|
PureBytes Links
Trading Reference Links
|
Fred,
Please keep your insights coming. The subject of system validity and
robustness is certainly worthy of further discussion. In my case, I have a
SP500 mechanical trading system optimized with historical data from 1983 to
the present. My performance numbers during the optimzation period are
CAR%=16%, MDD%=5.6%. Prior to the optimization period, the profits and
drawdowns are both larger. Why am I using such a large optimization period?
Because I am cautious and willing to sacrifice profits for lower drawdowns.
Would appreciate your thoughts on proper system validation techniques. Am i
being too cautious?
My system performance is poor compared to your 100% CAR with only 3% MDD.
Your system performance is far outside my reach right now.
-Steve
-----Original Message-----
From: Fred <fctonetti@xxxxxxxxx> [mailto:fctonetti@xxxxxxxxx]
Sent: Wednesday, February 19, 2003 2:44 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: The transcendental use of Data: An application
So be it ...
The IDEA I was trying to share was validity of system testing which
includes out of sample results and why when this isn't done your
likely to find out the hard way. I find it of no particular surprise
that this has no particluar value to discretionary traders, but then
I also have no idea why discretionary traders need/want tools like AB.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Fred,
>
> This is exactly what endears Dimitris to many of us here. He has
provided
> you all the material needed to run the test your self. He has
presented a
> well thought out argument for why he believes it holds value. There
is no
> hidden code, no magic box just the system as he implemented it. Run
your own
> tests and decide if the approach suites your own needs. If after
running the
> system tests, optimized to your specifications and run over the
time frame
> you deem necessary, you find his system holds no value then simply
move on.
> If on the other hand you find some tid bit of it that holds promise
in your
> eyes then run with it. Improve upon it and then, please, post your
> improvements. That is the goal of a group like this, to share ideas
and
> hopefully grow from that sharing. Encouraging rather than
discouraging this
> type of sharing is what keeps active groups productive else all we
are doing
> is offering free tech support for the product.
>
> Jayson
> -----Original Message-----
> From: Fred <fctonetti@xxxx> [mailto:fctonetti@x...]
> Sent: Wednesday, February 19, 2003 2:18 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The transcendental use of Data: An
application
>
>
> > Fred, read please my
> > http://groups.yahoo.com/group/amibroker/message/34143
>
> Irrelevant ... You continue to very conveniently skirt the issue.
>
> What timeframe was this optimization for ?
>
> Show the results of trading the same system using the same
parameters
> for some year long out of sample period prior to that.
>
>
>
>
>
>
>
> Yahoo! Groups Sponsor
> ADVERTISEMENT
>
>
>
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|