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<SPAN
class=363163900-01102003>thanks for the feedback.
<SPAN
class=363163900-01102003>
<SPAN
class=363163900-01102003>I get that there should be plateaus, not spikey peaks,
in the yield map as you change paramter settings. what I don't get is the 68%
thing.
<SPAN
class=363163900-01102003>
<SPAN
class=363163900-01102003>does it mean you should restrict the range of each
parameter so that at least 68% of the settings within that range are profitable?
typically, people settle on one specific set of settings they hope will work
well for some range of issues over som range of time. how is the system more or
less robust by restricting the range of parameters over which you tested to
arrive at the ones you actually use?
<SPAN
class=363163900-01102003>
<SPAN
class=363163900-01102003>dave
<BLOCKQUOTE
>
For #10, Kaufman is refering to the notion that
the majority (68%) of the range of parameters should be profitable. In a
map of parameter values & associated returns, you want to see a plateau
instead of just spikes. Check out the 3D optimization spreadsheet in the
Files section.
Also, the order of parameters is crucial because
you should test the most importanat variables first, i.e. the ones that cause
the largest changes in your results. Focus on those first and then on
the less important ones
Yes, the book is excellent, not just for the
robustness section. I haven't read his other trading system book yet
though so I don't know if there are similarities.
HB
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