with probability 1/3. With probability 2/3, the player initially chooses one of two losing doors; when the other losing door is revealed, switching yields the winning door with certainty. The total probability of winning when switching is thus 2/3.
When the problem and the solution appeared in Parade, approximately 10,000 readers, including nearly 1,000 with Ph.D.s, wrote to the magazine claiming the published solution was wrong. Some of the controversy was because the Parade version of the problem is technically ambiguous since it leaves certain aspects of the host's behavior unstated, for example whether the host must open a door and must make the offer to switch. Variants of the problem involving these and other assumptions have been published in the mathematical literature.
The standard Monty Hall problem is mathematically equivalent to the earlier Three Prisoners problem and both are related to the much older Bertrand's box paradox. These and other problems involving unequal distributions of probability are notoriously difficult for people to solve correctly, and have led to numerous psychological studies. Even when given a completely unambiguous statement of the Monty Hall problem, explanations, simulations, and formal mathematical proofs, many people still meet the correct answer with disbelief."

This when used with the original question about multiple systems might lead to a very unusual outcome. I have always treated the Parrondo's paradox in combination with the Monty Hall problem.
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What the Monty Hall example really shows is that people do not understand the conditional probability. If they did, the Monty Hall example is like asking someone to sum 1+1 (which is 2)! The example is literally equivalent to summing 1+1, since when a door is opened the probs on the door non-opened and not chosen doubles (1+1=2)/3. The latter is the conditional prob of the last door.
 
Quote from MAESTRO:

Think of the Market as a moderator (the host of the show). You have, for example the following combination of the events:

1. A stock might gain $1 a share and then another $1 a share

2. A stock might gain $1 a share and then lose $1 a share

3. A stock might lose $1 a share and then gain $1 a share

4. A stock might lose $1 a share and then another $1 a share.

If you knew that this stock has in fact gained $1 a share (moderator affect) what is the probability that this stock will gain another $1 a share?



:D :cool: :cool: :cool:
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0.75
 
1. A dice is thrown showing heads and then another
time showing heads.

2. A dice is thrown showing heads and then another
time showing tails.

3. A dice is thrown showing tails and then another time
showing tails.

4. A dice is thrown showing tails and then another time
showing heads.


given the dice showed one head, what is the probability
of another head?
 
Quote from mind:

1. A dice is thrown showing heads and then another
time showing heads.

2. A dice is thrown showing heads and then another
time showing tails.

3. A dice is thrown showing tails and then another time
showing tails.

4. A dice is thrown showing tails and then another time
showing heads.


given the dice showed one head, what is the probability
of another head?
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(Most important point is 3.)

1. A. to your question as stated is 0.5.

2. That guy has other assumptions in him mind. Answer depends on understanding of assumptions, which I am not sure I understand as he has them in his mind.

3. In fact, trading as would be done by a monkey (I mean real monkey not a human insulted as a monkey) using stops would be:

Lose $1 two thirds of the time, to make at least $1, one third of the time.

Could someone provide the proof/answer/disproof to question 3.?

I asked the question on RFT's financialtraders blog, and not a single person answered it, despite the blog receiving between 800 and 900 page views per day!
 
the answer of 0.5 is only obvious, because i called the
object at hand "dice", everything else is the same as
in the stock example.

there is no other assumption and no one her provided
one throughout the discussion if i recall correctly.

there are only three outcomes after two repetitions:

-2 with 25% chance
0 with 50% chance
+2 with 25% chance

unfortunately this is all very simple. the difference to
the paradoxa that were mentioned is that the stock
price is identical repetition with the same odds for the
first and the second round, while in the monty hall for
example it is not. the only thing that would change the
odds for stocks would be an additional assumption, like
"the stock move of today depends on yesterday's move",
but nobody mentioned an addition like that and it is
relatively needless, since it is selfexplaining and has
nothing to do with a paradox.

IMHO the whole discussion is pointless and i (still) do
not understand why we are discussing such obvious
stuff ... actually i know. i read reasonable stuff from
MAESTRO on other topics, otherwise i would not have
written anything here.
 
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