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Steve,
Don't worry about it. I just uploaded the files here
< http://groups.yahoo.com/group/amibroker-ts/ >
John
--- In amibroker@xxxxxxxxxxxxxxx, "CedarCreekTrading" <kernish@xxxx>
wrote:
> > 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@xxxx>
> 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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