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Led Zeppelin
3150 Posts
Posted - 01/17/2012 22:33:22    



edit...they are close in design.
_Nemo
8003 Posts
Posted - 01/18/2012 10:02:00    
Math,

This assumption is wrong. You can't rule out an overfitting just due to the number of trades and rules.

Led,

I am not sure where you get the notion that I worked at some big hedge funds. This is simply not true. The people that I have worked for and with in my past are private and not public. I am just a programmer and ended up in this field due to being hired out of college to do just such. I am not a CTA or CPO and have no plans to be one at any time in the foreseeable future. I am not selling or leasing any strategies at this time.

My latest contract, mentioned recently, has up to this point been one of software development. As for strategies, they do fail, nobody is immune from this. I certainly am not. Sometimes they just get weak and have bad periods when the market is not right for their logic, but then they come right back and make equity highs. I have had some that never came back. One has to put in safety nets and trade prudently. I think this is the same for discretionary trading also.

My "products" are testing tools and programming services. My seminars are about a proper process of building strategies and how to go about testing them and trading them. I believe they are very helpful to people who want to create and test their strategies correctly or I wouldn't offer them. As for trading, I do not trade for myself and never have. I have never indicated otherwise. This does not mean I have never traded nor does it mean that I won't be trading in the very near future. I have done plenty and done so quite profitably for the people I personally traded for.

Led, I am personally not a wealthy person. I am a programmer and as such have always made a programmers salary. If I ever got to the point where I had enough expendable capital where my returns would overcome the salaries that I can earn by simply programming and writing and selling software and any other investments I could make, then I wouldn't have any issue with trading on strategies that I write. I do have confidence in myself. I am not of the mindset that one can take a few thousand dollars and make a fortune trading it. It might happen, but I I don't think that I am some genius who is guaranteed to beat all the best in the world who generally make 25% or less on their clients money over time. I don't really feel that I am all that bright at all, to be honest, especially when it comes to high level math. I have to work hard to over come. I do not enjoy trading like it is a game to play. It isn't my hobby. I shoot long range precision rifle competitions and archery as my hobbies. If I am under capitalized to not be able to overcome my other options then I am simply not going to do it. It just isn't something that I would do for fun. I cover all of this in the seminar / webinars that I do. Nobody has walked out of one disillusioned. They are a no bull**** zone.

I hope this helps you, and others, to know me a bit better. I am a pretty friendly guy for the most part. I am not sure what the fly swatter picture is all about. That has went over my head. Like I said, not very bright. I got to get back to being busy and start my day.
kevinkdog
3693 Posts
Posted - 01/18/2012 10:13:49    
Don't feel bad - you are smarter than me, Greg. I thought it was a spatula!
Led Zeppelin
3150 Posts
Posted - 01/18/2012 11:05:33    
Don't worry about the pancake flipper Greg. I was expecting pancakes or hornets to come flying in.

I am on the road and lappy,time is limited. I will get back.

I am also empathetic/sympathetic to a son going through the grieving process. My PM's to you still stand.


edit
_Nemo
8003 Posts
Posted - 01/18/2012 11:20:44    
Thx Led. See kDog you is smarter than me, although I have never seen a spatula with a twisted wire framed handle.
Led Zeppelin
3150 Posts
Posted - 01/18/2012 12:23:18    
I like your honesty and candor Capt Crunch. You speak alot of truth,I like that with depth.

I was looking for the selling/leasing strategy department. I came knocking on the wrong door it seems,I usually go to the best,sometimes it fails.

Now you see I tried to entice Math,but he showed me what he is offering. I laughed, my EC with my discretionary trading is better.
He is holding out,dude has 35 million AUM(as I recall from research) and his EC is only going at a 20 degree incline. Where is the best strat?

You know I am messing with you both.''
Mathemagician
9786 Posts
Posted - 01/18/2012 19:31:12    
quote:
Originally posted by Led Zeppelin
Now you see I tried to entice Math,but he showed me what he is offering.
Interestingly, I don't recall this ever having occurred.
Led Zeppelin
3150 Posts
Posted - 01/18/2012 19:51:17    
It was your COO,he said he acts on behalf of yourself when you are on the Seminar circuit.
He said his word was as good as yours and that was good enough for me.
We started talking football also and he also said he knows this coach on the Penn State football team
and wanted me to meet him. To square the deal,you have to meet him,part of the guided tour.
You also have to shake hands and stuff....

Here is your hypothetical back dude.''I said adios Amigo. click.
Mathemagician
9786 Posts
Posted - 01/18/2012 20:12:29    
quote:
Originally posted by Led Zeppelin
It was your COO,he said he acts on behalf of yourself when you are on the Seminar circuit.
He said his word was as good as yours and that was good enough for me.
We started talking football also and he also said he knows this coach on the Penn State football team
and wanted me to meet him. To square the deal,you have to meet him,part of the guided tour.
You also have to shake hands and stuff....

Here is your hypothetical back dude.''I said adios Amigo. click.
Last seminar was in May. Sandusky was indicted in November, six months later. PM the name you used when you contacted him and I'll ask him directly.
Led Zeppelin
3150 Posts
Posted - 01/18/2012 20:26:34    
Roger wilko...I think you have a imposter jj posing for you...make sure you check the bank statements...
That hypothetical was a joke as well jj,it was a insult to me. You want how much for this junk?
That much? I really think you should reproduce it here,hope Nemo does not mind. This is his thread afterall. Since I brought it up here,lets keep it here. Heads need to roll.
Splatter
1709 Posts
Posted - 01/18/2012 23:09:33    
quote:
Originally posted by Led Zeppelin
Roger wilko...I think you have a imposter jj posing for you...make sure you check the bank statements...
That hypothetical was a joke as well jj,it was a insult to me. You want how much for this junk?
That much? I really think you should reproduce it here,hope Nemo does not mind. This is his thread afterall. Since I brought it up here,lets keep it here. Heads need to roll.

Hint: The psychological condition "Flight of ideas" presents in individuals experiencing schizophrenia, or some other form of a psychotic break (for example, psychosis resulting from substance use). "Flight of ideas" occur when the words themselves may be identified, but since the associated thoughts are shifting so quickly (and have no logical connection), it won’t make any sense.
Mathemagician
9786 Posts
Posted - 10/05/2012 21:40:52    
Bump.
Scuba Steve
2230 Posts
Posted - 08/13/2014 13:46:24    
This forum could use more folks like Greg. Bump.
kevinkdog
3693 Posts
Posted - 08/13/2014 14:00:11    
I still use his great product practically everyday. Have not used TS's Walkforward yet - no need to!
TomNes32
1 Posts
Posted - 10/09/2014 09:24:22    
Hi, if anybody would like to sell his licence to StratOptWFP, please let me know. Thanks.
_Nemo
8003 Posts
Posted - 07/07/2015 23:05:40    
Clockwerk,

Sorry for the delay, I have been off on the holidays and just now catching back up. To answer a bit of what I remember your question being asked before it was removed, just because one uses a genetic or other smart algorithm does not necessarily mean that you are going to produce an overfit. To take things to an extreme think about running a genetic optimization with 1 iteration. It is highly unlikely that this will just happen to begin with the very best set of inputs that the strategy can have. Take an exhaustive optimization that covers millions of iterations with the finest logical steps that can be taken across the most realistic input ranges that the strategy operates within. This will very likely produce an overfit. If you allow the genetic algorithm to run over a large number of iterations then it will also end up in a good region. This might not be the overall best as many algorithms can get stuck on local peaks within the optimization landscape. It will be near the top of that region it stops within, but there might be another even better region that the optimizer missed fully. The walk forward testing and real time testing will indicate a propensity to overfit by failure of the strategy to hold up through the testing periods. Considering things, I would much rather have a strategy that can pass through a walk forward testing and I was able to do that using an exhaustive approach because this means that the strategy was simple enough to do this testing using the exhaustive approach, but this does not mean that one can't have a viable strategy that uses a genetic or other algorithm due to the complexity of logic and time constraints of running such a strategy through testing. To choose, One doesn't look at a single tree or rock on the landscape, but rather the landscape as a whole to get the full picture.
kevinkdog
3693 Posts
Posted - 09/24/2017 17:33:47    
Kudos to _Nemo on a great piece of software (Stratopt WFP), still working good after all these years.

Here's a photo from this weekend in Cleveland. I bet it is one of the biggest gatherings of Stratopt users in recent history!

We spent a lot of time using Stratopt WFP these past 4 days...


_Nemo
8003 Posts
Posted - 09/27/2017 07:19:26    
Thanks for sharing this KDog and for the kind words. That is a very good gathering and it is great that so many people have and still are using this software to help them with their testing to this very day. I always enjoyed the times when I did the gatherings and got to meet new people and share a bit of knowledge, and that is a good gathering and I bet it is one of the largest in recent times as well. I also miss the times when I got to spend a good deal of time here in the forums, but times and climates change and we simply don't use TradeStation nearly as much as we once did. The software is long overdue for an update so I will work on doing that as quickly as I can. Keep up the good work and again thanks for sharing.
amw_776
7 Posts
Posted - 11/18/2017 11:45:04    
Hi All, Im trying to set a CustomFintess Value of the Ulcer Index to use in the StratOptWFO. It goes as follows in the bottom part of the strategy :

if date <> date[ 1 ] then
begin
Fitness1 = NetProfit + OpenPositionProfit ; // Total Profit

Fitness2 = UlcerIndexNetprofit;
.......................
I have saved UlcerIndexNetProfit as a function.
But I get the error " The analysis technique tried to reference data past the bounds of the array"

I have attached the Function. I copied the function logic from the default UlcerIndex indicator provided in TS

Any help would be highly appreciated thanks in advance everyone.
Attachment:DATA/20171118114339ULCER INDEX.ELD&nbsp;11974 bytes
_Nemo
8003 Posts
Posted - 12/10/2017 09:54:51    
This question was answered via email support. I forgot to come back into here and marked it as such.
kasabo3
21 Posts
Posted - 05/12/2018 05:57:24    
Hey Nemo,
I really enjoyed and made use of your postings. I do not live in the USA, I'm wondering whether you have a planned seminar or webinar on optimal strategy development in the near future.
Thanks.
_Nemo
8003 Posts
Posted - 05/12/2018 08:34:24    
Thanks for the kind words. I don't have any near future seminars planned at this time. I am responding to your email now.
daniele
44 Posts
Posted - 07/17/2018 17:09:36    
i _ nemo are you have trial of your tool? tks
_Nemo
8003 Posts
Posted - 07/18/2018 07:20:11    
I apologize, but I never have built in the licensing to allow for trial versions. All of my licenses are lifetime. Feel free to contact me via email, easylanguage @ stratopt . com if you have any further questions.
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