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<SPAN
class=045283613-01102003>somewhat, yes, it makes sense. not completely sure
how to quantify this though. the range of values constituting a plateau,
within which 68% of values should be "good", should be how wide? not
numerically how wide, but what's the principle?
<SPAN
class=045283613-01102003>
<SPAN
class=045283613-01102003>for example, SAR responds incredibly nonlinearly to
parameter settings. there are some ranges of values where change makes no
difference at all, some that are very sensitive, and some that produce
nonsensical results. there's a recommended paramter range, but it's odd. what
does that say about its robustness?
<SPAN
class=045283613-01102003>
<SPAN
class=045283613-01102003>dave
<BLOCKQUOTE
>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.> > HBSend
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