|
PureBytes Links
Trading Reference Links
|
yes it makes sense.
I used a ema that worked well but their near values did not....and when I
backtested it with new data the results were not good..
I always use half of the historical data to adjust system (parameters, risk
managemnt, etc)..Once I finish (before money management) I ran a backtest
and see how would have done in the "future" (with the other 50% percent of
historical data).
Also I backtest contracts seprately ...in this way you are sampling data and
seeing if returns are consistent...another way would be monthy testings.
BTW, I am still looking for a robust system with emas cross....How?
1) filter noise - wavelets
2) adaptive parameters (voli adjusted, pattern adjusted, etc)
3) neural networks?
Any comments?
J
----- Original Message -----
From: "hmab1" <hossamb@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 01, 2003 10:35 AM
Subject: [amibroker] Re: Robustness testing & Over-optimization checklist
>
> 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
>
>
>
> 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/
>
>
>
------------------------ 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/
|