Quote Originally Posted by Billy View Post
Adam,

This is at the source of the statistical reliability problem. The 20 DMF was in confirmed shorting mode during all of September 2008 and had its first market direction signal change with a cover your short/buy signal on October 10, 2008. The robot did manage the trade well because it was looking for short positions durring all of that time Currently, the 20 DMF is already in unprecedented oversold territory and waiting for a long signal. Under such circumstances, the robot decides independently of the 20 DMF, and based on ST/LT statistics, whether to go long or short. But because the database only has a very few ST/LT combinations similar to today's, this is the exception to the rule that should be applied instead.
Billy
Billy, I'm copying my recent comment to the analogy made by Ivan Hoff on another thread:

Quote Originally Posted by TraderD View Post
I'm somewhat puzzled by the analogy. The robot reportedly cruised fine through the Fall of 2008 and didn't have to go to cash every night. Why is there a manual override now? Is this possibly a symptom of an over-optimized trading system (relative to available backtest/analysis historical data)?
Trader D
The rather simple-minded observation I have (admittedly, in complete hindsight) is that if the robot didn't include the ETF confirmation criterion (in its specific incarnation), we would be now in a rather impressive short swing trade and AFAICT a manual override into cash wouldn't happen, is that correct? If that is indeed the case, wouldn't you be inclined to think that the ETF confirmation is an over-optimized component of the robot? Would it make sense to go back and reduce the number of parameters tweaked in the robot setup to achieve greater consistency at the likely expense of lower overall return?

Trader D