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Al Venosa wrote:
> In other words, testing your system over a month's worth of 5-min data is
equivalent
> to testing your system over 6.5 years worth of EOD data, isn't it true?
Ah, no. We are dealing with a universe in which the bell curve gets wider
and stranger with every increase in the size of your data set. The phrase
"fatter tails" comes to mind. I am not enough of a statistician to prove
it, but the appropriate analogy is not 1700 bars of EOD data. It is however
many EOD bars it takes to equal the number of 5-minute bars you'd see in an
entire career of intraday trading--no doubt more daily bars than have been
recorded in the entire history of trading. But I'd accept as many EOD bars
as you'd have 5-minute bars in, say, five years of intraday trading.
Looking at it from the useful direction, I would want to see at least a year
of testing on intraday bars of any size before I would be much interested in
anybody's system, and even then it would only lead me to think about doing
my own more extensive testing. I am very conservative about this sort of
thing, for reasons that to me seem very sound.
> I do walk-forward testing all the time in AB .... I feel this is quite
valid and seems to work well for me.
At a guess, you do it manually? Before taking on that kind of chore, I
would sooner figure out how to automate the process of stepping the window
through the data. But I'll do it the hard way if need be.
Owen Davies
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