|
PureBytes Links
Trading Reference Links
|
<SPAN
class=213014312-27092003>thanks, I think I made that original request, maybe
others too.
<SPAN
class=213014312-27092003>
<SPAN
class=213014312-27092003>what do you make of these:
<SPAN
class=213014312-27092003>
<FONT face="Courier New" color=#0000ff
size=2>> 8. Will you test a full range of parameters.> 9. In what
order will the parameters be tested?
<SPAN
class=213014312-27092003>> 10. Are the parameters distributed
properly?
<SPAN
class=213014312-27092003>why would you expect profitability for all parameter
settings? does the existence of some unprofitable settings invalidate a
strategy? <SPAN
class=213014312-27092003>what difference does the order in which parameters are
tested make? what does #10 mean?
<SPAN
class=213014312-27092003>
<SPAN
class=213014312-27092003>did you like the book overall? would you say it answers
the robustness question well, beyond this checklist?
<SPAN
class=213014312-27092003>
<SPAN
class=213014312-27092003>thanks,
<SPAN
class=213014312-27092003>
<SPAN
class=213014312-27092003>dave
<BLOCKQUOTE
>
I recall someone asking about
over-optimization and robustness testing. Here's an excerpt from...<SPAN
class=213014312-27092003><FONT face="Courier New"
color=#0000ff>
<SPAN
class=213014312-27092003>
Book: "Smarter Trading: Improving Performance in
Changing Markets"
Chapter: Making a Strategy
RobustAuthor: Perry Kaufman
CHECKLIST FOR ROBUST TESTING
PART 1: Deciding What to Test<FONT
face=Arial size=2>
1. Is the strategy logical?2. Can you program all the
rules?3. Does the strategy make sense only under certain conditions?4.
Take a guess as to the expected results.
PART 2: Deciding How to Test
5. Choose the testing tools and method.6. Do you have enough of the
"right" data?7. Have you Included realistic transaction costs?8. Will
you test a full range of parameters.9. In what order will the parameters
be tested?
10. Are the parameters distributed properly?11. Have you defined the
evaluation criteria?12. How will the output be presented?
PART 3: Evaluating the Results
13. Are the calculations correct?14. Were there enough trades to be
"significant?"15. Does the trading system produce profits for most
combinations of parameters?16. Did logic changes Improve overall test
performance?17. How did it perform on out-of-sample data?
PART 4: Choosing the Specific Parameters to Trade
18. Did the last test include the most recent data?19. Did you choose
from an area of broad success?20. Are profits distributed relatively
evenly over the tested history?21. Are the profits per trade large enough
to absorb errors?22. Did the historic results show any large losses due to
price shocks?23. Have you risk-adjusted the returns to your
acceptable
PART 5: Trading and Monitoring Performance
24. Are you following the same rules that were tested?25. Are you
trading the same data that was tested?26. Are you monitoring the
difference between the system's actual entries & exits?
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|