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In addition to
using 3D surface maps to evaluate the Robustness of two or
more parameters you may consider assessing the
Robustness and across-market dependency of single parameters over a
Watch list.You can do this by
superimposing equity lines for different parameter values to see whether
they track over time (fan-out) . This is a far better method for evaluating
systems and finding stocks than picking a high equity from the Optimization
result table. If the equity ratios remain approximately constant your parameters
are more Robust than if the Equities do not track. <FONT
size=2>
In my example I use Steve
Karnish's CMO5 system (symmetrical triggers). T<SPAN
class=828322911-04092003>o test this method on your own trading system you
should substitute your own code inside the curly brackets of the
System() function and substitute the variable named "TestParameter" for the
parameter you like to evaluate. Here is a typical chart showing robust
behavior:
<IMG alt=""
hspace=0 src="jpg00296.jpg" align=baseline border=0>Here
is a chart for a system that may be over optimized and lacks
robustness:
<IMG alt="" hspace=0
src="jpg00297.jpg" align=baseline border=0>
Things to look
for:
1) Over-optimization: High
profits but Equity lines move all over the place.2) Robustness: Equity
lines "fanout" keeping the system profitable under most TestParameter
values3) Synchronized dips; if all equities dip you can create an
Equity-composite and use it to qualify signals.4) Stepping through the
stocks in you workspace you can observe stock-synchronization5) Is the
optimum value optimum over time?6) Straight equity lines
Happy trading,
<SPAN
class=828322911-04092003>Herman
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