|
PureBytes Links
Trading Reference Links
|
The 68% thing is essentially the plateau thing. You're right, in
the end, you will only select one parameter setting. However, for
example, if your test show that a 10 period MA works amazingly, but a
9 and 11 period MA don't work, then choosing a 10 MA is not the best
way to go. Just because it took you out of a few losses in your
historical backtest, it probably won't work well moving forward.
But if your 10 period MA is part of a plateau of "good" values
(plateau includes 7, 8, 9, 11, 12, 13), then it would be ok to use
10. And 7, 8, 9, 11, 12, and 13 would encompass 68% of your "good"
values.
Make sense ?
HB
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> thanks for the feedback.
>
> 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.
>
> 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?
>
> dave
> 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
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
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 http://docs.yahoo.com/info/terms/
|