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b:
Take a look at message #40 on the AmiBroker-TS
board. Similar discussion regarding these points.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
b519b@xxxxx
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, October 11, 2001 5:39
PM
Subject: [amibroker] Optimization and
Curve Fitting
--- In amibroker@xxxx..., "Tomasz
Janeczko" <amibroker@xxxx...>
wrote:> This brings the question of curve-fitting brought by
David.> The system is very sensitive to the changes of X1, Dbuy, Dsell
> variables.> The problem is that once we optimize for single
stock > we get "perfect"> parameters but only for this one stock
and the history we just > used to> optimize. What is neededis
"out-of-sample" testing to > verify the results.>
===============I am far from an expert on optimization/curve fitting,
but a few approaches have been helpful to me. 1. Does it make
sense LOGICALLY? I know from experience what trouble I can get into using
logic (this one "should" go up) without confirmating the method with
extensive backtesting. But I think there is a place for logic. If
optimization gives a great result for an unusal variable, especially if
the next nearest variables give poor results, I have no confidence inthe
results unless I can find a logical reason to explain why neighbouring
variables could give such different results.2. How consistently
are the optimized results? One way to do this is to test the optimized
values on "out of range" data (ie, data not used in the optimization
runs). If the results are not similar my confidence is low. Another way I
sometimes confirm optimization results is to "segment" the time period. I
take my optimized values from say a 10 year period and try them on several
1 year periods within the 10 years. If an "optimized" value is going to
give some years of negative results, I want to know ahead of time before
putting real money in.3. I sometimes choose the "safest" value
even if it is not the "best". Consider the following:Value, gain1,
10%2, 15%3, 18%4, 20%5, 8%6, 5%Here I would perfer to
use value 3 even though slightly better. My reasoning? If the market
patterns shift slightly, 4 could easily become like 5. The shift would
have to be greater to affect the returns from 3. 4. I am always on
the look out for out of pattern results: Consider1, 5%2, 10%3,
20%4, 5%5, -2%6, 30%7, -3%8, -5%Here, I would be very
suspicious of the optimised value of 6. I suspect it is due more to a
random data set than to a repeating market
event.b Your use of Yahoo! Groups is subject
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