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Chuck,
I'm looking at the article as I write this. In the period 10/9 to 11/8/02
(23 trading days not counting holidays), the system made 42 total trades
(25 winners and 17 losers) on 5-min bars in the test period (actually, that's
not that many trades when you consider the no. of bars over which the system was
tested, 78*23 or 1,794). In the OOS period of 11/11 to 11/22/02 (10 trading
days), there were a total of 17 trades (11 winners and 6 losers). I agree with
you about the statistical significance of the no. of trades, but 42 seems to be
acceptable during the IS period. The 17 during the OOS period are questionable,
but OOS periods are only meant to be confirmation of the robustness of a system,
not a statistically rigorous proof of concept.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, June 17, 2003 8:46
PM
Subject: RE: [amibroker] Re: Annoying
programming problem: ideas please?
Al and
Owen,
I haven't seen the article in
question, but I was reasonably sure that it was all about 25 days of intraday
data and 25 bars of data. I would think that it is more important to
consider how many trades were generated than how many bars or
days. It's not a science, but if there were less than 25 trades
per parameter then the statistical significance is negligible
(IMO). I would prefer to see more than 100 trades per parameter,
but 25 would be a minimum.
<BLOCKQUOTE
>
-----Original
Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx]Sent: Tuesday, June 17, 2003 8:35
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Re: Annoying programming problem: ideas
please?
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
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