Comments on: sensitivity testing http://www.puppetmastertrading.com/blog/2009/11/14/sensitivity-testing/ Algorithmic trading experiences Wed, 28 Jul 2010 01:46:39 +0000 http://wordpress.org/?v=2.9.1 hourly 1 By: Hack the market » transitions http://www.puppetmastertrading.com/blog/2009/11/14/sensitivity-testing/comment-page-1/#comment-8543 Hack the market » transitions Mon, 08 Feb 2010 22:13:01 +0000 http://www.puppetmastertrading.com/blog/?p=850#comment-8543 [...] of managing portfolios of strategies.  In particular, we build on the examples illustrated in sensitivity testing and steppin’ out, in which we showed historical and then real-time [...] [...] of managing portfolios of strategies.  In particular, we build on the examples illustrated in sensitivity testing and steppin’ out, in which we showed historical and then real-time [...]

]]> By: tito http://www.puppetmastertrading.com/blog/2009/11/14/sensitivity-testing/comment-page-1/#comment-7032 tito Sun, 15 Nov 2009 13:01:56 +0000 http://www.puppetmastertrading.com/blog/?p=850#comment-7032 Jackie, thank you very much for your helpful, thorough and gracious comments. > So you just drop that in with any other strat? Yes. > Can it FWD-Walk with risk management strats and twiddle their parameters too? Yes, exactly. The fwdwalker will permute parameters for any number of stratparts within a strategy. > Since Fwd-Walk itself is parameterized, can you do Fwd-Walk of FWD-Walk? I suppose one could but recoil at the thought! ;^> > That is different from Regime Switch right? Yes - we're still a few steps away. Next I'll try to show a live fwd-walker... hopefully thereafter I'll be able to implement some kind of a live regime-switching/allocation example. My choice to show the debugging output was made on-the-fly and surely you're right that it wasn't elegant. Logging is very configurable, but I don't generally present much of it in the gui; exactly as you suggest, strats can indeed write their own gui(s) to tabs in their own stratview but generally when they do this it will be a graph or chart of internal variables it might care about rather than text... Anyway, thank you for sharing your professionally-honed insights! Jackie, thank you very much for your helpful, thorough and gracious comments.

> So you just drop that in with any other strat?
Yes.

> Can it FWD-Walk with risk management strats and twiddle their parameters too?
Yes, exactly. The fwdwalker will permute parameters for any number of stratparts within a strategy.

> Since Fwd-Walk itself is parameterized, can you do Fwd-Walk of FWD-Walk?
I suppose one could but recoil at the thought! ;^>

> That is different from Regime Switch right?
Yes – we’re still a few steps away. Next I’ll try to show a live fwd-walker… hopefully thereafter I’ll be able to implement some kind of a live regime-switching/allocation example.

My choice to show the debugging output was made on-the-fly and surely you’re right that it wasn’t elegant. Logging is very configurable, but I don’t generally present much of it in the gui; exactly as you suggest, strats can indeed write their own gui(s) to tabs in their own stratview but generally when they do this it will be a graph or chart of internal variables it might care about rather than text…

Anyway, thank you for sharing your professionally-honed insights!

]]> By: Jackie Ann Patterson http://www.puppetmastertrading.com/blog/2009/11/14/sensitivity-testing/comment-page-1/#comment-7030 Jackie Ann Patterson Sun, 15 Nov 2009 08:03:21 +0000 http://www.puppetmastertrading.com/blog/?p=850#comment-7030 Hey Puppetmaster- Thanks for the demo, I enjoyed seeing your StratBox go through its paces! You asked for feedback so I'll give a little. Please keep in mind that this comes from the perspective of a) I really admire your work and am educated and entertained by your blog b) I spent the better part of a decade coaching engineers on giving power demos of algorithmically intense software c) I respectfully offer a few comments in the spirit of giving back As far as mechanics go, it worked fine for me with no technical difficulties. What I think would make it a better experience is hearing more about the meaning and impact of some of the features you showed. For example, in the intro, you said this was about examples of initialization. What jumped to mind was "count = 0;" Happily, the content is really very interesting and even groundbreaking so next video please give us in the audience more early clues to why we care. I wish we'd lingered a little more on the Fwd-Walk set-up. So you just drop that in with any other strat? Can it FWD-Walk with risk management strats and twiddle their parameters too? Since Fwd-Walk itself is parameterized, can you do Fwd-Walk of FWD-Walk? That is different from Regime Switch right? Digging insight out of the black window (debug trace?) seemed out of character of the rest of the user experience. Can each strat have the ability to create a custom tab in the results box to write any info it has to share? Remember, I think your software is great, and you're really very articulate. There's not many people that can send me to a dictionary but you are one of them! Your video makes for a fine blog post - you're getting this feedback and more if you want it because you asked and I happen to take a keen interest in how software is presented. Cheers, Jackie Hey Puppetmaster-
Thanks for the demo, I enjoyed seeing your StratBox go through its paces!

You asked for feedback so I’ll give a little. Please keep in mind that this comes from the perspective of
a) I really admire your work and am educated and entertained by your blog
b) I spent the better part of a decade coaching engineers on giving power demos of algorithmically intense software
c) I respectfully offer a few comments in the spirit of giving back

As far as mechanics go, it worked fine for me with no technical difficulties.

What I think would make it a better experience is hearing more about the meaning and impact of some of the features you showed. For example, in the intro, you said this was about examples of initialization. What jumped to mind was “count = 0;” Happily, the content is really very interesting and even groundbreaking so next video please give us in the audience more early clues to why we care.

I wish we’d lingered a little more on the Fwd-Walk set-up. So you just drop that in with any other strat? Can it FWD-Walk with risk management strats and twiddle their parameters too? Since Fwd-Walk itself is parameterized, can you do Fwd-Walk of FWD-Walk? That is different from Regime Switch right?

Digging insight out of the black window (debug trace?) seemed out of character of the rest of the user experience. Can each strat have the ability to create a custom tab in the results box to write any info it has to share?

Remember, I think your software is great, and you’re really very articulate. There’s not many people that can send me to a dictionary but you are one of them! Your video makes for a fine blog post – you’re getting this feedback and more if you want it because you asked and I happen to take a keen interest in how software is presented.

Cheers,
Jackie

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