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Owen,
I am a subscriber to Active Trader, and I'm wondering if the article that
you are referring to is The Velocity System by Dennis Myers? If so, then it's
true that he tested his Least Squares Velocity System over a period ranging
from Oct. 9 to Nov. 8, 2002, but he used 5-min bars over that time period. His
in-sample (IS) optimization period consisted of 1 month of 5-min bars while his
OOS period consisted of 2 weeks of 5-min bars subsequent to the 1 month IS
period. Since there are 78 5-min bars in a trading day and
approximately 22 trading days in a month, there were 78*22 or 1,716 bars
over which he optimized his system and 78*11 or 858 OOS bars comprising his
walk-forward test. So, it appears that he had sufficient data to provide a
reliable test, certainly not 25 bars. Do I have the correct article in mind? I
can't find any other instance where an author tested only 25 bars IS and 25 bars
OOS.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Owen
Davies
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, June 17, 2003 3:28
PM
Subject: Re: [amibroker] Re: Annoying
programming problem: ideas please?
Fred wrote:> I hope that's not what Active
Trader is doing but IMHO 25 bars of> data is hardly enough to
accurately test anything on.It's sure the way I read their
articles. Cherry-pick a good-looking monthor six weeks, "test" it on
the next similar period, and cut things off whileyou can still pretend
your system is useful. I agree that 25 bars isnowhere near enough
for a test, and I consider publishing this stuff to belittle short of
fraud. Still, the programming required to do a worthwhiletest would
be interesting in itself.Owen DaviesSend
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