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Jim:
Actually cause and effect can only be established by a
theory that explains observations. That is beyond the present exercise,
which is simply looking for correlations. To be sure, statistically
valid correlations, as you suggest, should be the goal.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jvarn359@xxxx
href="">jvarn359@xxxx
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 11, 2001 2:01
AM
Subject: [amibroker] Re: Comments on
Backtesting
--- In amibroker@xxxx...,
"Tomasz Janeczko" <tj@xxxx...> wrote:>
During my own research I checked the performance of the very> same
system on different groups of stocks and the results> was from loosing
money on most of the trades to> outperforming B&H by 400%. The
system clearly preferred> less volatile, blue chip stocks. How
do you really know there is a true cause-and-effect relationship between
the system and the different groups? It might clearly *seem* to be true
but without rigorous statistical analysis you don't know if your results
are significant. Also, the results by group could be dynamic -- perhaps in
2002 blue chips will be at the bottom instead of on top.> 1.
yes, comparing backtesting results can be misleading
but> does it mean we shouldn't do that at all?
> I guess giving backtesting results for different
markets/groups> will give valuable information on the
behaviour of the systemWell, statistically rigorous backtesting is a
lot of work and requires processing data over a lot of time frames. Plus
analysis to guard against skew, overparameterization, bias, seasonal
effects, etc. "Steve" <slwiserr@xxxx>
wrote:> Almost my whole Amibroker database is based upon specific
stock> selection criteria. Therefore my complete Amibroker
database is> very specific No real difference between thisand
using Auto Analysis to filter. The same danger applies, that 'apparently
obvious' results from backtesting may or may not be real.Anyway, I
don't mean to pour cold water over backtesting. I'm just suggesting that
there's a lot to think about regarding what "backtesting" implies in terms
of effort to get meaningful results.Regards,Jim
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