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Anthony Faragasso wrote:
...
> Outliers are usually considered to be 3 or more standard deviations from
> average.
> Essentially, they are aberrations that cause system results to be unfairly
> positively or negatively
> biased. By removing outlier trades from the evaluation process, a new net
> profit figure can be
> calculated. This new select net profit figure, devoid of all aberrations,
> may offer a cleaner, more
> realistic trading perspective.
thanks Anthony, yes, using SDs is better than a fixed percent rate.
> In general, systems that are heavily dependent on outlier trades have
> artificially inflated or deflated
> net profit results. Since Outlier trades generally do not reoccur on a
> regular basis, they should be
> removed to present a more realistic trading perspective. The goal is to
> find a system with a select
> ( nonoutlier ) net profit figure worthy of trading.
I second that.
So, the conclusion is then that applying such a filter by looking into
future quotes and filtering out such Outliers beforehand is then ok for backtesting.
UM
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