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> Did you manage to upload your presentations to the files section ?
My Outlook Express crashed for a three day period. If someone could send me
instructions for loading the files to the AB site, I will do it this
morning.
Take care,
Steve
----- Original Message -----
From: "leonardot19" <leo.timmermans@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 01, 2003 4:46 AM
Subject: [amibroker] CedarCreek
> Hi Steve,
>
> Did you manage to upload your presentations to the files section ?
>
> Thanks
> Leo
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
> wrote:
> > Group,
> >
> > This was the Denver Trading Group presentation a few weeks ago. It
> was given by my Fort Collins buddy: Dave Chamness. Tell me what you
> think.
> >
> > Take care,
> >
> > Steve
> > ----- Original Message -----
> > From: HB
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, September 27, 2003 12:28 PM
> > Subject: Re: [amibroker] Robustness testing & Over-optimization
> checklist
> >
> >
> > Hello 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
> > ----- Original Message -----
> > From: Dave Merrill
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Saturday, September 27, 2003 8:53 AM
> > Subject: RE: [amibroker] Robustness testing & Over-optimization
> checklist
> >
> >
> > thanks, I think I made that original request, maybe others too.
> >
> > what do you make of these:
> > g gggggggggggggggggggggg
> > > 8. Will you test a full range of parameters.
> > > 9. In what order will the parameters be tested?
> > > 10. Are the parameters distributed properly?
> >
> > why would you expect profitability for all parameter settings?
> does the existence of some unprofitable settings invalidate a
> strategy? what difference does the order in which parameters are
> tested make? what does #10 mean?
> >
> > did you like the book overall? would you say it answers the
> robustness question well, beyond this checklist?
> >
> > thanks,
> >
> > dave
> > I recall someone asking about over-optimization and
> robustness testing. Here's an excerpt from...
> >
> > Book: "Smarter Trading: Improving Performance in Changing
> Markets"
> > Chapter: Making a Strategy Robust
> > Author: Perry Kaufman
> >
> > CHECKLIST FOR ROBUST TESTING
> >
> > PART 1: Deciding What to Test
> >
> > 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?
> >
> >
> >
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